BUG: Further corrections for days_at_time (#1334)

* BUG: Further corrections for days_at_time

- Revert to using DateOffset, as Timedelta doesn't handle offsetting by
  one day over a tz change properly:

    In [12]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.Timedelta(days=-1)
    Out[12]: Timestamp('2004-04-03 23:00:00-0600', tz='America/Chicago')

    In [13]: pd.Timestamp('2004-04-05', tz='America/Chicago') + pd.DateOffset(days=-1)
    Out[13]: Timestamp('2004-04-04 00:00:00-0600', tz='America/Chicago')

  By creating a DateOffset using the `days` kwarg, the issue previously
  fixed in bcc867b is addressed.

- To preempt any other pandas issues around day offsets, changes to
  performing these with no timezone, then localizing to the local
  timezone when shifting the time.
- Adds unit test for days_at_time

* STY: Remove unused import

tests/test_trading_calendar.py

@@ -13,6 +13,7 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+from datetime import time
 from os.path import (
     abspath,
     dirname,
@@ -23,16 +24,19 @@ from collections import namedtuple
 
 import numpy as np
 import pandas as pd
+from nose_parameterized import parameterized
 from pandas import (
     read_csv,
     Timestamp,
 )
 from pandas.util.testing import assert_index_equal
+from pytz import timezone
 from zipline.errors import (
     CalendarNameCollision,
     InvalidCalendarName,
 )
 from zipline.utils.calendars.exchange_calendar_nyse import NYSEExchangeCalendar
+from zipline.utils.calendars.trading_calendar import days_at_time
 from zipline.utils.calendars import(
     register_calendar,
     deregister_calendar,
@@ -81,6 +85,36 @@ class CalendarRegistrationTestCase(TestCase):
         self.assertNotEqual(real_nyse, retr_cal)
 
 
+class DaysAtTimeTestCase(TestCase):
+    @parameterized.expand([
+        # NYSE standard day
+        (
+            '2016-07-19', 0, time(9, 31), timezone('US/Eastern'),
+            '2016-07-19 9:31',
+        ),
+        # CME standard day
+        (
+            '2016-07-19', -1, time(17, 1), timezone('America/Chicago'),
+            '2016-07-18 17:01',
+        ),
+        # CME day after DST start
+        (
+            '2004-04-05', -1, time(17, 1), timezone('America/Chicago'),
+            '2004-04-04 17:01'
+        ),
+        # ICE day after DST start
+        (
+            '1990-04-02', -1, time(19, 1), timezone('America/Chicago'),
+            '1990-04-01 19:01',
+        ),
+    ])
+    def test_days_at_time(self, day, day_offset, time_offset, tz, expected):
+        days = pd.DatetimeIndex([pd.Timestamp(day, tz=tz)])
+        result = days_at_time(days, time_offset, tz, day_offset)[0]
+        expected = pd.Timestamp(expected, tz=tz).tz_convert('UTC')
+        self.assertEqual(result, expected)
+
+
 class ExchangeCalendarTestBase(object):
 
     # Override in subclasses.

zipline/utils/calendars/trading_calendar.py

@@ -21,7 +21,7 @@ from pandas import (
     DataFrame,
     date_range,
     DatetimeIndex,
-    Timedelta
+    DateOffset
 )
 from pandas.tseries.offsets import CustomBusinessDay
 
@@ -677,11 +677,16 @@ def days_at_time(days, t, tz, day_offset=0):
     day_offset : int
         The number of days we want to offset @days by
     """
-    days = DatetimeIndex(days).tz_localize(None).tz_localize(tz)
-    days_offset = days + Timedelta(days=day_offset)
+
+    # Offset days without tz to avoid timezone issues.
+    days = DatetimeIndex(days).tz_localize(None)
+    days_offset = days + DateOffset(days=day_offset)
+
+    # Shift all days to the target time in the local timezone, then
+    # convert to UTC.
     return days_offset.shift(
-        1, freq=Timedelta(hours=t.hour, minutes=t.minute, seconds=t.second)
-    ).tz_convert('UTC')
+        1, freq=DateOffset(hour=t.hour, minute=t.minute, second=t.second)
+    ).tz_localize(tz).tz_convert('UTC')
 
 
 def holidays_at_time(calendar, start, end, time, tz):