BUG: days_at_time should return UTC dates.

Adds an example and clarifies the docs.

zipline/utils/calendars/trading_calendar.py

@@ -809,20 +809,35 @@ class TradingCalendar(with_metaclass(ABCMeta)):
 
 def days_at_time(days, t, tz, day_offset=0):
     """
-    Shift an index of days to time t, interpreted in tz.
+    Create an index of days at time ``t``, interpreted in timezone ``tz``.
 
-    Overwrites any existing tz info on the input.
+    The returned index is localized to UTC.
 
     Parameters
     ----------
     days : DatetimeIndex
-        The "base" time which we want to change.
+        An index of dates (represented as midnight).
     t : datetime.time
-        The time we want to offset @days by
+        The time to apply as an offset to each day in ``days``.
     tz : pytz.timezone
-        The timezone which these times represent
+        The timezone to use to interpret ``tz``.
     day_offset : int
         The number of days we want to offset @days by
+
+    Example
+    -------
+
+    In the example below, the times switch from 13:45 to 12:45 UTC because
+    March 13th is the daylight savings transition for US/Eastern.  All the
+    times are still 8:45 when interpreted in US/Eastern.
+
+    >>> import pandas as pd; import datetime; import pprint
+    >>> dts = pd.date_range('2016-03-12', '2016-03-14')
+    >>> dts_at_845 = days_at_time(dts, datetime.time(8, 45), 'US/Eastern')
+    >>> pprint.pprint([str(dt) for dt in dts_at_845])
+    ['2016-03-12 13:45:00+00:00',
+     '2016-03-13 12:45:00+00:00',
+     '2016-03-14 12:45:00+00:00']
     """
     if len(days) == 0:
         return days
@@ -835,7 +850,7 @@ def days_at_time(days, t, tz, day_offset=0):
         minutes=t.minute,
         seconds=t.second,
     )
-    return (days + delta).tz_localize(tz)
+    return (days + delta).tz_localize(tz).tz_convert('UTC')
 
 
 def holidays_at_time(calendar, start, end, time, tz):