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ENH: Update next_market_minute() & previous_market_minute()

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Previously we were not accounting for cases where we would invoke
next_market_minute() with a time on a trading day *before* the
market open, or previous_market_minute() with a time on a trading
day *after* the market close.
This commit is contained in:
Stewart Douglas
2015-10-21 12:11:05 -04:00
parent f599795d27
commit 6795ea74c9
1 changed files with 24 additions and 8 deletions
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zipline/finance/trading.py
+24 -8
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@@ -340,21 +340,37 @@ class TradingEnvironment(object):
def next_market_minute(self, start):
"""
Get the next market minute after @start. This is either the immediate
next minute, or the open of the next market day after start.
next minute, the open of the same day if @start is before the market
open on a trading day, or the open of the next market day after @start.
"""
next_minute = start + datetime.timedelta(minutes=1)
if self.is_market_hours(next_minute):
return next_minute
if self.is_trading_day(start):
market_open, market_close = self.get_open_and_close(start)
# If start before market open on a trading day, return market open.
if start < market_open:
return market_open
# If start is during trading hours, then get the next minute.
elif start < market_close:
return start + datetime.timedelta(minutes=1)
# If start is not in a trading day, or is after the market close
# then return the open of the *next* trading day.
return self.next_open_and_close(start)[0]
def previous_market_minute(self, start):
"""
Get the next market minute before @start. This is either the immediate
previous minute, or the close of the market day before start.
previous minute, the close of the same day if @start is after the close
on a trading day, or the close of the market day before @start.
"""
prev_minute = start - datetime.timedelta(minutes=1)
if self.is_market_hours(prev_minute):
return prev_minute
if self.is_trading_day(start):
market_open, market_close = self.get_open_and_close(start)
# If start after the market close, return market close.
if start > market_close:
return market_close
# If start is during trading hours, then get previous minute.
if start > market_open:
return start - datetime.timedelta(minutes=1)
# If start is not a trading day, or is before the market open
# then return the close of the *previous* trading day.
return self.previous_open_and_close(start)[1]
def get_open_and_close(self, day):