Merge pull request #1444 from quantopian/use-session-label-on-daily

BUG: Use session label instead of date for 1d.
quantopian · Aug 29, 2016 · 22ad891 · 22ad891
2 parents 0ae85eb + 9474ccb
commit 22ad891
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Showing 2 changed files with 6 additions and 5 deletions.
diff --git a/zipline/data/data_portal.py b/zipline/data/data_portal.py
@@ -634,7 +634,8 @@ def _get_history_daily_window(self, assets, end_dt, bar_count,
         Internal method that returns a dataframe containing history bars
         of daily frequency for the given sids.
         """
-        days_for_window = self._get_days_for_window(end_dt.date(), bar_count)
+        session = self.trading_calendar.minute_to_session_label(end_dt)
+        days_for_window = self._get_days_for_window(session, bar_count)
 
         if len(assets) == 0:
             return pd.DataFrame(None,

diff --git a/zipline/data/resample.py b/zipline/data/resample.py
@@ -107,12 +107,12 @@ def __init__(self, market_opens, minute_reader, trading_calendar):
         self._one_min = pd.Timedelta('1 min').value
 
     def _prelude(self, dt, field):
-        date = dt.date()
+        session = self._trading_calendar.minute_to_session_label(dt)
         dt_value = dt.value
         cache = self._caches[field]
-        if cache is None or cache[0] != date:
-            market_open = self._market_opens.loc[date]
-            cache = self._caches[field] = (dt.date(), market_open, {})
+        if cache is None or cache[0] != session:
+            market_open = self._market_opens.loc[session]
+            cache = self._caches[field] = (session, market_open, {})
 
         _, market_open, entries = cache
         market_open = market_open.tz_localize('UTC')