Merge pull request #1442 from quantopian/schedule-all-the-hours

ENH: Let event offsets be up to 12 hours.

tests/events/test_events.py

@@ -312,6 +312,19 @@ class StatelessRulesTests(RuleTestCase):
                 else:
                     self.assertTrue(should_trigger(minute))
 
+    def test_invalid_offset(self):
+        with self.assertRaises(ValueError):
+            AfterOpen(hours=12, minutes=1)
+
+        with self.assertRaises(ValueError):
+            AfterOpen(hours=0, minutes=0)
+
+        with self.assertRaises(ValueError):
+            BeforeClose(hours=12, minutes=1)
+
+        with self.assertRaises(ValueError):
+            BeforeClose(hours=0, minutes=0)
+
     def test_BeforeClose(self):
         minute_groups = minutes_for_days(self.cal, ordered_days=True)
         should_trigger = self.before_close.should_trigger

tests/events/test_events_cme.py

@@ -15,7 +15,9 @@
 from unittest import TestCase
 import pandas as pd
 
-from test_events import StatefulRulesTests, StatelessRulesTests
+from test_events import StatefulRulesTests, StatelessRulesTests, \
+    minutes_for_days
+from zipline.utils.events import AfterOpen
 
 
 class TestStatelessRulesCME(StatelessRulesTests, TestCase):
@@ -24,6 +26,18 @@ class TestStatelessRulesCME(StatelessRulesTests, TestCase):
     HALF_SESSION = pd.Timestamp("2014-07-04", tz='UTC')
     FULL_SESSION = pd.Timestamp("2014-09-24", tz='UTC')
 
+    def test_far_after_open(self):
+        minute_groups = minutes_for_days(self.cal, ordered_days=True)
+        after_open = AfterOpen(hours=9, minutes=25)
+        after_open.cal = self.cal
+
+        for session_minutes in minute_groups:
+            for i, minute in enumerate(session_minutes):
+                if i != 564:
+                    self.assertFalse(after_open.should_trigger(minute))
+                else:
+                    self.assertTrue(after_open.should_trigger(minute))
+
 
 class TestStatefulRulesCME(StatefulRulesTests, TestCase):
     CALENDAR_STRING = "CME"

tests/events/test_events_nyse.py

@@ -18,10 +18,12 @@ import pandas as pd
 from nose_parameterized import parameterized
 
 from zipline.testing import parameter_space
-from zipline.utils.events import NDaysBeforeLastTradingDayOfWeek, AfterOpen
+from zipline.utils.events import NDaysBeforeLastTradingDayOfWeek, AfterOpen, \
+    BeforeClose
 from zipline.utils.events import NthTradingDayOfWeek
 
-from test_events import StatelessRulesTests, StatefulRulesTests
+from test_events import StatelessRulesTests, StatefulRulesTests, \
+    minutes_for_days
 
 
 class TestStatelessRulesNYSE(StatelessRulesTests, TestCase):
@@ -140,6 +142,23 @@ class TestStatelessRulesNYSE(StatelessRulesTests, TestCase):
 
         self.assertEqual(n_triggered, 1)
 
+    def test_offset_too_far(self):
+        minute_groups = minutes_for_days(self.cal, ordered_days=True)
+
+        # Neither rule should ever fire, since they are configured to fire
+        # 11+ hours after the open or before the close.  a NYSE session is
+        # never longer than 6.5 hours.
+        after_open_rule = AfterOpen(hours=11, minutes=11)
+        after_open_rule.cal = self.cal
+
+        before_close_rule = BeforeClose(hours=11, minutes=5)
+        before_close_rule.cal = self.cal
+
+        for session_minutes in minute_groups:
+            for minute in session_minutes:
+                self.assertFalse(after_open_rule.should_trigger(minute))
+                self.assertFalse(before_close_rule.should_trigger(minute))
+
 
 class TestStatefulRulesNYSE(StatefulRulesTests, TestCase):
     CALENDAR_STRING = "NYSE"

zipline/utils/events.py

@@ -90,12 +90,12 @@ def _out_of_range_error(a, b=None, var='offset'):
 def _td_check(td):
     seconds = td.total_seconds()
 
-    # 23400 seconds is 6 hours and 30 minutes.
+    # 43200 seconds = 12 hours
-    if 60 <= seconds <= 23400:
+    if 60 <= seconds <= 43200:
         return td
     else:
-        raise ValueError('offset must be in between 1 minute and 6 hours and'
+        raise ValueError('offset must be in between 1 minute and 12 hours, '
-                         ' 30 minutes inclusive')
+                         'inclusive.')
 
 
 def _build_offset(offset, kwargs, default):