TST: Make room for multiple calendars in tests.

When adding fixtures for futures data, there will be a need for multiple
calendars in the fixture ecosystem. e.g. a test that includes both
equities and futures would need an overall calendar which encompasses
both equities and futures; however, the test data for equities should
still still be limited to the bounds set by the NYSE calendar.

Make the fixtures that setup trading calendars and values dervied from
the trading calendar (e.g. trading sessions) accept an iterable of
calendars which need to be created, then populate those values into a
dict keyed by the calendar name.

Change `WithNYSETradingDays` to include sessions in the name,
since we are moving to session as the name for the 'day' unit.

Provide `trading_days` which is really "NYSE trading sessions` on
`WithTradingSessions` for backwards compatibility.

tests/data/test_minute_bars.py

@@ -45,7 +45,7 @@ from zipline.data.minute_bars import (
 
 from zipline.testing.fixtures import (
     WithInstanceTmpDir,
-    WithTradingCalendar,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 
@@ -56,7 +56,8 @@ TEST_CALENDAR_START = Timestamp('2014-06-02', tz='UTC')
 TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
 
 
-class BcolzMinuteBarTestCase(WithTradingCalendar, WithInstanceTmpDir,
+class BcolzMinuteBarTestCase(WithTradingCalendars,
+                             WithInstanceTmpDir,
                              ZiplineTestCase):
 
     @classmethod

tests/pipeline/base.py

@@ -17,7 +17,10 @@ from zipline.testing import (
     ExplodingObject,
     tmp_asset_finder,
 )
-from zipline.testing.fixtures import ZiplineTestCase, WithTradingCalendar
+from zipline.testing.fixtures import (
+    WithTradingCalendars,
+    ZiplineTestCase,
+)
 
 from zipline.utils.functional import dzip_exact
 from zipline.utils.pandas_utils import explode
@@ -50,7 +53,7 @@ def with_defaults(**default_funcs):
 with_default_shape = with_defaults(shape=lambda self: self.default_shape)
 
 
-class BasePipelineTestCase(WithTradingCalendar, ZiplineTestCase):
+class BasePipelineTestCase(WithTradingCalendars, ZiplineTestCase):
 
     @classmethod
     def init_class_fixtures(cls):

tests/pipeline/test_events.py

@@ -27,7 +27,7 @@ from zipline.pipeline.loaders.utils import (
 from zipline.testing import check_arrays, ZiplineTestCase
 from zipline.testing.fixtures import (
     WithAssetFinder,
-    WithNYSETradingDays,
+    WithTradingSessions,
 )
 from zipline.testing.predicates import assert_equal
 from zipline.utils.numpy_utils import (
@@ -268,7 +268,7 @@ class EventIndexerTestCase(ZiplineTestCase):
 
 
 class EventsLoaderTestCase(WithAssetFinder,
-                           WithNYSETradingDays,
+                           WithTradingSessions,
                            ZiplineTestCase):
 
     START_DATE = pd.Timestamp('2014-01-01')

tests/test_algorithm.py

@@ -98,7 +98,7 @@ from zipline.testing.fixtures import (
     WithSimParams,
     WithTradingEnvironment,
     WithTmpDir,
-    WithTradingCalendar,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.test_algorithms import (
@@ -3500,7 +3500,7 @@ class TestOrderCancelation(WithDataPortal,
             self.assertFalse(log_catcher.has_warnings)
 
 
-class TestEquityAutoClose(WithTmpDir, WithTradingCalendar, ZiplineTestCase):
+class TestEquityAutoClose(WithTmpDir, WithTradingCalendars, ZiplineTestCase):
     """
     Tests if delisted equities are properly removed from a portfolio holding
     positions in said equities.

tests/test_assets.py

@@ -82,7 +82,7 @@ from zipline.testing.predicates import assert_equal
 from zipline.testing.fixtures import (
     WithAssetFinder,
     ZiplineTestCase,
-    WithTradingCalendar,
+    WithTradingCalendars,
 )
 from zipline.utils.range import range
 
@@ -404,7 +404,7 @@ class TestFuture(WithAssetFinder, ZiplineTestCase):
             TestFuture.asset_finder.lookup_future_symbol('XXX99')
 
 
-class AssetFinderTestCase(WithTradingCalendar, ZiplineTestCase):
+class AssetFinderTestCase(WithTradingCalendars, ZiplineTestCase):
     asset_finder_type = AssetFinder
 
     def write_assets(self, **kwargs):

tests/test_benchmark.py

@@ -30,12 +30,12 @@ from zipline.testing import (
 from zipline.testing.fixtures import (
     WithDataPortal,
     WithSimParams,
-    WithTradingCalendar,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 
 
-class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendar,
+class TestBenchmark(WithDataPortal, WithSimParams, WithTradingCalendars,
                     ZiplineTestCase):
     START_DATE = pd.Timestamp('2006-01-03', tz='utc')
     END_DATE = pd.Timestamp('2006-12-29', tz='utc')

tests/test_perf_tracking.py

@@ -57,7 +57,7 @@ from zipline.testing.fixtures import (
     WithSimParams,
     WithTmpDir,
     WithTradingEnvironment,
-    WithTradingCalendar,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.utils.calendars import get_calendar
@@ -1031,8 +1031,9 @@ class TestDividendPerformanceHolidayStyle(TestDividendPerformance):
     END_DATE = pd.Timestamp('2003-12-08', tz='utc')
 
 
-class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendar,
+class TestPositionPerformance(WithInstanceTmpDir, WithTradingCalendars,
                               ZiplineTestCase):
+
     def create_environment_stuff(self,
                                  num_days=4,
                                  sids=[1, 2],

tests/test_security_list.py

@@ -14,7 +14,7 @@ from zipline.testing import (
 )
 from zipline.testing.fixtures import (
     WithLogger,
-    WithTradingCalendar,
+    WithTradingCalendars,
     ZiplineTestCase,
 )
 from zipline.utils import factory
@@ -67,7 +67,7 @@ class IterateRLAlgo(TradingAlgorithm):
                 self.found = True
 
 
-class SecurityListTestCase(WithLogger, WithTradingCalendar, ZiplineTestCase):
+class SecurityListTestCase(WithLogger, WithTradingCalendars, ZiplineTestCase):
 
     @classmethod
     def init_class_fixtures(cls):

zipline/testing/fixtures.py

@@ -3,7 +3,7 @@ from unittest import TestCase
 
 from contextlib2 import ExitStack
 from logbook import NullHandler, Logger
-from six import with_metaclass
+from six import with_metaclass, iteritems
 from toolz import flip
 import pandas as pd
 import responses
@@ -365,28 +365,58 @@ class WithAssetFinder(WithDefaultDateBounds):
         cls.asset_finder = cls.make_asset_finder()
 
 
-class WithTradingCalendar(object):
+class WithTradingCalendars(object):
     """
-    ZiplineTestCase mixing providing cls.trading_calendar as a class-level
-    fixture.
+    ZiplineTestCase mixin providing cls.trading_calendar,
+    cls.all_trading_calendars, cls.trading_calendar_for_asset_type as a
+    class-level fixture.
 
-    After ``init_class_fixtures`` has been called, `cls.trading_calendar` is
-    populated with a trading calendar.
+    After ``init_class_fixtures`` has been called:
+    - `cls.trading_calendar` is populated with a default of the nyse trading
+    calendar for compatibility with existing tests
+    - `cls.all_trading_calendars` is populated with the trading calendars
+    keyed by name,
+    - `cls.trading_calendar_for_asset_type` is populated with the trading
+    calendars keyed by the asset type which uses the respective calendar.
 
     Attributes
     ----------
-    TRADING_CALENDAR_STR : str
-        The identifier of the calendar to use.
+    TRADING_CALENDAR_STRS : iterable
+        iterable of identifiers of the calendars to use.
+    TRADING_CALENDAR_FOR_ASSET_TYPE : dict
+        A dictionay which maps asset type names to the calendar associated
+        with that asset type.
     """
-    TRADING_CALENDAR_STR = 'NYSE'
+    TRADING_CALENDAR_STRS = ('NYSE',)
+    TRADING_CALENDAR_FOR_ASSET_TYPE = {'equities': 'NYSE'}
+
+    # For backwards compatibility, exisitng tests and fixtures refer to
+    # `trading_calendar` with the assumption that the value is the NYSE
+    # calendar.
+    trading_calendar = alias('nyse_calendar')
 
     @classmethod
     def init_class_fixtures(cls):
-        super(WithTradingCalendar, cls).init_class_fixtures()
-        cls.trading_calendar = get_calendar(cls.TRADING_CALENDAR_STR)
+        super(WithTradingCalendars, cls).init_class_fixtures()
+
+        cls.trading_calendars = {}
+
+        for cal_str in cls.TRADING_CALENDAR_STRS:
+            # Set name to allow aliasing.
+            calendar = get_calendar(cal_str)
+            setattr(cls,
+                    '{0}_calendar'.format(cal_str.lower()), calendar)
+            cls.trading_calendars[cal_str] = calendar
+        for asset_type, cal_str in iteritems(
+                cls.TRADING_CALENDAR_FOR_ASSET_TYPE):
+            calendar = get_calendar(cal_str)
+            setattr(cls,
+                    '{0}_calendar'.format(asset_type),
+                    calendar)
+            cls.trading_calendars[asset_type] = calendar
 
 
-class WithTradingEnvironment(WithAssetFinder, WithTradingCalendar):
+class WithTradingEnvironment(WithAssetFinder, WithTradingCalendars):
     """
     ZiplineTestCase mixin providing cls.env as a class-level fixture.
 
@@ -493,15 +523,21 @@ class WithSimParams(WithTradingEnvironment):
         cls.sim_params = cls.make_simparams()
 
 
-class WithNYSETradingDays(WithTradingCalendar):
+class WithTradingSessions(WithTradingCalendars):
     """
-    ZiplineTestCase mixin providing cls.trading_days as a class-level fixture.
+    ZiplineTestCase mixin providing cls.trading_days, cls.all_trading_sessions
+    as a class-level fixture.
 
-    After init_class_fixtures has been called, `cls.trading_days` is populated
-    with a DatetimeIndex containing NYSE calendar trading days ranging from:
+    After init_class_fixtures has been called, `cls.all_trading_sessions`
+    is populated with a dictionary of calendar name to the DatetimeIndex
+    containing the calendar trading days ranging from:
 
     (DATA_MAX_DAY - (cls.TRADING_DAY_COUNT) -> DATA_MAX_DAY)
 
+    `cls.trading_days`, for compatibility with existing tests which make the
+    assumption that trading days are equity only, defaults to the nyse trading
+    sessions.
+
     Attributes
     ----------
     DATA_MAX_DAY : datetime
@@ -514,15 +550,27 @@ class WithNYSETradingDays(WithTradingCalendar):
     DATA_MIN_DAY = alias('START_DATE')
     DATA_MAX_DAY = alias('END_DATE')
 
+    # For backwards compatibility, exisitng tests and fixtures refer to
+    # `trading_days` with the assumption that the value is days of the NYSE
+    # calendar.
+    trading_days = alias('nyse_sessions')
+
     @classmethod
     def init_class_fixtures(cls):
-        super(WithNYSETradingDays, cls).init_class_fixtures()
+        super(WithTradingSessions, cls).init_class_fixtures()
 
-        all_days = cls.trading_calendar.all_sessions
-        start_loc = all_days.get_loc(cls.DATA_MIN_DAY, 'bfill')
-        end_loc = all_days.get_loc(cls.DATA_MAX_DAY, 'ffill')
+        cls.trading_sessions = {}
 
-        cls.trading_days = all_days[start_loc:end_loc + 1]
+        for name, trading_calendar in iteritems(cls.trading_calendars):
+            all_sessions = trading_calendar.all_sessions
+            start_loc = all_sessions.get_loc(cls.DATA_MIN_DAY, 'bfill')
+            end_loc = all_sessions.get_loc(cls.DATA_MAX_DAY, 'ffill')
+
+            sessions = all_sessions[start_loc:end_loc + 1]
+            # Set name for aliasing.
+            setattr(cls,
+                    '{0}_sessions'.format(name.lower()), sessions)
+            cls.trading_sessions[name] = sessions
 
 
 class WithTmpDir(object):
@@ -814,8 +862,9 @@ class WithEquityMinuteBarData(WithTradingEnvironment):
 
     @classmethod
     def make_equity_minute_bar_data(cls):
+        trading_calendar = cls.equities_calendar
         return create_minute_bar_data(
-            cls.trading_calendar.minutes_for_sessions_in_range(
+            trading_calendar.minutes_for_sessions_in_range(
                 cls.equity_minute_bar_days[0],
                 cls.equity_minute_bar_days[-1],
             ),
@@ -826,19 +875,19 @@ class WithEquityMinuteBarData(WithTradingEnvironment):
     def init_class_fixtures(cls):
         super(WithEquityMinuteBarData, cls).init_class_fixtures()
         if cls.EQUITY_MINUTE_BAR_USE_FULL_CALENDAR:
-            days = cls.trading_calendar.all_execution_days
+            days = cls.equites_calendar.all_execution_days
         else:
-            first_session = cls.trading_calendar.minute_to_session_label(
+            first_session = cls.equities_calendar.minute_to_session_label(
                 pd.Timestamp(cls.EQUITY_MINUTE_BAR_START_DATE)
             )
 
             if cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS > 0:
-                first_session = cls.trading_calendar.sessions_window(
+                first_session = cls.equities_calendar.sessions_window(
                     first_session,
                     -1 * cls.EQUITY_MINUTE_BAR_LOOKBACK_DAYS
                 )[0]
 
-            days = cls.trading_calendar.sessions_in_range(
+            days = cls.equities_calendar.sessions_in_range(
                 first_session,
                 cls.EQUITY_MINUTE_BAR_END_DATE
             )
@@ -1000,7 +1049,7 @@ class WithAdjustmentReader(WithBcolzEquityDailyBarReader):
         cls.adjustment_reader = SQLiteAdjustmentReader(conn)
 
 
-class WithSeededRandomPipelineEngine(WithNYSETradingDays, WithAssetFinder):
+class WithSeededRandomPipelineEngine(WithTradingSessions, WithAssetFinder):
     """
     ZiplineTestCase mixin providing class-level fixtures for running pipelines
     against deterministically-generated random data.