From fccbae25ed4295bfc6acc2736897908f17a28826 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Mon, 24 Oct 2016 13:58:58 -0400 Subject: [PATCH] BUG: Fix session from minute reader's last traded. The last traded dt provided from the session bar reader which resamples from minutes should provide a dt that is a session label, not one that is at the minute frequency. --- tests/data/test_resample.py | 4 +--- zipline/data/resample.py | 3 ++- 2 files changed, 3 insertions(+), 4 deletions(-) diff --git a/tests/data/test_resample.py b/tests/data/test_resample.py index db8d2102..e160153d 100644 --- a/tests/data/test_resample.py +++ b/tests/data/test_resample.py @@ -604,9 +604,7 @@ class TestResampleSessionBars(WithBcolzFutureMinuteBarReader, ) self.assertEqual( - self.trading_calendar.open_and_close_for_session( - self.trading_calendar.previous_session_label(self.END_DATE) - )[1], + self.trading_calendar.previous_session_label(self.END_DATE), self.session_bar_reader.get_last_traded_dt(future, self.END_DATE) ) diff --git a/zipline/data/resample.py b/zipline/data/resample.py index aa87e594..eae2b9f5 100644 --- a/zipline/data/resample.py +++ b/zipline/data/resample.py @@ -562,7 +562,8 @@ class MinuteResampleSessionBarReader(SessionBarReader): return self._minute_bar_reader.first_trading_day def get_last_traded_dt(self, asset, dt): - return self._minute_bar_reader.get_last_traded_dt(asset, dt) + return self.trading_calendar.minute_to_session_label( + self._minute_bar_reader.get_last_traded_dt(asset, dt)) class ReindexBarReader(with_metaclass(ABCMeta)):