TradingEnvironment allows the specification of a benchmark index and a local timezone for the exchange. This commit adds tests to verify the TradingEnvironment properly handles London Stock Exchange index, FTSE.

- added LSE reference rrules calendar (thanks to Edward Johns)
    - added tests to verify LSE environment matches rrule calendar
    - added a test to verify global environment behavior can be set.
    - moved DailyReturn class to trading to eliminate circularity from
    risk <-> trading.
    - updated TradingEnvironment to be a context manager. This allows users
    to run algorithms in individually isolated environments in one python
    process. This is useful for managing multiple algorithms in a single
    ipython notebook.
    - added comments to explain behavior and useage of the global environment

tests/test_algorithm_gen.py

@@ -18,8 +18,9 @@ from unittest import TestCase
 from nose.tools import timed
 
 from datetime import datetime
-import pytz
 
+import pytz
+import zipline.finance.trading as trading
 from zipline.algorithm import TradingAlgorithm
 from zipline.finance import slippage
 from zipline.utils import factory
@@ -78,6 +79,35 @@ class AlgorithmGeneratorTestCase(TestCase):
     def tearDown(self):
         teardown_logger(self)
 
+    def test_lse_algorithm(self):
+
+        lse = trading.TradingEnvironment(
+            bm_symbol='^FTSE',
+            exchange_tz='Europe/London'
+        )
+
+        with lse:
+
+            sim_params = factory.create_simulation_parameters(
+                start=datetime(2012, 5, 1, tzinfo=pytz.utc),
+                end=datetime(2012, 6, 30, tzinfo=pytz.utc)
+            )
+            algo = TestAlgo(self, sim_params=sim_params)
+            trade_source = factory.create_daily_trade_source(
+                [8229],
+                200,
+                sim_params
+            )
+            algo.set_sources([trade_source])
+
+            gen = algo.get_generator()
+            results = list(gen)
+            self.assertEqual(len(results), 42)
+            # May 7, 2012 was an LSE holiday, confirm the 4th trading
+            # day was May 8.
+            self.assertEqual(results[4]['daily_perf']['period_open'],
+                             datetime(2012, 5, 8, 8, 30, tzinfo=pytz.utc))
+
     @timed(DEFAULT_TIMEOUT)
     def test_generator_dates(self):
         """