FIX: Crashing on calculating benchmarking when no trading days

When we run a simulation that starts and ends on the same weekend,
return an empty series for the benchmark so as to not crash

tests/test_algorithm.py

@@ -155,6 +155,7 @@ from zipline.test_algorithms import (
     call_with_good_kwargs_get_open_orders,
     call_with_no_kwargs_get_open_orders,
     empty_positions,
+    set_benchmark_algo,
     no_handle_data,
 )
 from zipline.utils.api_support import ZiplineAPI, set_algo_instance
@@ -1819,6 +1820,28 @@ def handle_data(context, data):
         self.assertTrue(all(num_positions == 0))
         self.assertTrue(all(amounts == 0))
 
+    @parameterized.expand([
+        ('noop_algo', noop_algo),
+        ('with_benchmark_set', set_benchmark_algo)]
+    )
+    def test_zero_trading_days(self, name, algocode):
+        """
+        Test that when we run a simulation with no trading days (e.g. beginning
+        and ending the same weekend), we don't crash on calculating the
+        benchmark
+        """
+        sim_params = factory.create_simulation_parameters(
+            start=pd.Timestamp('2006-01-14', tz='UTC'),
+            end=pd.Timestamp('2006-01-15', tz='UTC')
+        )
+
+        algo = TradingAlgorithm(
+            script=algocode,
+            sim_params=sim_params,
+            env=self.env
+        )
+        algo.run(self.data_portal)
+
 
 class TestGetDatetime(WithLogger,
                       WithSimParams,

zipline/sources/benchmark_source.py

@@ -13,6 +13,8 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+import pandas as pd
+
 from zipline.errors import (
     InvalidBenchmarkAsset,
     BenchmarkAssetNotAvailableTooEarly,
@@ -29,7 +31,9 @@ class BenchmarkSource(object):
         self.emission_rate = emission_rate
         self.data_portal = data_portal
 
-        if self.benchmark_sid:
+        if len(trading_days) == 0:
+            self._precalculated_series = pd.Series()
+        elif self.benchmark_sid:
             self.benchmark_asset = self.env.asset_finder.retrieve_asset(
                 self.benchmark_sid)
 

zipline/test_algorithms.py

@@ -1140,3 +1140,14 @@ def test_history(context,data):
     record(amounts=context.portfolio.positions[context.sid].amount)
     record(num_positions=len(context.portfolio.positions))
 """
+
+set_benchmark_algo = """
+from zipline.api import symbol, set_benchmark
+
+def initialize(context):
+    set_benchmark(symbol('TEST'))
+    context.sid = symbol('TEST')
+
+def handle_data(context, data):
+    pass
+"""