MAINT: Refactor performance tracker as part of algorithm.

Instead of having the performance tracker as part of the
tradesimulation class, hold on to it inside of the algorithm
object, so that the perf_tracker is more easily accessed for
reset behavior, etc.

zipline/algorithm.py

@@ -29,6 +29,7 @@ from zipline.errors import (
     UnsupportedCommissionModel,
     OverrideCommissionPostInit
 )
+from zipline.finance.performance import PerformanceTracker
 from zipline.sources import DataFrameSource, DataPanelSource
 from zipline.utils.factory import create_simulation_parameters
 from zipline.transforms.utils import StatefulTransform
@@ -171,7 +172,7 @@ class TradingAlgorithm(object):
         skipped.
         """
         self.data_gen = self._create_data_generator(source_filter, sim_params)
-
+        self.perf_tracker = PerformanceTracker(sim_params)
         self.trading_client = AlgorithmSimulator(self, sim_params)
 
         transact_method = transact_partial(self.slippage, self.commission)

zipline/gens/tradesimulation.py

@@ -17,7 +17,6 @@ from itertools import chain
 from logbook import Logger, Processor
 
 from zipline.protocol import BarData, DATASOURCE_TYPE
-from zipline.finance.performance import PerformanceTracker
 from zipline.gens.utils import hash_args
 
 log = Logger('Trade Simulation')
@@ -45,15 +44,6 @@ class AlgorithmSimulator(object):
         # ==============
         self.sim_params = sim_params
 
-        # ==============
-        # Perf Tracker
-        # Setup
-        # ==============
-        self.perf_tracker = PerformanceTracker(self.sim_params)
-
-        self.perf_key = self.EMISSION_TO_PERF_KEY_MAP[
-            self.perf_tracker.emission_rate]
-
         # ==============
         # Algo Setup
         # ==============
@@ -63,6 +53,9 @@ class AlgorithmSimulator(object):
                                                   second=0,
                                                   microsecond=0)
 
+        self.perf_key = self.EMISSION_TO_PERF_KEY_MAP[
+            self.algo.perf_tracker.emission_rate]
+
         # ==============
         # Snapshot Setup
         # ==============
@@ -108,7 +101,7 @@ class AlgorithmSimulator(object):
             updated = False
             bm_updated = False
             for date, snapshot in stream:
-                self.perf_tracker.set_date(date)
+                self.algo.perf_tracker.set_date(date)
                 self.algo.blotter.set_date(date)
                 # If we're still in the warmup period.  Use the event to
                 # update our universe, but don't yield any perf messages,
@@ -118,7 +111,7 @@ class AlgorithmSimulator(object):
                         if event.type in (DATASOURCE_TYPE.TRADE,
                                           DATASOURCE_TYPE.CUSTOM):
                             self.update_universe(event)
-                        self.perf_tracker.process_event(event)
+                        self.algo.perf_tracker.process_event(event)
 
                 else:
 
@@ -131,10 +124,12 @@ class AlgorithmSimulator(object):
                             bm_updated = True
                         txns, orders = self.algo.blotter.process_trade(event)
                         for data in chain([event], txns, orders):
-                            self.perf_tracker.process_event(data)
+                            self.algo.perf_tracker.process_event(data)
 
                     # Update our portfolio.
-                    self.algo.set_portfolio(self.perf_tracker.get_portfolio())
+                    self.algo.set_portfolio(
+                        self.algo.perf_tracker.get_portfolio()
+                    )
 
                     # Send the current state of the universe
                     # to the user's algo.
@@ -147,7 +142,7 @@ class AlgorithmSimulator(object):
                         # the perf packet, so that the perf includes
                         # placed orders
                         for order in self.algo.blotter.new_orders:
-                            self.perf_tracker.process_event(order)
+                            self.algo.perf_tracker.process_event(order)
                         self.algo.blotter.new_orders = []
 
                     # The benchmark is our internal clock. When it
@@ -156,12 +151,12 @@ class AlgorithmSimulator(object):
                         bm_updated = False
                         yield self.get_message(date)
 
-            risk_message = self.perf_tracker.handle_simulation_end()
+            risk_message = self.algo.perf_tracker.handle_simulation_end()
 
             # When emitting minutely, it is still useful to have a final
             # packet with the entire days performance rolled up.
-            if self.perf_tracker.emission_rate == 'minute':
-                daily_rollup = self.perf_tracker.to_dict(
+            if self.algo.perf_tracker.emission_rate == 'minute':
+                daily_rollup = self.algo.perf_tracker.to_dict(
                     emission_type='daily'
                 )
                 daily_rollup['daily_perf']['recorded_vars'] = \
@@ -172,15 +167,15 @@ class AlgorithmSimulator(object):
 
     def get_message(self, date):
         rvars = self.algo.recorded_vars
-        if self.perf_tracker.emission_rate == 'daily':
+        if self.algo.perf_tracker.emission_rate == 'daily':
             perf_message = \
-                self.perf_tracker.handle_market_close()
+                self.algo.perf_tracker.handle_market_close()
             perf_message['daily_perf']['recorded_vars'] = rvars
             return perf_message
 
-        elif self.perf_tracker.emission_rate == 'minute':
-            self.perf_tracker.handle_minute_close(date)
-            perf_message = self.perf_tracker.to_dict()
+        elif self.algo.perf_tracker.emission_rate == 'minute':
+            self.algo.perf_tracker.handle_minute_close(date)
+            perf_message = self.algo.perf_tracker.to_dict()
             perf_message['intraday_perf']['recorded_vars'] = rvars
             return perf_message