BUG: Fix cost basis calculation

Cost basis calculation now takes direction of txn into account.

Closing a long position or covering a short shouldn't affect the cost basis.

tests/test_perf_tracking.py

@@ -993,9 +993,9 @@ shares in position"
         )
 
         self.assertEqual(
-            round(pp.positions[1].cost_basis, 2),
-            11.33,
-            "should have a cost basis of 11.33"
+            pp.positions[1].cost_basis,
+            11,
+            "should have a cost basis of 11"
         )
 
         self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
@@ -1022,9 +1022,9 @@ shares in position"
         )
 
         self.assertEqual(
-            round(pp3.positions[1].cost_basis, 2),
-            11.33,
-            "should have a cost basis of 11.33"
+            pp3.positions[1].cost_basis,
+            11,
+            "should have a cost basis of 11"
         )
 
         self.assertEqual(
@@ -1033,6 +1033,32 @@ shares in position"
             "should be -400 for all trades and transactions in period"
         )
 
+    def test_cost_basis_calc_close_pos(self):
+        history_args = (
+            1,
+            [10, 9, 11, 8, 9, 12, 13, 14],
+            [200, -100, -100, 100, -300, 100, 500, 400],
+            onesec,
+            self.sim_params
+        )
+        cost_bases = [10, 10, 0, 8, 9, 9, 13, 13.5]
+
+        trades = factory.create_trade_history(*history_args)
+        transactions = factory.create_txn_history(*history_args)
+
+        pp = perf.PerformancePeriod(1000.0)
+
+        for txn, cb in zip(transactions, cost_bases):
+            pp.execute_transaction(txn)
+            self.assertEqual(pp.positions[1].cost_basis, cb)
+
+        for trade in trades:
+            pp.update_last_sale(trade)
+
+        pp.calculate_performance()
+
+        self.assertEqual(pp.positions[1].cost_basis, cost_bases[-1])
+
 
 class TestPerformanceTracker(unittest.TestCase):
 

zipline/finance/performance/position.py

@@ -136,17 +136,27 @@ class Position(object):
             raise Exception('updating position with txn for a '
                             'different sid')
 
-         # we're covering a short or closing a position
-        if(self.amount + txn.amount == 0):
+        total_shares = self.amount + txn.amount
+
+        if total_shares == 0:
             self.cost_basis = 0.0
-            self.amount = 0
         else:
-            prev_cost = self.cost_basis * self.amount
-            txn_cost = txn.amount * txn.price
-            total_cost = prev_cost + txn_cost
-            total_shares = self.amount + txn.amount
-            self.cost_basis = total_cost / total_shares
-            self.amount = total_shares
+            prev_direction = math.copysign(1, self.amount)
+            txn_direction = math.copysign(1, txn.amount)
+
+            if prev_direction != txn_direction:
+                # we're covering a short or closing a position
+                if abs(txn.amount) > abs(self.amount):
+                    # we've closed the position and gone short
+                    # or covered the short position and gone long
+                    self.cost_basis = txn.price
+            else:
+                prev_cost = self.cost_basis * self.amount
+                txn_cost = txn.amount * txn.price
+                total_cost = prev_cost + txn_cost
+                self.cost_basis = total_cost / total_shares
+
+        self.amount = total_shares
 
     def adjust_commission_cost_basis(self, commission):
         """