BUG: Exception will be raised when nan value sent to order()

Previously order was not checking for nan values sent as
limit or stop prices. It will now raise a runtime exception
in the event that an attempt to order with a nan price is made.

tests/test_execution_styles.py

@@ -31,6 +31,10 @@ from zipline.utils.test_utils import(
     teardown_logger,
 )
 
+from zipline.errors import(
+    BadOrderParameters
+)
+
 
 class ExecutionStyleTestCase(TestCase):
     """
@@ -58,7 +62,7 @@ class ExecutionStyleTestCase(TestCase):
         for delta in range(1, 10)
     ]
 
-    INVALID_PRICES = [(-1,), (-1.0,), (0 - epsilon,)]
+    INVALID_PRICES = [(-1,), (-1.0,), (0 - epsilon,), (float('nan'),)]
 
     def setUp(self):
         setup_logger(self)
@@ -72,14 +76,14 @@ class ExecutionStyleTestCase(TestCase):
         Test that execution styles throw appropriate exceptions upon receipt
         of an invalid price field.
         """
-        with self.assertRaises(ValueError):
+        with self.assertRaises(BadOrderParameters):
             LimitOrder(price)
 
-        with self.assertRaises(ValueError):
+        with self.assertRaises(BadOrderParameters):
             StopOrder(price)
 
         for lmt, stp in [(price, 1), (1, price), (price, price)]:
-            with self.assertRaises(ValueError):
+            with self.assertRaises(BadOrderParameters):
                 StopLimitOrder(lmt, stp)
 
     def test_market_order_prices(self):

zipline/errors.py

@@ -137,6 +137,14 @@ class UnsupportedOrderParameters(ZiplineError):
     msg = "{msg}"
 
 
+class BadOrderParameters(ZiplineError):
+    """
+    Raised if any impossible parameters (nan, negative limit/stop)
+    are passed to an order call.
+    """
+    msg = "{msg}"
+
+
 class OrderDuringInitialize(ZiplineError):
     """
     Raised if order is called during initialize()

zipline/finance/execution.py

@@ -21,6 +21,10 @@ from six import with_metaclass
 
 import zipline.utils.math_utils as zp_math
 
+from math import isnan
+
+from zipline.errors import BadOrderParameters
+
 
 class ExecutionStyle(with_metaclass(abc.ABCMeta)):
     """
@@ -77,8 +81,17 @@ class LimitOrder(ExecutionStyle):
         """
         Store the given price.
         """
+
+        if isnan(limit_price):
+            raise BadOrderParameters(
+                msg="""Attempted to place an order with a limit price
+                of NaN."""
+            )
+
         if limit_price < 0:
-            raise ValueError("Can't place a limit with a negative price.")
+            raise BadOrderParameters(
+                msg="Can't place a limit with a negative price."
+            )
         self.limit_price = limit_price
         self._exchange = exchange
 
@@ -98,9 +111,16 @@ class StopOrder(ExecutionStyle):
         """
         Store the given price.
         """
+
+        if isnan(stop_price):
+            raise BadOrderParameters(
+                msg="""Attempted to place an order with a stop price
+                of NaN."""
+            )
+
         if stop_price < 0:
-            raise ValueError(
-                "Can't place a stop order with a negative price."
+            raise BadOrderParameters(
+                msg="Can't place a stop order with a negative price."
             )
         self.stop_price = stop_price
         self._exchange = exchange
@@ -121,13 +141,25 @@ class StopLimitOrder(ExecutionStyle):
         """
         Store the given prices
         """
+
+        if isnan(limit_price):
+            raise BadOrderParameters(
+                msg="""Attempted to place an order with a limit price
+                of NaN."""
+            )
+        if isnan(stop_price):
+            raise BadOrderParameters(
+                msg="""Attempted to place an order with a stop price
+                of NaN."""
+            )
+
         if limit_price < 0:
-            raise ValueError(
-                "Can't place a limit with a negative price."
+            raise BadOrderParameters(
+                msg="Can't place a limit with a negative price."
             )
         if stop_price < 0:
-            raise ValueError(
-                "Can't place a stop order with a negative price."
+            raise BadOrderParameters(
+                msg="Can't place a stop order with a negative price."
             )
 
         self.limit_price = limit_price