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):