patching the filter test because we are now trying to calculate end of test risk

zipline/finance/risk.py

@@ -320,8 +320,12 @@ class RiskReport():
         self.algorithm_returns = algorithm_returns
         self.trading_environment = trading_environment
 
-        start_date = self.algorithm_returns[0].date
-        end_date = self.algorithm_returns[-1].date
+        if len(self.algorithm_returns) == 0:
+            start_date = self.trading_environment.period_start
+            end_date = self.trading_environment.period_end
+        else:
+            start_date = self.algorithm_returns[0].date
+            end_date = self.algorithm_returns[-1].date
 
         self.month_periods = self.periodsInRange(1, start_date, end_date)
         self.three_month_periods = self.periodsInRange(3, start_date, end_date)
@@ -355,6 +359,11 @@ class RiskReport():
         ends = []
         cur_start = start.replace(day=1)
 
+        # in edge cases (all sids filtered out, start/end are adjacent) 
+        # a test will not generate any returns data
+        if len(self.algorithm_returns) == 0:
+            return ends
+
         #ensure that we have an end at the end of a calendar month, in case
         #the return series ends mid-month...
         the_end = advance_by_months(end.replace(day=1),1) - one_day

zipline/finance/trading.py

@@ -243,7 +243,6 @@ class OrderDataSource(qmsg.DataSource):
         if(count == 0):
             self.send(zp.namedict({}))
     
-    
 
 class TransactionSimulator(qmsg.BaseTransform):
     

zipline/sources.py

@@ -23,10 +23,14 @@ class TradeDataSource(zm.DataSource):
         if event.sid in self.filter['SID']:            
             message = zp.DATASOURCE_FRAME(event)
         else:
-            message = zp.DATASOURCE_FRAME(None)
+            blank = zp.namedict({
+                "type"      : zp.DATASOURCE_TYPE.TRADE,
+                "source_id" : self.get_id
+            })
+            message = zp.DATASOURCE_FRAME(blank)
             
         self.data_socket.send(message)
-
+        
 
 class RandomEquityTrades(TradeDataSource):
     """

zipline/test/test_finance.py

@@ -155,7 +155,6 @@ class FinanceTestCase(TestCase):
         zipline = SimulatedTrading.create_test_zipline(**self.zipline_test_config)
        
         zipline.simulate(blocking=True)
-        
         #check that the algorithm received no events
         self.assertEqual(
             0,