Merge pull request #1654 from quantopian/tell-me-the-current-session

ENH: add current_session property to BarData

tests/test_bar_data.py

@@ -12,7 +12,7 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-from datetime import timedelta
+from datetime import timedelta, time
 from itertools import chain
 
 from nose_parameterized import parameterized
@@ -20,6 +20,7 @@ import numpy as np
 from numpy import nan
 from numpy.testing import assert_almost_equal
 import pandas as pd
+from toolz import concat
 
 from zipline._protocol import handle_non_market_minutes
 
@@ -40,6 +41,7 @@ from zipline.testing.fixtures import (
     ZiplineTestCase,
 )
 from zipline.utils.calendars import get_calendar
+from zipline.utils.calendars.trading_calendar import days_at_time
 
 OHLC = ["open", "high", "low", "close"]
 OHLCP = OHLC + ["price"]
@@ -204,6 +206,34 @@ class TestMinuteBarData(WithCreateBarData,
 
         cls.ASSETS = [cls.ASSET1, cls.ASSET2]
 
+    def test_current_session(self):
+        regular_minutes = self.trading_calendar.minutes_for_sessions_in_range(
+            self.equity_minute_bar_days[0],
+            self.equity_minute_bar_days[-1]
+        )
+
+        bts_minutes = days_at_time(
+            self.equity_minute_bar_days,
+            time(8, 45),
+            "US/Eastern"
+        )
+
+        # some other non-market-minute
+        three_oh_six_am_minutes = days_at_time(
+            self.equity_minute_bar_days,
+            time(3, 06),
+            "US/Eastern"
+        )
+
+        all_minutes = [regular_minutes, bts_minutes, three_oh_six_am_minutes]
+        for minute in list(concat(all_minutes)):
+            bar_data = self.create_bardata(lambda: minute)
+
+            self.assertEqual(
+                self.trading_calendar.minute_to_session_label(minute),
+                bar_data.current_session
+            )
+
     def test_minute_before_assets_trading(self):
         # grab minutes that include the day before the asset start
         minutes = self.trading_calendar.minutes_for_session(
@@ -919,6 +949,19 @@ class TestDailyBarData(WithCreateBarData,
             session_label
         )[1]
 
+    def test_current_session(self):
+        for session in self.trading_calendar.sessions_in_range(
+            self.equity_daily_bar_days[0],
+            self.equity_daily_bar_days[-1]
+        ):
+            bar_data = self.create_bardata(
+                simulation_dt_func=lambda: self.get_last_minute_of_session(
+                    session
+                )
+            )
+
+            self.assertEqual(session, bar_data.current_session)
+
     def test_day_before_assets_trading(self):
         # use the day before self.bcolz_daily_bar_days[0]
         minute = self.get_last_minute_of_session(

zipline/_protocol.pyx

@@ -747,6 +747,13 @@ cdef class BarData:
         def __set__(self, val):
             self._adjust_minutes = val
 
+    property current_session:
+        def __get__(self):
+            return self._trading_calendar.minute_to_session_label(
+                self.simulation_dt_func(),
+                direction="next"
+            )
+
     #################
     # OLD API SUPPORT
     #################