ENH: Filter out empty positions from portfolio container.

To help prevent algorithms from operating on positions that are
not in the existing universe of stocks.

Formerly, iterating over positions would return positions for stocks
which had zero shares held. (Where an explicit check in algorithm
code for `pos.amount != 0` could prevent from using a non-existent
position.)

tests/test_algorithm.py

@@ -27,7 +27,8 @@ from zipline.test_algorithms import (TestRegisterTransformAlgorithm,
                                      TestTargetAlgorithm,
                                      TestOrderPercentAlgorithm,
                                      TestTargetPercentAlgorithm,
-                                     TestTargetValueAlgorithm)
+                                     TestTargetValueAlgorithm,
+                                     EmptyPositionsAlgorithm)
 
 from zipline.sources import (SpecificEquityTrades,
                              DataFrameSource,
@@ -194,3 +195,43 @@ class TestTransformAlgorithm(TestCase):
                                          instant_fill=True)
 
         algo.run(self.df)
+
+
+class TestPositions(TestCase):
+
+    def setUp(self):
+        setup_logger(self)
+        self.sim_params = factory.create_simulation_parameters(num_days=4)
+        setup_logger(self)
+
+        trade_history = factory.create_trade_history(
+            1,
+            [10.0, 10.0, 11.0, 11.0],
+            [100, 100, 100, 300],
+            timedelta(days=1),
+            self.sim_params
+        )
+        self.source = SpecificEquityTrades(event_list=trade_history)
+
+        self.df_source, self.df = \
+            factory.create_test_df_source(self.sim_params)
+
+        self.panel_source, self.panel = \
+            factory.create_test_panel_source(self.sim_params)
+
+    def test_empty_portfolio(self):
+        algo = EmptyPositionsAlgorithm(sim_params=self.sim_params,
+                                       data_frequency='daily')
+
+        daily_stats = algo.run(self.df)
+
+        expected_position_count = [
+            0,  # Before entering the first position
+            1,  # After entering, exiting on this date
+            0,  # After exiting
+            0,
+        ]
+
+        for i, expected in enumerate(expected_position_count):
+            self.assertEqual(daily_stats.ix[i]['num_positions'],
+                             expected)