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Change daily events to have market_close datetime instead of midnight #350

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twiecki opened this issue Jun 11, 2014 · 3 comments
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@twiecki
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twiecki commented Jun 11, 2014

history depends on the event being during market hours (#348). It also makes more sense to have daily events keyed at market close.

For this we should add a mapper to the zipline pipeline that does the replacement if daily mode is used.

@ehebert
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ehebert commented Jun 11, 2014

👍

That replacement should hopefully be pretty cheap, just indexing into the tradingcalendars open_and_closes.

A piece that I think would have to change is the index of the daily risk return vectors, but that should also be pretty much a drop in of indexing the open_and_closes with the desired trading_days.

@twiecki
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twiecki commented Jun 18, 2014

I started working on this. It's not quite as straight-forward as we'd hoped though.

@twiecki
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twiecki commented Jun 28, 2014

This is proving to be quite intricate to change.

@ssanderson I propose that we add a simple exception rule to history() that checks if daily input data is being used and the dt is midnight. That way we can push ahead with other important things much quicker.

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