removed protocol cruft from transaction transform days.

tests/test_perf_tracking.py

@@ -552,7 +552,7 @@ shares in position"
                 })
             else:
                 txn = None
-            event[zp.TRANSFORM_TYPE.TRANSACTION] = txn
+            event['TRANSACTION'] = txn
             perf_tracker.process_event(event)
 
         #we skip two trades, to test case of None transaction

tests/test_protocol.py

@@ -1,5 +1,5 @@
 """
-Test the FRAME/UNFRAME functions in the sequence expected from ziplines.    
+Test the FRAME/UNFRAME functions in the sequence expected from ziplines.
 """
 import pytz
 
@@ -36,10 +36,10 @@ class ProtocolTestCase(TestCase):
         one_day_td = timedelta(days=1)
 
         trades = factory.create_trade_history(
-            sid, 
-            price, 
-            volume, 
-            one_day_td, 
+            sid,
+            price,
+            volume,
+            one_day_td,
             self.trading_environment
         )
 
@@ -92,7 +92,7 @@ class ProtocolTestCase(TestCase):
         self.assertEqual(order.sid, 133)
         self.assertEqual(order.amount, 100)
         self.assertEqual(order.dt, now)
-        
+
         #order datasource datasource frames the order
         order_event = zp.ndict({
             "sid"        : order.sid,
@@ -118,12 +118,3 @@ class ProtocolTestCase(TestCase):
             'price'      : 10.0,
             'commission' : 0.50
         })
-
-        #frame that transaction
-        txn_msg = zp.TRANSFORM_FRAME(zp.TRANSFORM_TYPE.TRANSACTION, txn)
-
-        #unframe
-        recovered_tx = zp.TRANSFORM_UNFRAME(txn_msg).TRANSACTION
-        self.assertEqual(recovered_tx.sid, 133)
-        self.assertEqual(recovered_tx.amount, 100)
-

zipline/finance/trading.py

@@ -168,12 +168,11 @@ for orders:
 
     def create_transaction(self, sid, amount, price, dt, direction):
         self.txn_count += 1
-        txn = {'sid'                : sid,
-                'amount'             : int(amount),
-                'dt'                 : dt,
-                'price'              : price,
-                'commission'          : self.commission * amount * direction,
-                'source_id'          : zp.FINANCE_COMPONENT.TRANSACTION_SIM
+        txn = {'sid'            : sid,
+                'amount'        : int(amount),
+                'dt'            : dt,
+                'price'         : price,
+                'commission'    : self.commission * amount * direction
                 }
         return zp.ndict(txn)
 

zipline/protocol.py

@@ -342,8 +342,6 @@ def TRANSFORM_FRAME(name, value):
     assert isinstance(name, basestring)
     if value == None:
         return msgpack.dumps(tuple([name, TRANSFORM_TYPE.EMPTY]))
-    if(name == TRANSFORM_TYPE.TRANSACTION):
-        value = TRANSACTION_FRAME(value)
     return msgpack.dumps(tuple([name, value]))
 
 def TRANSFORM_UNFRAME(msg):
@@ -359,8 +357,6 @@ def TRANSFORM_UNFRAME(msg):
         assert isinstance(name, basestring)
         if(name == TRANSFORM_TYPE.PASSTHROUGH):
             value = FEED_UNFRAME(value)
-        elif(name == TRANSFORM_TYPE.TRANSACTION):
-            value = TRANSACTION_UNFRAME(value)
 
         return ndict({name : value})
     except TypeError:
@@ -382,11 +378,6 @@ def MERGE_FRAME(event):
     """
     assert isinstance(event, ndict)
     PACK_DATE(event)
-    if(event.has_attr(TRANSFORM_TYPE.TRANSACTION)):
-        if(event.TRANSACTION == None):
-            event.TRANSACTION = TRANSFORM_TYPE.EMPTY
-        else:
-            event.TRANSACTION = TRANSACTION_FRAME(event.TRANSACTION)
     payload = event.as_dict()
     return msgpack.dumps(payload)
 
@@ -396,11 +387,6 @@ def MERGE_UNFRAME(msg):
         #TODO: anything we can do to assert more about the content of the dict?
         assert isinstance(payload, dict)
         payload = ndict(payload)
-        if(payload.has_attr(TRANSFORM_TYPE.TRANSACTION)):
-            if(payload.TRANSACTION == TRANSFORM_TYPE.EMPTY):
-                payload.TRANSACTION = None
-            else:
-                payload.TRANSACTION = TRANSACTION_UNFRAME(payload.TRANSACTION)
         UNPACK_DATE(payload)
         return payload
     except TypeError:
@@ -501,54 +487,6 @@ def ORDER_UNFRAME(msg):
     except ValueError:
         raise INVALID_ORDER_FRAME(msg)
 
-
-# -----------------------
-# TRANSACTIONS
-# -----------------------
-#
-# - Should only be called from inside TRANSFORM_(UN)FRAME.
-
-
-
-def TRANSACTION_FRAME(event):
-    assert isinstance(event, ndict)
-    assert isinstance(event.sid, int)
-    assert isinstance(event.price, numbers.Real)
-    assert isinstance(event.commission, numbers.Real)
-    assert isinstance(event.amount, int)
-    PACK_DATE(event)
-    return msgpack.dumps(tuple([
-        event.sid,
-        event.price,
-        event.amount,
-        event.commission,
-        event.dt
-    ]))
-
-def TRANSACTION_UNFRAME(msg):
-    try:
-        sid, price, amount, commission, dt = msgpack.loads(msg)
-
-        assert isinstance(sid, int)
-        assert isinstance(price, numbers.Real)
-        assert isinstance(commission, numbers.Real)
-        assert isinstance(amount, int)
-        rval = ndict({
-            'sid'        : sid,
-            'price'      : price,
-            'amount'     : amount,
-            'commission' : commission,
-            'dt'      : dt
-        })
-
-        UNPACK_DATE(rval)
-        return rval
-    except TypeError:
-        raise INVALID_TRADE_FRAME(msg)
-    except ValueError:
-        raise INVALID_TRADE_FRAME(msg)
-
-
 # -----------------------
 # ORDERS
 # -----------------------
@@ -742,7 +680,6 @@ ORDER_PROTOCOL = Enum(
 
 #Transform type needs to be a ndict to facilitate merging.
 TRANSFORM_TYPE = ndict({
-    'TRANSACTION' : 'TRANSACTION', #needed?
     'PASSTHROUGH' : 'PASSTHROUGH',
     'EMPTY'       : ''
 })
@@ -752,7 +689,6 @@ FINANCE_COMPONENT = namelookup({
     'TRADING_CLIENT'   : 'TRADING_CLIENT',
     'PORTFOLIO_CLIENT' : 'PORTFOLIO_CLIENT',
     'ORDER_SOURCE'     : 'ORDER_SOURCE',
-    'TRANSACTION_SIM'  : 'TRANSACTION_SIM'
 })
 
 

zipline/utils/date_utils.py

@@ -47,8 +47,7 @@ def EPOCH(utc_datetime):
     return int(ms)
 
 def UN_EPOCH(ms_since_epoch):
-    seconds_since_epoch = float(ms_since_epoch) / 1000.0
-    delta = timedelta(seconds = seconds_since_epoch)
+    delta = timedelta(milliseconds = ms_since_epoch)
     dt = UNIX_EPOCH + delta
     return dt