Merge pull request #1802 from Peque/calendar_bug

Fix bug in TradingCalendar initialization

tests/calendars/test_nyse_calendar.py

@@ -226,3 +226,17 @@ class NYSECalendarTestCase(ExchangeCalendarTestBase, TestCase):
         self.assertFalse(self.calendar.is_open_on_minute(wednesday_before))
         self.assertTrue(self.calendar.is_open_on_minute(friday_after_open))
         self.assertTrue(self.calendar.is_open_on_minute(friday_after))
+
+
+class CalendarStartEndTestCase(TestCase):
+    def test_start_end(self):
+        """
+        Check TradingCalendar with defined start/end dates.
+        """
+        start = pd.Timestamp('2010-1-3', tz='UTC')
+        end = pd.Timestamp('2010-1-10', tz='UTC')
+        calendar = NYSEExchangeCalendar(start=start, end=end)
+        expected_first = pd.Timestamp('2010-1-4', tz='UTC')
+        expected_last = pd.Timestamp('2010-1-8', tz='UTC')
+        self.assertTrue(calendar.first_trading_session == expected_first)
+        self.assertTrue(calendar.last_trading_session == expected_last)

zipline/utils/calendars/trading_calendar.py

@@ -889,11 +889,7 @@ def days_at_time(days, t, tz, day_offset=0):
 
 def holidays_at_time(calendar, start, end, time, tz):
     return days_at_time(
-        calendar.holidays(
-            # Workaround for https://github.com/pydata/pandas/issues/9825.
-            start.tz_localize(None),
-            end.tz_localize(None),
-        ),
+        calendar.holidays(start, end),
         time,
         tz=tz,
     )