pluggable slippage.

zipline/finance/slippage.py

@@ -18,17 +18,10 @@ class VolumeShareSlippage(object):
     def __init__(self,
             volume_limit=.25,
             price_impact=0.1,
-            commission=0.03,
-            ttl=None):
+            commission=0.03):
         self.volume_limit = volume_limit
         self.price_impact = price_impact
         self.commission = commission
-        if ttl:
-            assert isinstance(ttl, timedelta), \
-                    "ttl must be a datetime.timedelta"
-            self.ttl = ttl
-        else:
-            self.ttl = timedelta(days=1)
 
     def simulate(self, event, open_orders):
 

zipline/gens/tradesimulation.py

@@ -130,6 +130,9 @@ class AlgorithmSimulator(object):
         self.algolog = Logger("AlgoLog")
         self.algo.set_logger(self.algolog)
 
+        # Porived user algorithm with slippage override.
+        self.algo.set_slippage_override(self.override_slippage)
+
         # Handler for heartbeats during calls to handle_data.
         def log_heartbeats(beat_count, stackframe):
             t = beat_count * HEARTBEAT_INTERVAL
@@ -174,6 +177,9 @@ class AlgorithmSimulator(object):
         # to monkey patch sys.stdout with a logbook interface.
         self.stdout_capture = stdout_only_pipe
 
+    def override_slippage(self, slippage):
+        self.order_book.slippage = slippage
+
     def order(self, sid, amount):
         """
         Closure to pass into the user's algo to allow placing orders

zipline/test_algorithms.py

@@ -44,6 +44,12 @@ The algorithm must expose methods:
 
         self.Portfolio[sid(133)]['cost_basis']
 
+  - set_slippage_override: method that accepts a callable. Will
+    be set as the value of the set_slippage_override method of
+    the trading_client. This allows an algorithm to change the
+    slippage model used to predict transactions based on orders
+    and trade events.
+
 """
 
 
@@ -90,7 +96,10 @@ class TestAlgorithm():
     def get_sid_filter(self):
         return self.sid_filter
 
-#
+    def set_slippage_override(self, slippage_callable):
+        pass
+
+    #
 class HeavyBuyAlgorithm():
     """
     This algorithm will send a specified number of orders, to allow unit tests
@@ -128,6 +137,9 @@ class HeavyBuyAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class NoopAlgorithm(object):
     """
     Dolce fa niente.
@@ -151,6 +163,9 @@ class NoopAlgorithm(object):
     def get_sid_filter(self):
         return []
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class ExceptionAlgorithm(object):
     """
     Throw an exception from the method name specified in the
@@ -194,6 +209,9 @@ class ExceptionAlgorithm(object):
         else:
             return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class DivByZeroAlgorithm():
 
     def __init__(self, sid):
@@ -221,6 +239,9 @@ class DivByZeroAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class InitializeTimeoutAlgorithm():
     def __init__(self, sid):
         self.sid = sid
@@ -247,6 +268,9 @@ class InitializeTimeoutAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class TooMuchProcessingAlgorithm():
     def __init__(self, sid):
         self.sid = sid
@@ -272,6 +296,9 @@ class TooMuchProcessingAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class TimeoutAlgorithm():
 
     def __init__(self, sid):
@@ -299,6 +326,9 @@ class TimeoutAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class TestPrintAlgorithm():
 
     def __init__(self, sid):
@@ -323,6 +353,9 @@ class TestPrintAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
+    def set_slippage_override(self, slippage_callable):
+        pass
+
 class TestLoggingAlgorithm():
 
     def __init__(self, sid):
@@ -346,3 +379,6 @@ class TestLoggingAlgorithm():
 
     def get_sid_filter(self):
         return [self.sid]
+
+    def set_slippage_override(self, slippage_callable):
+        pass

zipline/utils/test_utils.py

@@ -80,10 +80,16 @@ def assert_single_position(test, zipline):
 
     output, transaction_count = drain_zipline(test, zipline)
 
-    test.assertEqual(
-        test.zipline_test_config['order_count'],
-        transaction_count
-    )
+    if 'expected_transactions' in test.zipline_test_config:
+        test.assertEqual(
+            test.zipline_test_config['expected_transactions'],
+            transaction_count
+        )
+    else:
+        test.assertEqual(
+            test.zipline_test_config['order_count'],
+            transaction_count
+        )
 
     # the final message is the risk report, the second to
     # last is the final day's results. Positions is a list of
@@ -103,6 +109,8 @@ def assert_single_position(test, zipline):
         "Portfolio should have one position in " + str(sid)
     )
 
+    return output, transaction_count
+
 
 class ExceptionSource(object):