MAINT: Use trading day increment instead of timedelta in test factory.

In the test factory creation of returns, the date creation was using
a timedelta of one day instead of incrementing by trading days.

Working towards changing risk module behavior which would leverage
the trading day map, but tests fail because non-trading days are
created.

Remove `factory.create_returns`, moving uses of that function to us
`factory.create_returns_from_period`, since the number of days input
for `create_returns` was more difficult to use when specifying ranges
over arbirtray dates.

tests/test_risk.py

@@ -728,8 +728,10 @@ class Risk(unittest.TestCase):
                          [0.0500])
 
     def test_benchmarkrange(self):
-        self.check_year_range(datetime.datetime(year=2008, month=1, day=1),
-                              2)
+        self.check_year_range(
+            datetime.datetime(
+                year=2008, month=1, day=1, tzinfo=pytz.utc),
+            2)
 
     def test_partial_month(self):
 
@@ -749,21 +751,18 @@ class Risk(unittest.TestCase):
             period_end=end
         )
 
-        returns = factory.create_returns(total_days, sim_params90s)
+        returns = factory.create_returns_from_range(sim_params90s)
         returns = returns[:-10]  # truncate the returns series to end mid-month
         metrics = risk.RiskReport(returns, sim_params90s)
         total_months = 60
         self.check_metrics(metrics, total_months, start)
 
     def check_year_range(self, start_date, years):
-        if(start_date.month <= 2):
-            ld = calendar.leapdays(start_date.year, start_date.year + years)
-        else:
-            # because we may catch the leap of the last year,
-            # and i think this func is [start,end)
-            ld = calendar.leapdays(start_date.year,
-                                   start_date.year + years + 1)
-        returns = factory.create_returns(365 * years + ld, self.sim_params08)
+        sim_params = SimulationParameters(
+            period_start=start_date,
+            period_end=start_date.replace(year=(start_date.year + years))
+        )
+        returns = factory.create_returns_from_range(sim_params)
         metrics = risk.RiskReport(returns, self.sim_params)
         total_months = years * 12
         self.check_metrics(metrics, total_months, start_date)

zipline/utils/factory.py

@@ -184,50 +184,30 @@ def create_txn_history(sid, priceList, amtList, interval, sim_params):
     return txns
 
 
-def create_returns(daycount, sim_params):
-    """
-    For the given number of calendar (not trading) days return all the trading
-    days between start and start + daycount.
-    """
-    test_range = []
-    current = sim_params.first_open
-    one_day = timedelta(days=1)
-
-    for day in range(daycount):
-        current = current + one_day
-        if trading.environment.is_trading_day(current):
-            r = DailyReturn(current, random.random())
-            test_range.append(r)
-
-    return test_range
-
-
 def create_returns_from_range(sim_params):
     current = sim_params.first_open
     end = sim_params.last_close
-    one_day = timedelta(days=1)
     test_range = []
     while current <= end:
         r = DailyReturn(current, random.random())
         test_range.append(r)
-        current = get_next_trading_dt(current, one_day)
+        current = trading.environment.next_trading_day(current)
 
     return test_range
 
 
 def create_returns_from_list(returns, sim_params):
     current = sim_params.first_open
-    one_day = timedelta(days=1)
     test_range = []
 
     #sometimes the range starts with a non-trading day.
     if not trading.environment.is_trading_day(current):
-        current = get_next_trading_dt(current, one_day)
+        current = trading.environment.next_trading_day(current)
 
     for return_val in returns:
         r = DailyReturn(current, return_val)
         test_range.append(r)
-        current = get_next_trading_dt(current, one_day)
+        current = trading.environment.next_trading_day(current)
 
     return test_range