Re-implemented the Calendar API.

Instead of having separate ExchangeCalendar and TradingSchedule objects, we
now just have TradingCalendar.  The TradingCalendar keeps track of each
session (defined as a contiguous set of minutes between an open and a close).
It's also responsible for handling the grouping logic of any given minute
to its containing session, or the next/previous session if it's not a market
minute for the given calendar.

setup.py

@@ -96,7 +96,11 @@ def build_extensions(self):
     Extension(
         'zipline.data._minute_bar_internal',
         ['zipline/data/_minute_bar_internal.pyx']
-    )
+    ),
+    Extension(
+        'zipline.utils.calendars._calendar_helpers',
+        ['zipline/utils/calendars/_calendar_helpers.pyx']
+    ),
 ]
 
 

tests/data/bundles/test_core.py

@@ -111,9 +111,9 @@ def bundle_ingest(environ,
     def test_ingest(self):
         start = pd.Timestamp('2014-01-06', tz='utc')
         end = pd.Timestamp('2014-01-10', tz='utc')
-        trading_days = get_calendar('NYSE').all_trading_days
+        trading_days = get_calendar('NYSE').all_sessions
         calendar = trading_days[trading_days.slice_indexer(start, end)]
-        minutes = get_calendar('NYSE').trading_minutes_for_days_in_range(
+        minutes = get_calendar('NYSE').minutes_for_sessions_in_range(
             calendar[0], calendar[-1]
         )
 

tests/data/bundles/test_yahoo.py

@@ -18,7 +18,7 @@ class YahooBundleTestCase(WithResponses, ZiplineTestCase):
     columns = 'open', 'high', 'low', 'close', 'volume'
     asset_start = pd.Timestamp('2014-01-02', tz='utc')
     asset_end = pd.Timestamp('2014-12-31', tz='utc')
-    trading_days = get_calendar('NYSE').all_trading_days
+    trading_days = get_calendar('NYSE').all_sessions
     calendar = trading_days[
         (trading_days >= asset_start) &
         (trading_days <= asset_end)

tests/data/test_minute_bars.py

@@ -45,7 +45,7 @@
 
 from zipline.testing.fixtures import (
     WithInstanceTmpDir,
-    WithTradingSchedule,
+    WithTradingCalendar,
     ZiplineTestCase,
 )
 
@@ -56,17 +56,20 @@
 TEST_CALENDAR_STOP = Timestamp('2015-12-31', tz='UTC')
 
 
-class BcolzMinuteBarTestCase(WithTradingSchedule, WithInstanceTmpDir,
+class BcolzMinuteBarTestCase(WithTradingCalendar, WithInstanceTmpDir,
                              ZiplineTestCase):
 
     @classmethod
     def init_class_fixtures(cls):
         super(BcolzMinuteBarTestCase, cls).init_class_fixtures()
-        trading_days = cls.trading_schedule.trading_sessions(
-            TEST_CALENDAR_START, TEST_CALENDAR_STOP
-        )
-        cls.market_opens = trading_days.market_open
-        cls.market_closes = trading_days.market_close
+
+        cal = cls.trading_calendar.schedule.loc[
+            TEST_CALENDAR_START:TEST_CALENDAR_STOP
+        ]
+
+        cls.market_opens = cal.market_open
+        cls.market_closes = cal.market_close
+
         cls.test_calendar_start = cls.market_opens.index[0]
         cls.test_calendar_stop = cls.market_opens.index[-1]
 
@@ -798,9 +801,9 @@ def test_unadjusted_minutes_early_close(self):
         data = {sids[0]: data_1, sids[1]: data_2}
 
         start_minute_loc = \
-            self.trading_schedule.all_execution_minutes.get_loc(minutes[0])
+            self.trading_calendar.all_minutes.get_loc(minutes[0])
         minute_locs = [
-            self.trading_schedule.all_execution_minutes.get_loc(minute)
+            self.trading_calendar.all_minutes.get_loc(minute)
             - start_minute_loc
             for minute in minutes
         ]
@@ -822,9 +825,11 @@ def test_adjust_non_trading_minutes(self):
             'close': arange(1, 781),
             'volume': arange(1, 781)
         }
-        dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
-            start_day, end_day
+        dts = array(self.trading_calendar.minutes_for_sessions_in_range(
+            self.trading_calendar.minute_to_session_label(start_day),
+            self.trading_calendar.minute_to_session_label(end_day)
         ))
+
         self.writer.write_cols(sid, dts, cols)
 
         self.assertEqual(
@@ -866,9 +871,13 @@ def test_adjust_non_trading_minutes_half_days(self):
             'close': arange(1, 601),
             'volume': arange(1, 601)
         }
-        dts = array(self.trading_schedule.execution_minutes_for_days_in_range(
-            start_day, end_day
-        ))
+        dts = array(
+            self.trading_calendar.minutes_for_sessions_in_range(
+                self.trading_calendar.minute_to_session_label(start_day),
+                self.trading_calendar.minute_to_session_label(end_day)
+            )
+        )
+
         self.writer.write_cols(sid, dts, cols)
 
         self.assertEqual(

tests/data/test_us_equity_pricing.py

@@ -46,7 +46,6 @@
     WithBcolzEquityDailyBarReader,
     ZiplineTestCase,
 )
-from zipline.utils.calendars import get_calendar
 
 TEST_CALENDAR_START = Timestamp('2015-06-01', tz='UTC')
 TEST_CALENDAR_STOP = Timestamp('2015-06-30', tz='UTC')
@@ -97,16 +96,17 @@ def make_equity_daily_bar_data(cls):
     @classmethod
     def init_class_fixtures(cls):
         super(BcolzDailyBarTestCase, cls).init_class_fixtures()
-        cls.trading_days = get_calendar('NYSE').trading_days(
-            TEST_CALENDAR_START, TEST_CALENDAR_STOP
-        ).index
+        cls.sessions = cls.trading_calendar.sessions_in_range(
+            cls.trading_calendar.minute_to_session_label(TEST_CALENDAR_START),
+            cls.trading_calendar.minute_to_session_label(TEST_CALENDAR_STOP)
+        )
 
     @property
     def assets(self):
         return EQUITY_INFO.index
 
     def trading_days_between(self, start, end):
-        return self.trading_days[self.trading_days.slice_indexer(start, end)]
+        return self.sessions[self.sessions.slice_indexer(start, end)]
 
     def asset_start(self, asset_id):
         return asset_start(EQUITY_INFO, asset_id)
@@ -181,14 +181,14 @@ def test_write_attrs(self):
             expected_calendar_offset,
         )
         assert_index_equal(
-            self.trading_days,
+            self.sessions,
             DatetimeIndex(result.attrs['calendar'], tz='UTC'),
         )
 
     def test_read_first_trading_day(self):
         self.assertEqual(
             self.bcolz_equity_daily_bar_reader.first_trading_day,
-            self.trading_days[0],
+            self.sessions[0],
         )
 
     def _check_read_results(self, columns, assets, start_date, end_date):
@@ -234,7 +234,7 @@ def test_start_on_asset_start(self):
                 columns,
                 self.assets,
                 start_date=self.asset_start(asset),
-                end_date=self.trading_days[-1],
+                end_date=self.sessions[-1],
             )
 
     def test_start_on_asset_end(self):
@@ -248,7 +248,7 @@ def test_start_on_asset_end(self):
                 columns,
                 self.assets,
                 start_date=self.asset_end(asset),
-                end_date=self.trading_days[-1],
+                end_date=self.sessions[-1],
             )
 
     def test_end_on_asset_start(self):
@@ -261,7 +261,7 @@ def test_end_on_asset_start(self):
             self._check_read_results(
                 columns,
                 self.assets,
-                start_date=self.trading_days[0],
+                start_date=self.sessions[0],
                 end_date=self.asset_start(asset),
             )
 
@@ -275,7 +275,7 @@ def test_end_on_asset_end(self):
             self._check_read_results(
                 columns,
                 self.assets,
-                start_date=self.trading_days[0],
+                start_date=self.sessions[0],
                 end_date=self.asset_end(asset),
             )
 

tests/finance/test_slippage.py

@@ -91,10 +91,10 @@ def test_volume_share_slippage(self):
             start=normalize_date(self.minutes[0]),
             end=normalize_date(self.minutes[-1])
         )
-        with tmp_bcolz_equity_minute_bar_reader(self.trading_schedule, days, assets) \
+        with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \
                 as reader:
             data_portal = DataPortal(
-                self.env.asset_finder, self.trading_schedule,
+                self.env.asset_finder, self.trading_calendar,
                 first_trading_day=reader.first_trading_day,
                 equity_minute_reader=reader,
             )
@@ -481,10 +481,10 @@ def test_orders_stop(self, name, order_data, event_data, expected):
             start=normalize_date(self.minutes[0]),
             end=normalize_date(self.minutes[-1])
         )
-        with tmp_bcolz_equity_minute_bar_reader(self.trading_schedule, days, assets) \
+        with tmp_bcolz_equity_minute_bar_reader(self.trading_calendar, days, assets) \
                 as reader:
             data_portal = DataPortal(
-                self.env.asset_finder, self.trading_schedule,
+                self.env.asset_finder, self.trading_calendar,
                 first_trading_day=reader.first_trading_day,
                 equity_minute_reader=reader,
             )

tests/pipeline/base.py

@@ -17,7 +17,7 @@
     ExplodingObject,
     tmp_asset_finder,
 )
-from zipline.testing.fixtures import ZiplineTestCase, WithTradingSchedule
+from zipline.testing.fixtures import ZiplineTestCase, WithTradingCalendar
 
 from zipline.utils.functional import dzip_exact
 from zipline.utils.pandas_utils import explode
@@ -50,14 +50,14 @@ def method(self, *args, **kwargs):
 with_default_shape = with_defaults(shape=lambda self: self.default_shape)
 
 
-class BasePipelineTestCase(WithTradingSchedule, ZiplineTestCase):
+class BasePipelineTestCase(WithTradingCalendar, ZiplineTestCase):
 
     @classmethod
     def init_class_fixtures(cls):
         super(BasePipelineTestCase, cls).init_class_fixtures()
 
         cls.__calendar = date_range('2014', '2015',
-                                    freq=cls.trading_schedule.day)
+                                    freq=cls.trading_calendar.day)
         cls.__assets = assets = Int64Index(arange(1, 20))
         cls.__tmp_finder_ctx = tmp_asset_finder(
             equities=make_simple_equity_info(

tests/pipeline/test_engine.py

@@ -782,7 +782,7 @@ def init_class_fixtures(cls):
         cls.dates = date_range(
             cls.start,
             cls.end,
-            freq=cls.trading_schedule.day,
+            freq=cls.trading_calendar.day,
             tz='UTC',
         )
         cls.assets = cls.asset_finder.retrieve_all(cls.asset_ids)
@@ -886,7 +886,7 @@ def make_equity_info(cls):
         cls.equity_info = ret = make_rotating_equity_info(
             num_assets=6,
             first_start=cls.first_asset_start,
-            frequency=cls.trading_schedule.day,
+            frequency=cls.trading_calendar.day,
             periods_between_starts=4,
             asset_lifetime=8,
         )
@@ -941,15 +941,15 @@ def write_nans(self, df):
     def test_SMA(self):
         engine = SimplePipelineEngine(
             lambda column: self.pipeline_loader,
-            self.trading_schedule.all_execution_days,
+            self.trading_calendar.all_sessions,
             self.asset_finder,
         )
         window_length = 5
         asset_ids = self.all_asset_ids
         dates = date_range(
-            self.first_asset_start + self.trading_schedule.day,
+            self.first_asset_start + self.trading_calendar.day,
             self.last_asset_end,
-            freq=self.trading_schedule.day,
+            freq=self.trading_calendar.day,
         )
         dates_to_test = dates[window_length:]
 
@@ -969,7 +969,7 @@ def test_SMA(self):
         # **previous** day's data.
         expected_raw = rolling_mean(
             expected_bar_values_2d(
-                dates - self.trading_schedule.day,
+                dates - self.trading_calendar.day,
                 self.equity_info,
                 'close',
             ),
@@ -995,15 +995,15 @@ def test_drawdown(self):
         # valuable.
         engine = SimplePipelineEngine(
             lambda column: self.pipeline_loader,
-            self.trading_schedule.all_execution_days,
+            self.trading_calendar.all_sessions,
             self.asset_finder,
         )
         window_length = 5
         asset_ids = self.all_asset_ids
         dates = date_range(
-            self.first_asset_start + self.trading_schedule.day,
+            self.first_asset_start + self.trading_calendar.day,
             self.last_asset_end,
-            freq=self.trading_schedule.day,
+            freq=self.trading_calendar.day,
         )
         dates_to_test = dates[window_length:]
 
@@ -1039,7 +1039,7 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
     @classmethod
     def init_class_fixtures(cls):
         super(ParameterizedFactorTestCase, cls).init_class_fixtures()
-        day = cls.trading_schedule.day
+        day = cls.trading_calendar.day
 
         cls.dates = dates = date_range(
             '2015-02-01',

tests/pipeline/test_frameload.py

@@ -24,22 +24,21 @@
 from zipline.pipeline.loaders.frame import (
     DataFrameLoader,
 )
-from zipline.utils.calendars import default_nyse_schedule
-
-
-trading_day = default_nyse_schedule.day
+from zipline.utils.calendars import get_calendar
 
 
 class DataFrameLoaderTestCase(TestCase):
 
     def setUp(self):
+        self.trading_day = get_calendar("NYSE").day
+
         self.nsids = 5
         self.ndates = 20
 
         self.sids = Int64Index(range(self.nsids))
         self.dates = DatetimeIndex(
             start='2014-01-02',
-            freq=trading_day,
+            freq=self.trading_day,
             periods=self.ndates,
         )
 
@@ -161,17 +160,17 @@ def test_adjustments(self):
             },
             {  # Date Before Known Data
                 'sid': 2,
-                'start_date': self.dates[0] - (2 * trading_day),
-                'end_date': self.dates[0] - trading_day,
-                'apply_date': self.dates[0] - trading_day,
+                'start_date': self.dates[0] - (2 * self.trading_day),
+                'end_date': self.dates[0] - self.trading_day,
+                'apply_date': self.dates[0] - self.trading_day,
                 'value': -9999.0,
                 'kind': OVERWRITE,
             },
             {  # Date After Known Data
                 'sid': 2,
-                'start_date': self.dates[-1] + trading_day,
-                'end_date': self.dates[-1] + (2 * trading_day),
-                'apply_date': self.dates[-1] + (3 * trading_day),
+                'start_date': self.dates[-1] + self.trading_day,
+                'end_date': self.dates[-1] + (2 * self.trading_day),
+                'apply_date': self.dates[-1] + (3 * self.trading_day),
                 'value': -9999.0,
                 'kind': OVERWRITE,
             },