MAINT: Makes RandomWalkSource emit midnight UTC events in daily mode.

tests/test_history.py

@@ -874,7 +874,11 @@ def handle_data(context, data):
         np.testing.assert_almost_equal(recorded_ma,
                                        159.76304468946876)
 
-    def test_history_container_constructed_at_runtime(self):
+    @parameterized.expand([
+        ('daily',),
+        ('minute',),
+    ])
+    def test_history_container_constructed_at_runtime(self, data_freq):
         algo_text = dedent(
             """\
             from zipline.api import history
@@ -889,17 +893,17 @@ def handle_data(context, data):
             period_start=start,
             period_end=end,
             capital_base=float("1.0e5"),
-            data_frequency='minute',
-            emission_rate='daily'
+            data_frequency=data_freq,
+            emission_rate=data_freq
         )
 
         test_algo = TradingAlgorithm(
             script=algo_text,
-            data_frequency='minute',
+            data_frequency=data_freq,
             sim_params=sim_params
         )
 
-        source = RandomWalkSource(start=start, end=end)
+        source = RandomWalkSource(start=start, end=end, freq=data_freq)
 
         self.assertIsNone(test_algo.history_container)
         test_algo.run(source)
@@ -909,13 +913,6 @@ def handle_data(context, data):
         )
 
         container = test_algo.history_container
-        self.assertEqual(
-            container.buffer_panel.window_length,
-            Frequency.MAX_MINUTES['d'],
-            msg='HistoryContainer.buffer_panel was not large enough to service'
-            ' the given HistorySpec',
-        )
-
         self.assertEqual(
             len(container.digest_panels),
             1,

tests/test_sources.py

@@ -125,6 +125,4 @@ def test_day(self):
             self.assertLess(event.dt, end)
             self.assertGreater(event.price, 0,
                                "price should never go negative.")
-            self.assertTrue(13 <= event.dt.hour <= 21,
-                            "event.dt.hour == %i, not during market \
-                            hours." % event.dt.hour)
+            self.assertEqual(event.dt.hour, 0)

zipline/sources/simulated.py

@@ -18,6 +18,7 @@
 
 import numpy as np
 from datetime import timedelta
+import pandas as pd
 
 from zipline.sources.data_source import DataSource
 from zipline.utils import tradingcalendar as calendar_nyse
@@ -141,7 +142,8 @@ def raw_data_gen(self):
                     current_dt += timedelta(minutes=1)
             elif self.freq == 'daily':
                 # Emit one signal per day at close
-                for event in self._gen_events(cur_prices, close_dt):
+                for event in self._gen_events(
+                        cur_prices, pd.tslib.normalize_date(close_dt)):
                     yield event
 
     @property