ENH: move the data_query_time to the domain #2288
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ssanderson
reviewed
Sep 6, 2018
zipline/pipeline/domain.py
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| Returns | ||
| ------- | ||
| data_query_cutoff : pd.DatetimeIndex | ||
| The sessions at the given data query time. |
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"At the given query time" is a bit confusing since there's no cutoff time being provided to this function.
zipline/pipeline/domain.py
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| def data_query_cutoff_for_sessions(self, sessions): | ||
| return days_at_time( | ||
| sessions.tz_localize('UTC'), |
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Is sessions always expected to be tz-naive? I would have expected our normal midnight UTC convention here.
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In the tests, it appears to never be localized, meaning we are passing unlocalized dts to pipeline loaders.
zipline/pipeline/domain.py
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| Name of the calendar, to be looked by by trading_calendar.get_calendar. | ||
| data_query_offset : datetime.timedelta | ||
| The offset from market open when data should no longer be considered | ||
| available for a session. |
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An example might be helpful here, e.g. "For example, a data_query_offset of -timedelta(minutes=45) signifies that data must have been available 45 minutes prior to market open for it to appear in pipeline inputs for a given day."
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ssanderson
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ssanderson
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Sep 14, 2018
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