ENH: Add flag fill_delay kwarg to TradingAlgorithm.

zipline/algorithm.py

@@ -40,7 +40,7 @@ from zipline.finance.slippage import (
 )
 from zipline.finance.commission import PerShare, PerTrade
 from zipline.finance.blotter import Blotter
-from zipline.finance.constants import ANNUALIZER
+from zipline.finance.constants import ANNUALIZER, FILL_DELAYS
 import zipline.finance.trading as trading
 import zipline.protocol
 from zipline.protocol import Event
@@ -87,6 +87,8 @@ class TradingAlgorithm(object):
             annualizer : int <optional>
                Which constant to use for annualizing risk metrics.
                If not provided, will extract from data_frequency.
+            fill_delay : datetime.timedelta
+               Delay between placing an order and filling an order.
             capital_base : float <default: 1.0e5>
                How much capital to start with.
         """
@@ -115,6 +117,8 @@ class TradingAlgorithm(object):
         # Override annualizer if set
         if 'annualizer' in kwargs:
             self.annualizer = kwargs['annualizer']
+        if 'fill_delay' in kwargs:
+            self.fill_delay = kwargs['fill_delay']
 
         # set the capital base
         self.capital_base = kwargs.pop('capital_base', DEFAULT_CAPITAL_BASE)
@@ -125,7 +129,7 @@ class TradingAlgorithm(object):
 
         self.blotter = kwargs.pop('blotter', None)
         if not self.blotter:
-            self.blotter = Blotter()
+            self.blotter = Blotter(fill_delay=self.fill_delay)
 
         # an algorithm subclass needs to set initialized to True when
         # it is fully initialized.
@@ -431,3 +435,4 @@ class TradingAlgorithm(object):
         assert data_frequency in ('daily', 'minute')
         self.data_frequency = data_frequency
         self.annualizer = ANNUALIZER[self.data_frequency]
+        self.fill_delay = FILL_DELAYS[self.data_frequency]

zipline/finance/constants.py

@@ -13,6 +13,8 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+from datetime import timedelta
+
 TRADING_DAYS_IN_YEAR = 250
 TRADING_HOURS_IN_DAY = 6
 MINUTES_IN_HOUR = 60
@@ -21,3 +23,6 @@ ANNUALIZER = {'daily': TRADING_DAYS_IN_YEAR,
               'hourly': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY,
               'minute': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY *
               MINUTES_IN_HOUR}
+
+FILL_DELAYS = {'daily': timedelta(days=1),
+               'minute': timedelta(minutes=1)}