zipline.utils.get_early_closes() - Code Metrics - Inspection of "Merge pull request #915 from quantopian/remove-per..." - quantopian/zipline - Measure and Improve Code Quality continuously with Scrutinizer

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by Eddie

created 2015-12-15 20:34 UTC

zipline.utils.get_early_closes() B

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How to fix Long Method

#
# Copyright 2013 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import pandas as pd
import pytz

from datetime import datetime
from dateutil import rrule
from functools import partial

start = pd.Timestamp('1990-01-01', tz='UTC')
end_base = pd.Timestamp('today', tz='UTC')
# Give an aggressive buffer for logic that needs to use the next trading
# day or minute.
end = end_base + pd.Timedelta(days=365)


def canonicalize_datetime(dt):
    # Strip out any HHMMSS or timezone info in the user's datetime, so that
    # all the datetimes we return will be 00:00:00 UTC.
    return datetime(dt.year, dt.month, dt.day, tzinfo=pytz.utc)


def get_non_trading_days(start, end):
    non_trading_rules = []

    start = canonicalize_datetime(start)
    end = canonicalize_datetime(end)

    weekends = rrule.rrule(
        rrule.YEARLY,
        byweekday=(rrule.SA, rrule.SU),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(weekends)

    new_years = rrule.rrule(
        rrule.MONTHLY,
        byyearday=1,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(new_years)

    new_years_sunday = rrule.rrule(
        rrule.MONTHLY,
        byyearday=2,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(new_years_sunday)

    mlk_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=1,
        byweekday=(rrule.MO(+3)),
        cache=True,
        dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
        until=end
    )
    non_trading_rules.append(mlk_day)

    presidents_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=2,
        byweekday=(rrule.MO(3)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(presidents_day)

    good_friday = rrule.rrule(
        rrule.DAILY,
        byeaster=-2,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(good_friday)

    memorial_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=5,
        byweekday=(rrule.MO(-1)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(memorial_day)

    july_4th = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=4,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th)

    july_4th_sunday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=5,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th_sunday)

    july_4th_saturday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th_saturday)

    labor_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=9,
        byweekday=(rrule.MO(1)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(labor_day)

    thanksgiving = rrule.rrule(
        rrule.MONTHLY,
        bymonth=11,
        byweekday=(rrule.TH(4)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(thanksgiving)

    christmas = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=25,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas)

    christmas_sunday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=26,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas_sunday)

    # If Christmas is a Saturday then 24th, a Friday is observed.
    christmas_saturday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=24,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas_saturday)

    non_trading_ruleset = rrule.rruleset()

    for rule in non_trading_rules:
        non_trading_ruleset.rrule(rule)

    non_trading_days = non_trading_ruleset.between(start, end, inc=True)

    # Add September 11th closings
    # http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
    # Due to the terrorist attacks, the stock market did not open on 9/11/2001
    # It did not open again until 9/17/2001.
    #
    #    September 2001
    # Su Mo Tu We Th Fr Sa
    #                    1
    #  2  3  4  5  6  7  8
    #  9 10 11 12 13 14 15
    # 16 17 18 19 20 21 22
    # 23 24 25 26 27 28 29
    # 30

    for day_num in range(11, 17):
        non_trading_days.append(
            datetime(2001, 9, day_num, tzinfo=pytz.utc))

    # Add closings due to Hurricane Sandy in 2012
    # http://en.wikipedia.org/wiki/Hurricane_sandy
    #
    # The stock exchange was closed due to Hurricane Sandy's
    # impact on New York.
    # It closed on 10/29 and 10/30, reopening on 10/31
    #     October 2012
    # Su Mo Tu We Th Fr Sa
    #     1  2  3  4  5  6
    #  7  8  9 10 11 12 13
    # 14 15 16 17 18 19 20
    # 21 22 23 24 25 26 27
    # 28 29 30 31

    for day_num in range(29, 31):
        non_trading_days.append(
            datetime(2012, 10, day_num, tzinfo=pytz.utc))

    # Misc closings from NYSE listing.
    # http://www.nyse.com/pdfs/closings.pdf
    #
    # National Days of Mourning
    # - President Richard Nixon
    non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
    # - President Ronald W. Reagan - June 11, 2004
    non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
    # - President Gerald R. Ford - Jan 2, 2007
    non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))

    non_trading_days.sort()
    return pd.DatetimeIndex(non_trading_days)

non_trading_days = get_non_trading_days(start, end)
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)


def get_trading_days(start, end, trading_day=trading_day):
    return pd.date_range(start=start.date(),
                         end=end.date(),
                         freq=trading_day).tz_localize('UTC')

trading_days = get_trading_days(start, end)


def get_early_closes(start, end):
    # 1:00 PM close rules based on
    # http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
    # and verified against http://www.nyse.com/pdfs/closings.pdf

    # These rules are valid starting in 1993

    start = canonicalize_datetime(start)
    end = canonicalize_datetime(end)

    start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
    end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))

    # Not included here are early closes prior to 1993
    # or unplanned early closes

    early_close_rules = []

    day_after_thanksgiving = rrule.rrule(
        rrule.MONTHLY,
        bymonth=11,
        # 4th Friday isn't correct if month starts on Friday, so restrict to
        # day range:
        byweekday=(rrule.FR),
        bymonthday=range(23, 30),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(day_after_thanksgiving)

    christmas_eve = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=24,
        byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(christmas_eve)

    friday_after_christmas = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=26,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        # valid 1993-2007
        until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
    )
    early_close_rules.append(friday_after_christmas)

    day_before_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=(rrule.MO, rrule.TU, rrule.TH),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(day_before_independence_day)

    day_after_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=5,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        # starting in 2013: wednesday before independence day
        until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
    )
    early_close_rules.append(day_after_independence_day)

    wednesday_before_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=rrule.WE,
        cache=True,
        # starting in 2013
        dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
        until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
    )
    early_close_rules.append(wednesday_before_independence_day)

    early_close_ruleset = rrule.rruleset()

    for rule in early_close_rules:
        early_close_ruleset.rrule(rule)
    early_closes = early_close_ruleset.between(start, end, inc=True)

    # Misc early closings from NYSE listing.
    # http://www.nyse.com/pdfs/closings.pdf
    #
    # New Year's Eve
    nye_1999 = datetime(1999, 12, 31, tzinfo=pytz.utc)
    if start <= nye_1999 and nye_1999 <= end:
        early_closes.append(nye_1999)

    early_closes.sort()
    return pd.DatetimeIndex(early_closes)

early_closes = get_early_closes(start, end)


def get_open_and_close(day, early_closes):
    market_open = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=9,
            minute=31),
        tz='US/Eastern').tz_convert('UTC')
    # 1 PM if early close, 4 PM otherwise
    close_hour = 13 if day in early_closes else 16
    market_close = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=close_hour),
        tz='US/Eastern').tz_convert('UTC')

    return market_open, market_close


def get_open_and_closes(trading_days, early_closes, get_open_and_close):
    open_and_closes = pd.DataFrame(index=trading_days,
                                   columns=('market_open', 'market_close'))

    get_o_and_c = partial(get_open_and_close, early_closes=early_closes)

    open_and_closes['market_open'], open_and_closes['market_close'] = \
        zip(*open_and_closes.index.map(get_o_and_c))

    return open_and_closes

open_and_closes = get_open_and_closes(trading_days, early_closes,
                                      get_open_and_close)


1			#
2			# Copyright 2013 Quantopian, Inc.
3			#
4			# Licensed under the Apache License, Version 2.0 (the "License");
5			# you may not use this file except in compliance with the License.
6			# You may obtain a copy of the License at
7			#
8			# http://www.apache.org/licenses/LICENSE-2.0
9			#
10			# Unless required by applicable law or agreed to in writing, software
11			# distributed under the License is distributed on an "AS IS" BASIS,
12			# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
13			# See the License for the specific language governing permissions and
14			# limitations under the License.
15			import pandas as pd
16			import pytz
17
18			from datetime import datetime
19			from dateutil import rrule
20			from functools import partial
21
22			start = pd.Timestamp('1990-01-01', tz='UTC')
23			end_base = pd.Timestamp('today', tz='UTC')
24			# Give an aggressive buffer for logic that needs to use the next trading
25			# day or minute.
26			end = end_base + pd.Timedelta(days=365)
27
28
29			def canonicalize_datetime(dt):
30			# Strip out any HHMMSS or timezone info in the user's datetime, so that
31			# all the datetimes we return will be 00:00:00 UTC.
32			return datetime(dt.year, dt.month, dt.day, tzinfo=pytz.utc)
33
34
35			def get_non_trading_days(start, end):
36			non_trading_rules = []
37
38			start = canonicalize_datetime(start)
39			end = canonicalize_datetime(end)
40
41			weekends = rrule.rrule(
42			rrule.YEARLY,
43			byweekday=(rrule.SA, rrule.SU),
44			cache=True,
45			dtstart=start,
46			until=end
47			)
48			non_trading_rules.append(weekends)
49
50			new_years = rrule.rrule(
51			rrule.MONTHLY,
52			byyearday=1,
53			cache=True,
54			dtstart=start,
55			until=end
56			)
57			non_trading_rules.append(new_years)
58
59			new_years_sunday = rrule.rrule(
60			rrule.MONTHLY,
61			byyearday=2,
62			byweekday=rrule.MO,
63			cache=True,
64			dtstart=start,
65			until=end
66			)
67			non_trading_rules.append(new_years_sunday)
68
69			mlk_day = rrule.rrule(
70			rrule.MONTHLY,
71			bymonth=1,
72			byweekday=(rrule.MO(+3)),
73			cache=True,
74			dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
75			until=end
76			)
77			non_trading_rules.append(mlk_day)
78
79			presidents_day = rrule.rrule(
80			rrule.MONTHLY,
81			bymonth=2,
82			byweekday=(rrule.MO(3)),
83			cache=True,
84			dtstart=start,
85			until=end
86			)
87			non_trading_rules.append(presidents_day)
88
89			good_friday = rrule.rrule(
90			rrule.DAILY,
91			byeaster=-2,
92			cache=True,
93			dtstart=start,
94			until=end
95			)
96			non_trading_rules.append(good_friday)
97
98			memorial_day = rrule.rrule(
99			rrule.MONTHLY,
100			bymonth=5,
101			byweekday=(rrule.MO(-1)),
102			cache=True,
103			dtstart=start,
104			until=end
105			)
106			non_trading_rules.append(memorial_day)
107
108			july_4th = rrule.rrule(
109			rrule.MONTHLY,
110			bymonth=7,
111			bymonthday=4,
112			cache=True,
113			dtstart=start,
114			until=end
115			)
116			non_trading_rules.append(july_4th)
117
118			july_4th_sunday = rrule.rrule(
119			rrule.MONTHLY,
120			bymonth=7,
121			bymonthday=5,
122			byweekday=rrule.MO,
123			cache=True,
124			dtstart=start,
125			until=end
126			)
127			non_trading_rules.append(july_4th_sunday)
128
129			july_4th_saturday = rrule.rrule(
130			rrule.MONTHLY,
131			bymonth=7,
132			bymonthday=3,
133			byweekday=rrule.FR,
134			cache=True,
135			dtstart=start,
136			until=end
137			)
138			non_trading_rules.append(july_4th_saturday)
139
140			labor_day = rrule.rrule(
141			rrule.MONTHLY,
142			bymonth=9,
143			byweekday=(rrule.MO(1)),
144			cache=True,
145			dtstart=start,
146			until=end
147			)
148			non_trading_rules.append(labor_day)
149
150			thanksgiving = rrule.rrule(
151			rrule.MONTHLY,
152			bymonth=11,
153			byweekday=(rrule.TH(4)),
154			cache=True,
155			dtstart=start,
156			until=end
157			)
158			non_trading_rules.append(thanksgiving)
159
160			christmas = rrule.rrule(
161			rrule.MONTHLY,
162			bymonth=12,
163			bymonthday=25,
164			cache=True,
165			dtstart=start,
166			until=end
167			)
168			non_trading_rules.append(christmas)
169
170			christmas_sunday = rrule.rrule(
171			rrule.MONTHLY,
172			bymonth=12,
173			bymonthday=26,
174			byweekday=rrule.MO,
175			cache=True,
176			dtstart=start,
177			until=end
178			)
179			non_trading_rules.append(christmas_sunday)
180
181			# If Christmas is a Saturday then 24th, a Friday is observed.
182			christmas_saturday = rrule.rrule(
183			rrule.MONTHLY,
184			bymonth=12,
185			bymonthday=24,
186			byweekday=rrule.FR,
187			cache=True,
188			dtstart=start,
189			until=end
190			)
191			non_trading_rules.append(christmas_saturday)
192
193			non_trading_ruleset = rrule.rruleset()
194
195			for rule in non_trading_rules:
196			non_trading_ruleset.rrule(rule)
197
198			non_trading_days = non_trading_ruleset.between(start, end, inc=True)
199
200			# Add September 11th closings
201			# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
202			# Due to the terrorist attacks, the stock market did not open on 9/11/2001
203			# It did not open again until 9/17/2001.
204			#
205			# September 2001
206			# Su Mo Tu We Th Fr Sa
207			# 1
208			# 2 3 4 5 6 7 8
209			# 9 10 11 12 13 14 15
210			# 16 17 18 19 20 21 22
211			# 23 24 25 26 27 28 29
212			# 30
213
214			for day_num in range(11, 17):
215			non_trading_days.append(
216			datetime(2001, 9, day_num, tzinfo=pytz.utc))
217
218			# Add closings due to Hurricane Sandy in 2012
219			# http://en.wikipedia.org/wiki/Hurricane_sandy
220			#
221			# The stock exchange was closed due to Hurricane Sandy's
222			# impact on New York.
223			# It closed on 10/29 and 10/30, reopening on 10/31
224			# October 2012
225			# Su Mo Tu We Th Fr Sa
226			# 1 2 3 4 5 6
227			# 7 8 9 10 11 12 13
228			# 14 15 16 17 18 19 20
229			# 21 22 23 24 25 26 27
230			# 28 29 30 31
231
232			for day_num in range(29, 31):
233			non_trading_days.append(
234			datetime(2012, 10, day_num, tzinfo=pytz.utc))
235
236			# Misc closings from NYSE listing.
237			# http://www.nyse.com/pdfs/closings.pdf
238			#
239			# National Days of Mourning
240			# - President Richard Nixon
241			non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
242			# - President Ronald W. Reagan - June 11, 2004
243			non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
244			# - President Gerald R. Ford - Jan 2, 2007
245			non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))
246
247			non_trading_days.sort()
248			return pd.DatetimeIndex(non_trading_days)
249
250			non_trading_days = get_non_trading_days(start, end)
251			trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
252
253
254			def get_trading_days(start, end, trading_day=trading_day):
255			return pd.date_range(start=start.date(),
256			end=end.date(),
257			freq=trading_day).tz_localize('UTC')
258
259			trading_days = get_trading_days(start, end)
260
261
262			def get_early_closes(start, end):
263			# 1:00 PM close rules based on
264			# http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
265			# and verified against http://www.nyse.com/pdfs/closings.pdf
266
267			# These rules are valid starting in 1993
268
269			start = canonicalize_datetime(start)
270			end = canonicalize_datetime(end)
271
272			start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
273			end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
274
275			# Not included here are early closes prior to 1993
276			# or unplanned early closes
277
278			early_close_rules = []
279
280			day_after_thanksgiving = rrule.rrule(
281			rrule.MONTHLY,
282			bymonth=11,
283			# 4th Friday isn't correct if month starts on Friday, so restrict to
284			# day range:
285			byweekday=(rrule.FR),
286			bymonthday=range(23, 30),
287			cache=True,
288			dtstart=start,
289			until=end
290			)
291			early_close_rules.append(day_after_thanksgiving)
292
293			christmas_eve = rrule.rrule(
294			rrule.MONTHLY,
295			bymonth=12,
296			bymonthday=24,
297			byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
298			cache=True,
299			dtstart=start,
300			until=end
301			)
302			early_close_rules.append(christmas_eve)
303
304			friday_after_christmas = rrule.rrule(
305			rrule.MONTHLY,
306			bymonth=12,
307			bymonthday=26,
308			byweekday=rrule.FR,
309			cache=True,
310			dtstart=start,
311			# valid 1993-2007
312			until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
313			)
314			early_close_rules.append(friday_after_christmas)
315
316			day_before_independence_day = rrule.rrule(
317			rrule.MONTHLY,
318			bymonth=7,
319			bymonthday=3,
320			byweekday=(rrule.MO, rrule.TU, rrule.TH),
321			cache=True,
322			dtstart=start,
323			until=end
324			)
325			early_close_rules.append(day_before_independence_day)
326
327			day_after_independence_day = rrule.rrule(
328			rrule.MONTHLY,
329			bymonth=7,
330			bymonthday=5,
331			byweekday=rrule.FR,
332			cache=True,
333			dtstart=start,
334			# starting in 2013: wednesday before independence day
335			until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
336			)
337			early_close_rules.append(day_after_independence_day)
338
339			wednesday_before_independence_day = rrule.rrule(
340			rrule.MONTHLY,
341			bymonth=7,
342			bymonthday=3,
343			byweekday=rrule.WE,
344			cache=True,
345			# starting in 2013
346			dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
347			until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
348			)
349			early_close_rules.append(wednesday_before_independence_day)
350
351			early_close_ruleset = rrule.rruleset()
352
353			for rule in early_close_rules:
354			early_close_ruleset.rrule(rule)
355			early_closes = early_close_ruleset.between(start, end, inc=True)
356
357			# Misc early closings from NYSE listing.
358			# http://www.nyse.com/pdfs/closings.pdf
359			#
360			# New Year's Eve
361			nye_1999 = datetime(1999, 12, 31, tzinfo=pytz.utc)
362			if start <= nye_1999 and nye_1999 <= end:
363			early_closes.append(nye_1999)
364
365			early_closes.sort()
366			return pd.DatetimeIndex(early_closes)
367
368			early_closes = get_early_closes(start, end)
369
370
371			def get_open_and_close(day, early_closes):
372			market_open = pd.Timestamp(
373			datetime(
374			year=day.year,
375			month=day.month,
376			day=day.day,
377			hour=9,
378			minute=31),
379			tz='US/Eastern').tz_convert('UTC')
380			# 1 PM if early close, 4 PM otherwise
381			close_hour = 13 if day in early_closes else 16
382			market_close = pd.Timestamp(
383			datetime(
384			year=day.year,
385			month=day.month,
386			day=day.day,
387			hour=close_hour),
388			tz='US/Eastern').tz_convert('UTC')
389
390			return market_open, market_close
391
392
393			def get_open_and_closes(trading_days, early_closes, get_open_and_close):
394			open_and_closes = pd.DataFrame(index=trading_days,
395			columns=('market_open', 'market_close'))
396
397			get_o_and_c = partial(get_open_and_close, early_closes=early_closes)
398
399			open_and_closes['market_open'], open_and_closes['market_close'] = \
400			zip(*open_and_closes.index.map(get_o_and_c))
401
402			return open_and_closes
403
404			open_and_closes = get_open_and_closes(trading_days, early_closes,
405			get_open_and_close)
406

quantopian / zipline

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