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ENH: Change open and close to midnight if using daily input data.

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This commit is contained in:
Thomas Wiecki
2014-07-16 15:16:57 +02:00
parent 4980928394
commit 6de4d32ee1
3 changed files with 33 additions and 16 deletions
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zipline/algorithm.py
+4 -1
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@@ -819,7 +819,10 @@ class TradingAlgorithm(object):
@api_method
def add_history(self, bar_count, frequency, field,
ffill=True):
history_spec = HistorySpec(bar_count, frequency, field, ffill)
daily_at_midnight = (self.sim_params.data_frequency == 'daily')
history_spec = HistorySpec(bar_count, frequency, field, ffill,
daily_at_midnight=daily_at_midnight)
self.history_specs[history_spec.key_str] = history_spec
@api_method