ENH: Adds ExchangeCalendar, TradingSchedule, and implementations

Conflicts: tests/data/test_minute_bars.py tests/data/test_us_equity_pricing.py tests/finance/test_slippage.py tests/pipeline/test_engine.py tests/pipeline/test_us_equity_pricing_loader.py tests/serialization_cases.py tests/test_algorithm.py tests/test_assets.py tests/test_bar_data.py tests/test_benchmark.py tests/test_exception_handling.py tests/test_fetcher.py tests/test_finance.py tests/test_history.py tests/test_perf_tracking.py tests/test_security_list.py tests/utils/test_events.py zipline/algorithm.py zipline/data/data_portal.py zipline/data/us_equity_loader.py zipline/errors.py zipline/finance/trading.py zipline/testing/core.py zipline/utils/events.py
volconst · Jun 8, 2016 · c8304e8 · c8304e8
1 parent c9b5979
commit c8304e8
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Showing 46 changed files with 9,709 additions and 1,137 deletions.
diff --git a/tests/data/test_minute_bars.py b/tests/data/test_minute_bars.py
@@ -45,8 +45,7 @@
     US_EQUITIES_MINUTES_PER_DAY,
     BcolzMinuteWriterColumnMismatch
 )
-from zipline.finance.trading import TradingEnvironment
-
+from zipline.utils.calendars import get_calendar, default_nyse_schedule
 
 # Calendar is set to cover several half days, to check a case where half
 # days would be read out of order in cases of windows which spanned over
@@ -59,15 +58,11 @@ class BcolzMinuteBarTestCase(TestCase):
 
     @classmethod
     def setUpClass(cls):
-        cls.env = TradingEnvironment()
-        all_market_opens = cls.env.open_and_closes.market_open
-        all_market_closes = cls.env.open_and_closes.market_close
-        indexer = all_market_opens.index.slice_indexer(
-            start=TEST_CALENDAR_START,
-            end=TEST_CALENDAR_STOP
+        trading_days = get_calendar('NYSE').trading_days(
+            TEST_CALENDAR_START, TEST_CALENDAR_STOP
         )
-        cls.market_opens = all_market_opens[indexer]
-        cls.market_closes = all_market_closes[indexer]
+        cls.market_opens = trading_days.market_open
+        cls.market_closes = trading_days.market_close
         cls.test_calendar_start = cls.market_opens.index[0]
         cls.test_calendar_stop = cls.market_opens.index[-1]
 
@@ -802,10 +797,12 @@ def test_unadjusted_minutes_early_close(self):
 
         data = {sids[0]: data_1, sids[1]: data_2}
 
-        start_minute_loc = self.env.market_minutes.get_loc(minutes[0])
-        minute_locs = [self.env.market_minutes.get_loc(minute) -
-                       start_minute_loc
-                       for minute in minutes]
+        start_minute_loc = \
+            default_nyse_schedule.all_execution_minutes.get_loc(minutes[0])
+        minute_locs = [
+            default_nyse_schedule.all_execution_minutes.get_loc(minute) \
+            - start_minute_loc
+            for minute in minutes]
 
         for i, col in enumerate(columns):
             for j, sid in enumerate(sids):
@@ -824,7 +821,9 @@ def test_adjust_non_trading_minutes(self):
             'close': arange(1, 781),
             'volume': arange(1, 781)
         }
-        dts = array(self.env.minutes_for_days_in_range(start_day, end_day))
+        dts = array(default_nyse_schedule.execution_minutes_for_days_in_range(
+            start_day, end_day
+        ))
         self.writer.write_cols(sid, dts, cols)
 
         self.assertEqual(
@@ -866,7 +865,9 @@ def test_adjust_non_trading_minutes_half_days(self):
             'close': arange(1, 601),
             'volume': arange(1, 601)
         }
-        dts = array(self.env.minutes_for_days_in_range(start_day, end_day))
+        dts = array(default_nyse_schedule.execution_minutes_for_days_in_range(
+            start_day, end_day
+        ))
         self.writer.write_cols(sid, dts, cols)
 
         self.assertEqual(

diff --git a/tests/data/test_us_equity_pricing.py b/tests/data/test_us_equity_pricing.py
@@ -46,6 +46,7 @@
     WithBcolzDailyBarReader,
     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')
@@ -96,11 +97,9 @@ def make_daily_bar_data(cls):
     @classmethod
     def init_class_fixtures(cls):
         super(BcolzDailyBarTestCase, cls).init_class_fixtures()
-        all_trading_days = cls.env.trading_days
-        cls.trading_days = all_trading_days[
-            all_trading_days.get_loc(TEST_CALENDAR_START):
-            all_trading_days.get_loc(TEST_CALENDAR_STOP) + 1
-        ]
+        cls.trading_days = get_calendar('NYSE').trading_days(
+            TEST_CALENDAR_START, TEST_CALENDAR_STOP
+        ).index
 
     @property
     def assets(self):

diff --git a/tests/finance/test_slippage.py b/tests/finance/test_slippage.py
@@ -38,6 +38,7 @@
     WithSimParams,
     ZiplineTestCase,
 )
+from zipline.utils.calendars import default_nyse_schedule
 
 
 class SlippageTestCase(WithSimParams, WithDataPortal, ZiplineTestCase):
@@ -93,7 +94,7 @@ def test_volume_share_slippage(self):
         )
         with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader:
             data_portal = DataPortal(
-                self.env,
+                self.env, default_nyse_schedule,
                 first_trading_day=reader.first_trading_day,
                 equity_minute_reader=reader,
             )
@@ -482,8 +483,12 @@ def test_orders_stop(self, name, order_data, event_data, expected):
         )
         with tmp_bcolz_minute_bar_reader(self.env, days, assets) as reader:
             data_portal = DataPortal(
+<<<<<<< HEAD
                 self.env,
                 first_trading_day=reader.first_trading_day,
+=======
+                self.env, default_nyse_schedule,
+>>>>>>> ENH: Adds ExchangeCalendar, TradingSchedule, and implementations
                 equity_minute_reader=reader,
             )
 

diff --git a/tests/pipeline/test_engine.py b/tests/pipeline/test_engine.py
@@ -85,6 +85,7 @@
     ZiplineTestCase,
 )
 from zipline.utils.memoize import lazyval
+from zipline.utils.calendars import default_nyse_schedule
 
 
 class RollingSumDifference(CustomFactor):
@@ -826,7 +827,7 @@ def init_class_fixtures(cls):
         cls.dates = date_range(
             cls.start,
             cls.end,
-            freq=cls.env.trading_day,
+            freq=default_nyse_schedule.day,
             tz='UTC',
         )
         cls.assets = cls.asset_finder.retrieve_all(cls.asset_ids)
@@ -985,7 +986,7 @@ def write_nans(self, df):
     def test_SMA(self):
         engine = SimplePipelineEngine(
             lambda column: self.pipeline_loader,
-            self.env.trading_days,
+            default_nyse_schedule.all_execution_days,
             self.asset_finder,
         )
         window_length = 5
@@ -1039,7 +1040,7 @@ def test_drawdown(self):
         # valuable.
         engine = SimplePipelineEngine(
             lambda column: self.pipeline_loader,
-            self.env.trading_days,
+            default_nyse_schedule.all_execution_days,
             self.asset_finder,
         )
         window_length = 5
@@ -1083,7 +1084,7 @@ class ParameterizedFactorTestCase(WithTradingEnvironment, ZiplineTestCase):
     @classmethod
     def init_class_fixtures(cls):
         super(ParameterizedFactorTestCase, cls).init_class_fixtures()
-        day = cls.env.trading_day
+        day = default_nyse_schedule.day
 
         cls.dates = dates = date_range(
             '2015-02-01',

diff --git a/tests/pipeline/test_pipeline_algo.py b/tests/pipeline/test_pipeline_algo.py
@@ -60,7 +60,7 @@
     WithDataPortal,
     ZiplineTestCase,
 )
-from zipline.utils.tradingcalendar import trading_day
+from zipline.utils.calendars import default_nyse_schedule
 
 
 TEST_RESOURCE_PATH = join(
@@ -70,6 +70,9 @@
 )
 
 
+trading_day = default_nyse_schedule.day
+
+
 def rolling_vwap(df, length):
     "Simple rolling vwap implementation for testing"
     closes = df['close'].values