Re-implemented the Calendar API.

Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar.  The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.
This commit is contained in:
Jean Bredeche
2016-07-12 13:13:50 -04:00
parent db4e06055c
commit 6fb4923cc7
71 changed files with 3119 additions and 3981 deletions
+5 -1
View File
@@ -96,7 +96,11 @@ ext_modules = [
Extension(
'zipline.data._minute_bar_internal',
['zipline/data/_minute_bar_internal.pyx']
)
),
Extension(
'zipline.utils.calendars._calendar_helpers',
['zipline/utils/calendars/_calendar_helpers.pyx']
),
]