From 7ce3667bc2401a420e7aaa45fee970f52c025c37 Mon Sep 17 00:00:00 2001
From: scottsanderson <ssanderson@quantopian.com>
Date: Tue, 14 Aug 2012 15:28:02 -0400
Subject: [PATCH 1/3] hard coded one-day warmup

---
 zipline/finance/trading.py      | 20 ++++++++++++++++++++
 zipline/gens/tradesimulation.py | 18 +++++++++++++++++-
 2 files changed, 37 insertions(+), 1 deletion(-)

diff --git a/zipline/finance/trading.py b/zipline/finance/trading.py
index 1d82bc66..2fa99d9b 100644
--- a/zipline/finance/trading.py
+++ b/zipline/finance/trading.py
@@ -184,6 +184,8 @@ class TradingEnvironment(object):
         self.first_open = self.calculate_first_open()
         self.last_close = self.calculate_last_close()
 
+        self.prior_day_open = self.calculate_prior_day_open()
+
     def calculate_first_open(self):
         """
         Finds the first trading day on or after self.period_start.
@@ -197,6 +199,24 @@ class TradingEnvironment(object):
         first_open = self.set_NYSE_time(first_open, 9, 30)
         return first_open
 
+    def calculate_prior_day_open(self):
+        """
+        Finds the first trading day open that falls at least a day
+        before period_start.
+        """
+        one_day    = datetime.timedelta(days=1)
+        first_open = self.period_start - one_day
+
+        if first_open <= self.trading_days[0]:
+            log.warn("Cannot calculate prior day open.")
+            return self.period_start
+
+        while not self.is_trading_day(first_open):
+            first_open = first_open - one_day
+
+        first_open = self.set_NYSE_time(first_open, 9, 30)
+        return first_open
+
     def calculate_last_close(self):
         """
         Finds the last trading day on or before self.period_end
diff --git a/zipline/gens/tradesimulation.py b/zipline/gens/tradesimulation.py
index e64ba86a..ba474f3b 100644
--- a/zipline/gens/tradesimulation.py
+++ b/zipline/gens/tradesimulation.py
@@ -55,6 +55,9 @@ class TradeSimulationClient(object):
         self.style = sim_style
         self.algo_sim = None
 
+        self.warmup_start = self.environment.prior_day_open
+        self.algo_start = self.environment.first_open
+
     def get_hash(self):
         """
         There should only ever be one TSC in the system.
@@ -96,6 +99,7 @@ class TradeSimulationClient(object):
             with_portfolio,
             ordering_client.state,
             self.algo,
+            self.algo_start
         )
 
         # The algorithm will yield a daily_results message (as
@@ -107,7 +111,7 @@ class TradeSimulationClient(object):
 
 class AlgorithmSimulator(object):
 
-    def __init__(self, stream_in, order_book, algo):
+    def __init__(self, stream_in, order_book, algo, algo_start):
 
         self.stream_in = stream_in
 
@@ -121,6 +125,7 @@ class AlgorithmSimulator(object):
 
         self.algo = algo
         self.sids = algo.get_sid_filter()
+        self.algo_start = algo_start
 
         # Monkey patch the user algorithm to place orders in the
         # TransactionSimulator's order book.
@@ -212,6 +217,17 @@ class AlgorithmSimulator(object):
             self.algo.initialize()
 
             for event in self.stream_in:
+
+                # We're still in the warmup period.  Use the event to
+                # update our universe, but don't start a snapshot or
+                # pass anything to handle_data.  Discard any
+                # perf messages.
+                if event.dt < self.algo_start:
+                    self.update_universe(event)
+                    if event.perf_message:
+                        log.info("Discarding perf message because we're in warmup.")
+                    continue
+
                 # Yield any perf messages received to be relayed back to
                 # the browser.
 

From 473dafcfb6e7d6c0862f4f1f1b97283c16b66bc0 Mon Sep 17 00:00:00 2001
From: scottsanderson <ssanderson@quantopian.com>
Date: Tue, 14 Aug 2012 16:31:00 -0400
Subject: [PATCH 2/3] fix DONE bug when all events are in the warmup period

---
 zipline/gens/tradesimulation.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/zipline/gens/tradesimulation.py b/zipline/gens/tradesimulation.py
index ba474f3b..22afa34f 100644
--- a/zipline/gens/tradesimulation.py
+++ b/zipline/gens/tradesimulation.py
@@ -222,7 +222,7 @@ class AlgorithmSimulator(object):
                 # update our universe, but don't start a snapshot or
                 # pass anything to handle_data.  Discard any
                 # perf messages.
-                if event.dt < self.algo_start:
+                if event.dt != 'DONE' and event.dt < self.algo_start:
                     self.update_universe(event)
                     if event.perf_message:
                         log.info("Discarding perf message because we're in warmup.")

From 76ff8e93eb3c259a2273e07849207dd0dadba5ca Mon Sep 17 00:00:00 2001
From: Eddie Hebert <eddie@eddiehebert.com>
Date: Tue, 14 Aug 2012 16:50:24 -0400
Subject: [PATCH 3/3] Adds source id when specifying events.

So that when we add events for testing, we populate source_ids.
---
 zipline/gens/tradegens.py | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

diff --git a/zipline/gens/tradegens.py b/zipline/gens/tradegens.py
index e099091d..0842b3bd 100644
--- a/zipline/gens/tradegens.py
+++ b/zipline/gens/tradegens.py
@@ -101,10 +101,16 @@ class SpecificEquityTrades(object):
     def get_hash(self):
         return self.__class__.__name__ + "-" + self.arg_string
 
+    def update_source_id(self, gen):
+        for event in gen:
+            event.source_id = self.get_hash()
+            yield event
+
     def create_fresh_generator(self):
 
         if self.event_list:
-            unfiltered = (event for event in self.event_list)
+            event_gen = (event for event in self.event_list)
+            unfiltered = self.update_source_id(event_gen)
 
         # Set up iterators for each expected field.
         else: