restricted list trading control added.

tests/test_algorithm.py

@@ -55,6 +55,7 @@ from zipline.test_algorithms import (
     SetMaxPositionSizeAlgorithm,
     SetMaxOrderCountAlgorithm,
     SetMaxOrderSizeAlgorithm,
+    SetDoNotOrderListAlgorithm,
     api_algo,
     api_get_environment_algo,
     api_symbol_algo,
@@ -955,6 +956,27 @@ class TestTradingControls(TestCase):
         algo = SetMaxPositionSizeAlgorithm(max_shares=10, max_notional=61.0)
         self.check_algo_fails(algo, handle_data, 0)
 
+    def test_set_do_not_order_list(self):
+        # set the restricted list to be the sid, and fail.
+        algo = SetDoNotOrderListAlgorithm(sid=self.sid,
+            restricted_list=[self.sid])
+
+        def handle_data(algo, data):
+            algo.order(self.sid, 100)
+            algo.order_count += 1
+            
+        self.check_algo_fails(algo, handle_data, 0)
+
+        # set the restricted list to exclude the sid, and succeed
+        algo = SetDoNotOrderListAlgorithm(sid=self.sid,
+            restricted_list=[134, 135, 136])
+
+        def handle_data(algo, data):
+            algo.order(self.sid, 100)
+            algo.order_count += 1
+
+        self.check_algo_succeeds(algo, handle_data)
+
     def test_set_max_order_size(self):
 
         # Buy one share.

zipline/algorithm.py

@@ -48,6 +48,7 @@ from zipline.finance.controls import (
     MaxOrderCount,
     MaxOrderSize,
     MaxPositionSize,
+    RestrictedListOrder
 )
 from zipline.finance.execution import (
     LimitOrder,
@@ -1080,6 +1081,14 @@ class TradingAlgorithm(object):
         control = MaxOrderCount(max_count)
         self.register_trading_control(control)
 
+    @api_method
+    def set_do_not_order_list(self, restricted_list):
+        """
+        Set a restriction on which sids can be ordered.
+        """
+        control = RestrictedListOrder(restricted_list)
+        self.register_trading_control(control)
+
     @api_method
     def set_long_only(self):
         """

zipline/finance/controls.py

@@ -99,6 +99,30 @@ class MaxOrderCount(TradingControl):
         self.orders_placed += 1
 
 
+class RestrictedListOrder(TradingControl):
+    """
+    TradingControl representing a restricted list of securities that
+    cannot be ordered by the algorithm.
+    """
+
+    def __init__(self, restricted_list):
+
+        super(RestrictedListOrder, self).__init__()
+        self.restricted_list = set(restricted_list)
+
+    def validate(self,
+                 sid,
+                 amount,
+                 _portfolio,
+                 _algo_datetime,
+                 _algo_current_data):
+        """
+        Fail if the sid is in the restricted_list.
+        """
+        if sid in self.restricted_list:
+            self.fail(sid, amount)
+
+
 class MaxOrderSize(TradingControl):
     """
     TradingControl representing a limit on the magnitude of any single order

zipline/test_algorithms.py

@@ -430,6 +430,12 @@ class SetMaxOrderSizeAlgorithm(TradingAlgorithm):
                                 max_notional=max_notional)
 
 
+class SetDoNotOrderListAlgorithm(TradingAlgorithm):
+    def initialize(self, sid=None, restricted_list=None):
+        self.order_count = 0
+        self.set_do_not_order_list(restricted_list)
+
+
 class SetMaxOrderCountAlgorithm(TradingAlgorithm):
     def initialize(self, count):
         self.order_count = 0