TST: Add unittest for daily history with midnight dt.

tests/test_history.py

@@ -18,6 +18,7 @@ from unittest import TestCase
 from nose_parameterized import parameterized
 import numpy as np
 import pandas as pd
+from pandas.util.testing import assert_frame_equal
 
 from zipline.history import history
 from zipline.history.history_container import HistoryContainer
@@ -26,7 +27,7 @@ import zipline.utils.factory as factory
 from zipline import TradingAlgorithm
 from zipline.finance.trading import SimulationParameters, TradingEnvironment
 
-from zipline.sources import RandomWalkSource
+from zipline.sources import RandomWalkSource, DataFrameSource
 
 from .history_cases import (
     HISTORY_CONTAINER_TEST_CASES,
@@ -128,7 +129,8 @@ def get_index_at_dt(case_input):
         case_input['bar_count'],
         case_input['frequency'],
         None,
-        False
+        False,
+        daily_at_midnight=False
     )
     return history.index_at_dt(history_spec, case_input['algo_dt'])
 
@@ -217,7 +219,8 @@ class TestHistoryContainer(TestCase):
             bar_count=3,
             frequency='1d',
             field='price',
-            ffill=True
+            ffill=True,
+            daily_at_midnight=False
         )
         specs = {spec.key_str: spec}
         initial_sids = [1, ]
@@ -342,6 +345,54 @@ class TestHistoryAlgo(TestCase):
     def setUp(self):
         np.random.seed(123)
 
+    def test_history_daily(self):
+        bar_count = 3
+        algo_text = """
+from zipline.api import history, add_history
+from copy import deepcopy
+
+def initialize(context):
+    add_history(bar_count={bar_count}, frequency='1d', field='price')
+    context.history_trace = []
+
+def handle_data(context, data):
+    prices = history(bar_count={bar_count}, frequency='1d', field='price')
+    context.history_trace.append(deepcopy(prices))
+""".format(bar_count=bar_count).strip()
+
+        #      March 2006
+        # Su Mo Tu We Th Fr Sa
+        #          1  2  3  4
+        #  5  6  7  8  9 10 11
+        # 12 13 14 15 16 17 18
+        # 19 20 21 22 23 24 25
+        # 26 27 28 29 30 31
+
+        start = pd.Timestamp('2006-03-20', tz='UTC')
+        end = pd.Timestamp('2006-03-30', tz='UTC')
+
+        sim_params = factory.create_simulation_parameters(
+            start=start, end=end)
+
+        _, df = factory.create_test_df_source(sim_params)
+        df = df.astype(np.float64)
+        source = DataFrameSource(df, sids=[0])
+
+        test_algo = TradingAlgorithm(
+            script=algo_text,
+            data_frequency='daily',
+            sim_params=sim_params
+        )
+
+        output = test_algo.run(source)
+        self.assertIsNotNone(output)
+
+        history_trace = test_algo.history_trace
+
+        for i, received in enumerate(history_trace[bar_count - 1:]):
+            expected = df.iloc[i:i + bar_count]
+            assert_frame_equal(expected, received)
+
     def test_basic_history(self):
         algo_text = """
 from zipline.api import history, add_history