MAINT: Refactor commission model class hierarchies

zipline/finance/shared.py

@@ -0,0 +1,44 @@
+
+from abc import ABCMeta
+from itertools import chain
+
+
+class FinancialModelMeta(ABCMeta):
+    """
+    This metaclass allows users to create custom slippage and commission models
+    that support both equities and futures by subclassing the appropriate
+    individualized classes.
+
+    Take for example the following custom model, which subclasses both
+    EquitySlippageModel and FutureSlippageModel together:
+
+        class MyCustomSlippage(EquitySlippageModel, FutureSlippageModel):
+            def process_order(self, data, order):
+                ...
+
+    Ordinarily the first parent class in the MRO ('EquitySlippageModel' in this
+    example) would override the 'allowed_asset_types' class attribute to only
+    include equities. However, this is probably not the expected behavior for a
+    reasonable user, so the metaclass will handle this specific case by
+    manually allowing both equities and futures for the class being created.
+    """
+
+    def __new__(mcls, name, bases, dict_):
+        if 'allowed_asset_types' not in dict_:
+            allowed_asset_types = tuple(
+                chain.from_iterable(
+                    marker.allowed_asset_types
+                    for marker in bases
+                    if isinstance(marker, AllowedAssetMarker)
+                )
+            )
+            if allowed_asset_types:
+                dict_['allowed_asset_types'] = allowed_asset_types
+
+        return super(FinancialModelMeta, mcls).__new__(
+            mcls, name, bases, dict_,
+        )
+
+
+class AllowedAssetMarker(FinancialModelMeta):
+    pass