ENH: Adds a flag for optionally not serializing positions.

So that both computational and memory overhead is reduced,
this turns off serializing positions for cumulative performance.

Positions were essentially being doubled up by being stored
in both cumalative and daily.

zipline/finance/performance.py

@@ -188,7 +188,11 @@ class PerformanceTracker(object):
             # the cumulative period will be calculated over the entire test.
             self.period_start,
             self.period_end,
+            # don't save the transactions for the cumulative
+            # period
             keep_transactions=False,
+            # don't serialize positions for cumualtive period
+            serialize_positions=False
         )
 
         # this performance period will span just the current market day
@@ -198,8 +202,8 @@ class PerformanceTracker(object):
             # the daily period will be calculated for the market day
             self.market_open,
             self.market_close,
-            # save the transactions for the daily periods
-            keep_transactions=True
+            keep_transactions=True,
+            serialize_positions=True
         )
 
     def __repr__(self):
@@ -446,7 +450,8 @@ class PerformancePeriod(object):
             starting_cash,
             period_open=None,
             period_close=None,
-            keep_transactions=True):
+            keep_transactions=True,
+            serialize_positions=True):
 
         self.period_open = period_open
         self.period_close = period_close
@@ -479,6 +484,7 @@ class PerformancePeriod(object):
         # So as not to avoid creating a new object for each event
         self._portfolio_store = zp.Portfolio()
         self._positions_store = zp.Positions()
+        self.serialize_positions = serialize_positions
 
     def rollover(self):
         self.starting_value = self.ending_value
@@ -621,8 +627,10 @@ class PerformancePeriod(object):
         period. See header comments for a detailed description.
         """
         rval = self.__core_dict()
-        positions = self.get_positions_list()
-        rval['positions'] = positions
+
+        if self.serialize_positions:
+            positions = self.get_positions_list()
+            rval['positions'] = positions
 
         # we want the key to be absent, not just empty
         if self.keep_transactions: