major fix is with the non-blocking behavior of order source. also fixed time-compression in the trading client.

zipline/finance/performance.py

@@ -166,6 +166,7 @@ class PerformanceTracker():
         self.event_count             = 0
         self.result_stream           = None
         self.last_dict               = None
+        self.order_log               = []
 
         # this performance period will span the entire simulation.
         self.cumulative_performance = PerformancePeriod(
@@ -229,6 +230,9 @@ class PerformanceTracker():
             'timestamp'               : datetime.datetime.now(),
         }
     
+    def log_order(self, order):
+        self.order_log.append(order)
+            
     def process_event(self, event):
         assert isinstance(event, zp.namedict)
         self.event_count += 1
@@ -300,13 +304,14 @@ class PerformanceTracker():
         and send it out on the result_stream.
         """
         
+        log_msg = "Simulated {n} trading days out of {m}."
+        qutil.LOGGER.info(log_msg.format(n=self.day_count, m=self.total_days))
+        qutil.LOGGER.info("first open: {d}".format(d=self.trading_environment.first_open))
+        
         # the stream will end on the last trading day, but will not trigger
         # an end of day, so we trigger the final market close here.
         self.handle_market_close()
         
-        log_msg = "Simulated {n} trading days out of {m}."
-        qutil.LOGGER.info(log_msg.format(n=self.day_count, m=self.total_days))
-        qutil.LOGGER.info("first open: {d}".format(d=self.trading_environment.first_open))
         
         self.risk_report = risk.RiskReport(
             self.returns,

zipline/finance/trading.py

@@ -119,12 +119,15 @@ class TradeSimulationClient(qmsg.Component):
             # otherwise, the algorithm has fallen behind the feed 
             # and processing per event is longer than time between events.
             if event.dt >= self.current_dt:
+                # compress time by moving the current_time up to the event
+                # time.
+                self.current_dt = event.dt
                 self.run_algorithm()
             
             # tally the time spent on this iteration
             self.last_iteration_dur = datetime.datetime.utcnow() - event_start
             # move the algorithm's clock forward to include iteration time
-            self.current_dt = self.current_dt + self.last_iteration_dur
+            # self.current_dt = self.current_dt  + self.last_iteration_dur
         
             
     def run_algorithm(self):
@@ -152,6 +155,7 @@ class TradeSimulationClient(qmsg.Component):
         })
         self.order_socket.send(zp.ORDER_FRAME(order))
         self.order_count += 1
+        self.perf.log_order(order)
         
     def signal_order_done(self):
         self.order_socket.send(str(zp.ORDER_PROTOCOL.DONE))
@@ -185,6 +189,7 @@ class OrderDataSource(qmsg.DataSource):
         """
         qmsg.DataSource.__init__(self, zp.FINANCE_COMPONENT.ORDER_SOURCE)
         self.sent_count         = 0
+        self.works              = 0
 
     @property
     def get_type(self):
@@ -194,7 +199,8 @@ class OrderDataSource(qmsg.DataSource):
     @property
     def is_blocking(self):
         """
-        This datasource is in a loop with the TradingSimulationClient
+        This datasource is in a loop with the TradingSimulationClient,
+        so we don't want it to block processing.
         """
         return False
         
@@ -207,18 +213,13 @@ class OrderDataSource(qmsg.DataSource):
 
     def do_work(self):    
         
+        self.works += 1
 
-        #TODO: if this is the first iteration, break deadlock by sending a dummy order
-        if(self.sent_count == 0):
-            self.send(zp.namedict({}))
         
         #pull all orders from client.
         orders = []
         count = 0
         
-        # TODO : this can be written in a concurrency agnostic
-        # way... have a chat with Fawce about this ~Steve
-        
         while True:
             # poll all the sockets
             # we reduce the timeout here by a factor of 2, because we need
@@ -247,17 +248,6 @@ class OrderDataSource(qmsg.DataSource):
                 count += 1
                 self.sent_count += 1
 
-            # TODO: why didn't any unit tests catch this bug????
-            
-            #else:
-            #    # no orders, break out
-            #    break
-    
-        #TODO: we have to send at least one dummy order per do_work iteration 
-        # or the feed will block waiting for our messages.
-        if(count == 0):
-            self.send(zp.namedict({}))
-
 class TransactionSimulator(qmsg.BaseTransform):
     
     def __init__(self, style=SIMULATION_STYLE.PARTIAL_VOLUME): 
@@ -278,6 +268,19 @@ class TransactionSimulator(qmsg.BaseTransform):
         elif style == SIMULATION_STYLE.NOOP:
             self.apply_trade_to_open_orders = self.simulate_noop
             
+    #
+    @property
+    def is_blocking(self):
+        """
+        Including this explicitly for clarity, even though we are using the 
+        default value. TransactionSimulator has a defined action for every
+        event type. Downstream components depend on the presence of the 
+        TRANSACTION transform in all cases. When no transaction happens,
+        None is the value. Thus, we do want merging to block on the 
+        availability of transaction messages.
+        """
+        return True
+            
     def transform(self, event):
         """
         Pulls one message from the event feed, then
@@ -304,6 +307,8 @@ class TransactionSimulator(qmsg.BaseTransform):
             Amount is explicitly converted to an int.
             Orders of amount zero are ignored.
         """
+        self.order_count += 1
+        
         event.amount = int(event.amount)
         if event.amount == 0:
             log = "requested to trade zero shares of {sid}".format(
@@ -312,7 +317,7 @@ class TransactionSimulator(qmsg.BaseTransform):
             qutil.LOGGER.debug(log)
             return
             
-        self.order_count += 1
+        
         
         if(not self.open_orders.has_key(event.sid)):
             self.open_orders[event.sid] = []
@@ -321,9 +326,6 @@ class TransactionSimulator(qmsg.BaseTransform):
         event.filled = 0
         self.open_orders[event.sid].append(event)
      
-    #def apply_trade_to_open_orders(self, event):
-    #    return self.simulate_with_fixed_cost(event)
-    
     def simulate_buy_all(self, event):
         txn = self.create_transaction(
                 event.sid, 
@@ -348,10 +350,11 @@ class TransactionSimulator(qmsg.BaseTransform):
         for order in orders:
             amount += order.amount
         
-        if(amount != 0):
+        if(amount == 0):
-            direction = amount / math.fabs(amount)
+            return
-        else:
+            
-            direction = 1
+        direction = amount / math.fabs(amount)
+        
         
         txn = self.create_transaction(
                 event.sid, 
@@ -426,9 +429,9 @@ for order:
                     )
                     qutil.LOGGER.warn(warning)
         
-        orders = [ x for x in orders if abs(x.amount - x.filled) > 0 and x.dt.day >= event.dt.day]
+        #orders = [ x for x in orders if abs(x.amount - x.filled) > 0 and x.dt.day >= event.dt.day]
        
-        self.open_orders[event.sid] = orders
+        #self.open_orders[event.sid] = orders
         
         
         if simulated_amount != 0:

zipline/lines.py

@@ -125,6 +125,9 @@ class SimulatedTrading(object):
         :py:class:`zipline.simulator.AddressAllocator`
         - simulator_class: a :py:class:`zipline.messaging.ComponentHost` 
         subclass (not an instance)
+        - simulation_style: optional parameter that configures the 
+        :py:class:`zipline.finance.trading.TransactionSimulator`. Expects
+        a SIMULATION_STYLE as defined in :py:mod:`zipline.finance.trading`
         """
         assert isinstance(config, dict)
         self.algorithm = config['algorithm']
@@ -203,6 +206,9 @@ class SimulatedTrading(object):
             - trade_source - optional parameter to specify trades, if present.
               If not present :py:class:`ziplien.sources.SpecificEquityTrades` 
               is the source, with daily frequency in trades.
+            - simulation_style: optional parameter that configures the 
+              :py:class:`zipline.finance.trading.TransactionSimulator`. Expects
+              a SIMULATION_STYLE as defined in :py:mod:`zipline.finance.trading`
         """
         assert isinstance(config, dict)
         
@@ -230,6 +236,8 @@ class SimulatedTrading(object):
         if config.has_key('trade_count'):
             trade_count = config['trade_count']
         else:
+            # to ensure all orders are filled, we provide one more
+            # trade than order
             trade_count = 101
             
         if config.has_key('simulator_class'):
@@ -237,6 +245,10 @@ class SimulatedTrading(object):
         else:
             simulator_class = Simulator
             
+        simulation_style = config.get('simulation_style')
+        if not simulation_style:
+            simulation_style = SIMULATION_STYLE.FIXED_SLIPPAGE
+              
         #-------------------
         # Trade Source
         #-------------------
@@ -269,7 +281,7 @@ class SimulatedTrading(object):
             'trading_environment':trading_environment,
             'allocator':allocator,
             'simulator_class':simulator_class,
-            'simulation_style':SIMULATION_STYLE.FIXED_SLIPPAGE
+            'simulation_style':simulation_style
         })
         #-------------------
 

zipline/messaging.py

@@ -4,6 +4,8 @@ Commonly used messaging components.
 
 import datetime
 
+from collections import Counter
+
 import zipline.util as qutil
 from zipline.component import Component
 import zipline.protocol as zp
@@ -81,11 +83,11 @@ class ComponentHost(Component):
             self.sync_register[component.get_id] = datetime.datetime.utcnow()
 
             if isinstance(component, DataSource):
-                self.feed.add_source(component.get_id)
+                self.feed.add_source(component.get_id, component.is_blocking)
                 if not component.is_blocking:
                     self.feed.ds_finished_counter +=1 
             if isinstance(component, BaseTransform):
-                self.merge.add_source(component.get_id)
+                self.merge.add_source(component.get_id, component.is_blocking)
                 if not component.is_blocking:
                     self.feed.ds_finished_counter +=1
                         
@@ -193,6 +195,13 @@ class Feed(Component):
         # structure with better asymptotics.
         self.data_buffer            = {}
         
+        # source_id -> integer count
+        self.sent_counters          = Counter()
+        self.recv_counters          = Counter()
+        
+        # source_id -> boolean. True is for blocking
+        self.is_blocking_map = {}
+
     def init(self):
         pass
 
@@ -294,6 +303,7 @@ class Feed(Component):
         event = self.next()
         if(event != None):
             self.feed_socket.send(self.frame(event), self.zmq.NOBLOCK)
+            self.sent_counters[event.source_id] += 1
             self.sent_count += 1
 
     def append(self, event):
@@ -302,6 +312,7 @@ class Feed(Component):
         source_id.
         """
         self.data_buffer[event.source_id].append(event)
+        self.recv_counters[event.source_id] += 1
         self.received_count += 1
 
     def next(self):
@@ -338,7 +349,10 @@ class Feed(Component):
         Indicates whether the buffer has messages in buffer for
         all un-DONE sources.
         """
-        for events in self.data_buffer.values():
+        for source_id, events in self.data_buffer.iteritems():
+            if not self.is_blocking_map[source_id]:
+                continue
+                
             if len(events) == 0:
                 return False
         return True
@@ -353,11 +367,12 @@ class Feed(Component):
             total += len(events)
         return total
 
-    def add_source(self, source_id):
+    def add_source(self, source_id, is_blocking=True):
         """
         Add a data source to the buffer.
         """
         self.data_buffer[source_id] = []
+        self.is_blocking_map[source_id] = is_blocking
 
     def __len__(self):
         """

zipline/test/algorithms.py

@@ -70,7 +70,7 @@ class TestAlgorithm():
         
     def handle_frame(self, frame):
         self.frame_count += 1
-        #place an order for 100 shares of sid:133
+        #place an order for 100 shares of sid
         if self.incr < self.count:
             self.order(self.sid, self.amount)
             self.incr += 1

zipline/test/factory.py

@@ -38,12 +38,12 @@ def load_market_data():
     
     return bm_returns, tr_curves
     
-def create_trading_environment():
+def create_trading_environment(year=2006):
     """Construct a complete environment with reasonable defaults"""
     benchmark_returns, treasury_curves = load_market_data()
 
-    start = datetime(2006, 1, 1, tzinfo=pytz.utc)
+    start = datetime(year, 1, 1, tzinfo=pytz.utc)
-    end   = datetime(2006, 12, 31, tzinfo=pytz.utc)
+    end   = datetime(year, 12, 31, tzinfo=pytz.utc)
     trading_environment = TradingEnvironment(
         benchmark_returns,
         treasury_curves,