Locks down the ability to easily override the algo's portfolio.

Starting down the path of making the portfolio completely read-only
with respect to the handle_data in algo.

The portfolio should only be changed during the course of running
the algorithm by the simulator.

This doesn't do a 100% protection, i.e. an algo could use _portfolio,
or the set_attr property, but hoping this helps guides algo writing
to treat the portfolio as read-only.

tests/test_exception_handling.py

@@ -19,6 +19,7 @@ import zipline.utils.simfactory as simfactory
 from zipline.test_algorithms import (
     ExceptionAlgorithm,
     DivByZeroAlgorithm,
+    SetPortfolioAlgorithm,
 )
 from zipline.finance.slippage import FixedSlippage
 from zipline.transforms.utils import StatefulTransform
@@ -113,3 +114,25 @@ class ExceptionTestCase(TestCase):
 
         self.assertEqual(ctx.exception.message,
                          'integer division or modulo by zero')
+
+    def test_set_portfolio(self):
+        """
+        Are we protected against overwriting an algo's portfolio?
+        """
+
+        # Simulation
+        # ----------
+        self.zipline_test_config['algorithm'] = \
+            SetPortfolioAlgorithm(
+                self.zipline_test_config['sid']
+            )
+
+        zipline = simfactory.create_test_zipline(
+            **self.zipline_test_config
+        )
+
+        with self.assertRaises(AttributeError) as ctx:
+            output, _ = drain_zipline(self, zipline)
+
+        self.assertEqual(ctx.exception.message,
+                         "can't set attribute")

zipline/algorithm.py

@@ -66,7 +66,7 @@ class TradingAlgorithm(object):
         self.done = False
         self.order = None
         self.frame_count = 0
-        self.portfolio = None
+        self._portfolio = None
         self.datetime = None
 
         self.registered_transforms = {}
@@ -217,8 +217,12 @@ class TradingAlgorithm(object):
                                            'args': args,
                                            'kwargs': kwargs}
 
+    @property
+    def portfolio(self):
+        return self._portfolio
+
     def set_portfolio(self, portfolio):
-        self.portfolio = portfolio
+        self._portfolio = portfolio
 
     def set_order(self, order_callable):
         self.order = order_callable

zipline/finance/performance.py

@@ -544,6 +544,7 @@ class PerformancePeriod(object):
         del(portfolio['max_capital_used'])
 
         portfolio['positions'] = self.get_positions()
+
         return ndict(portfolio)
 
     def get_positions(self):

zipline/test_algorithms.py

@@ -283,3 +283,18 @@ class BatchTransformAlgorithm(TradingAlgorithm):
         self.history_return_args.append(
             self.return_args_batch.handle_data(
                 data, *self.args, **self.kwargs))
+
+
+class SetPortfolioAlgorithm(TradingAlgorithm):
+    """
+    An algorithm that tries to set the portfolio directly.
+
+    The portfolio should be treated as a read-only object
+    within the algorithm.
+    """
+
+    def initialize(self, *args, **kwargs):
+        pass
+
+    def handle_data(self, data):
+        self.portfolio = 3