MAINT: Reduce the number of minutes included in risk index.

Instead of midnight to midnight for each day, use the trading
environment's market open and close for each day, so that the index
is exactly the trading minutes of each day.

Reduces the amount of memory consumed, but more importantly should
make it easier to inspect the Series that use the index and check
whether the values are correctly being filled.

zipline/finance/risk/cumulative.py

@@ -110,8 +110,20 @@ class RiskMetricsCumulative(object):
         self.daily_treasury = pd.Series(index=self.trading_days)
 
     def get_minute_index(self, sim_params):
-        return pd.date_range(sim_params.first_open, sim_params.last_close,
-                             freq="Min")
+        """
+        Stitches together multiple days worth of business minutes into
+        one continous index.
+        """
+        trading_minutes = None
+        for day in self.trading_days:
+            mkt_open, mkt_close = trading.environment.get_open_and_close(day)
+            minutes_for_day = pd.date_range(mkt_open, mkt_close, freq='T')
+            if trading_minutes is None:
+                # Create container for all minutes on first iteration
+                trading_minutes = minutes_for_day
+            else:
+                trading_minutes = trading_minutes + minutes_for_day
+        return trading_minutes
 
     def get_daily_index(self):
         return self.trading_days