ENH: Added informative message for calling order in init.

Previously, calling order() in initalize resulted in a weird
stack trace. It now returns a well formulated error that is
readable to the user through the API. Adding a slippage
kwarg to test_algorithm and simfactor was necessary because
slippage can only be called during init. Previously initaliazed
was never set to true and calls to init-only function were sprinkled
around the code in non-init sections. Code changes were to enforce
init-only rules.

tests/test_algorithm.py

@@ -29,6 +29,7 @@ import zipline.utils.factory as factory
 import zipline.utils.simfactory as simfactory
 
 from zipline.errors import (
+    OrderDuringInitialize,
     RegisterTradingControlPostInit,
     TradingControlViolation,
 )
@@ -53,6 +54,7 @@ from zipline.test_algorithms import (
     api_algo,
     api_symbol_algo,
     call_all_order_methods,
+    call_order_in_init,
     handle_data_api,
     handle_data_noop,
     initialize_api,
@@ -585,7 +587,8 @@ def handle_data(context, data):
         self._algo_record_float_magic_should_pass('nan')
 
     def test_order_methods(self):
-        """Only test that order methods can be called without error.
+        """
+        Only test that order methods can be called without error.
         Correct filling of orders is tested in zipline.
         """
         test_algo = TradingAlgorithm(
@@ -602,6 +605,18 @@ def handle_data(context, data):
 
         output, _ = drain_zipline(self, zipline)
 
+    def test_order_in_init(self):
+        """
+        Test that calling order in initialize
+        will return an error
+        """
+        with self.assertRaises(OrderDuringInitialize):
+            test_algo = TradingAlgorithm(
+                script=call_order_in_init,
+                sim_params=self.sim_params,
+            )
+            set_algo_instance(test_algo)
+
 
 class TestHistory(TestCase):
     def test_history(self):

zipline/algorithm.py

@@ -27,6 +27,7 @@ from six import iteritems, exec_
 from operator import attrgetter
 
 from zipline.errors import (
+    OrderDuringInitialize,
     OverrideCommissionPostInit,
     OverrideSlippagePostInit,
     RegisterTradingControlPostInit,
@@ -76,7 +77,6 @@ DEFAULT_CAPITAL_BASE = float("1.0e5")
 
 
 class TradingAlgorithm(object):
-
     """
     Base class for trading algorithms. Inherit and overload
     initialize() and handle_data(data).
@@ -531,6 +531,13 @@ class TradingAlgorithm(object):
 
         Raises an UnsupportedOrderParameters if invalid arguments are found.
         """
+
+        # Make sure we're not in init before we order.
+        if not self.initialized:
+            raise OrderDuringInitialize(
+                msg="order() can only be called from within handle_data()"
+            )
+
         if style:
             if limit_price:
                 raise UnsupportedOrderParameters(

zipline/errors.py

@@ -137,6 +137,13 @@ class UnsupportedOrderParameters(ZiplineError):
     msg = "{msg}"
 
 
+class OrderDuringInitialize(ZiplineError):
+    """
+    Raised if order is called during initialize()
+    """
+    msg = "{msg}"
+
+
 class TradingControlViolation(ZiplineError):
     """
     Raised if an order would violate a constraint set by a TradingControl.

zipline/test_algorithms.py

@@ -97,7 +97,12 @@ class TestAlgorithm(TradingAlgorithm):
     at the close of a simulation.
     """
 
-    def initialize(self, sid, amount, order_count, sid_filter=None):
+    def initialize(self,
+                   sid,
+                   amount,
+                   order_count,
+                   sid_filter=None,
+                   slippage=None):
         self.count = order_count
         self.sid = sid
         self.amount = amount
@@ -108,6 +113,9 @@ class TestAlgorithm(TradingAlgorithm):
         else:
             self.sid_filter = [self.sid]
 
+        if slippage is not None:
+            self.set_slippage(slippage)
+
     def handle_data(self, data):
         # place an order for amount shares of sid
         if self.incr < self.count:
@@ -241,7 +249,6 @@ class RecordAlgorithm(TradingAlgorithm):
 class TestOrderAlgorithm(TradingAlgorithm):
     def initialize(self):
         self.incr = 0
-        self.sale_price = None
 
     def handle_data(self, data):
         if self.incr == 0:
@@ -633,6 +640,7 @@ class BatchTransformAlgorithm(TradingAlgorithm):
         self.iter = 0
 
         self.set_slippage(FixedSlippage())
+        self.initialized = True
 
     def handle_data(self, data):
         self.history_return_price_class.append(
@@ -943,6 +951,17 @@ def handle_data(context, data):
     order(symbol(0), 1)
 """
 
+call_order_in_init = """
+from zipline.api import (order)
+
+def initialize(context):
+    order(0, 10)
+    pass
+
+def handle_data(context, data):
+    pass
+"""
+
 call_all_order_methods = """
 from zipline.api import (order,
                          order_value,

zipline/utils/simfactory.py

@@ -62,7 +62,8 @@ def create_test_zipline(**config):
             order_amount,
             order_count,
             sim_params=config.get('sim_params',
-                                  factory.create_simulation_parameters())
+                                  factory.create_simulation_parameters()),
+            slippage=config.get('slippage'),
         )
 
     # -------------------
@@ -94,13 +95,6 @@ def create_test_zipline(**config):
     if transforms is not None:
         test_algo.set_transforms(transforms)
 
-    # -------------------
-    # Slippage
-    # ------------------
-    slippage = config.get('slippage', None)
-    if slippage is not None:
-        test_algo.set_slippage(slippage)
-
     # ------------------
     # generator/simulator
     sim = test_algo.get_generator()