Merge branch 'master' of github.com:quantopian/zipline

etc/git-hooks/pre-commit

@@ -13,7 +13,17 @@
 
 set -e
 
+# stash everything that wasn't just staged
+# so that we are only testing the staged code
+git stash -q --keep-index
+
 # Run flake8 linting
 flake8 zipline tests
 # Run unit tests
 nosetests -x
+
+# restore unstaged code
+# N.B. this won't run if linting or unit tests fail
+# But if either fail, it's probably best to have only the offending
+# staged commits 'active', anyway.
+git stash pop -q

zipline/algorithm.py

@@ -131,13 +131,13 @@ class TradingAlgorithm(object):
         self.with_alias_dt = alias_dt(self.with_tnfms)
         # Group together events with the same dt field. This depends on the
         # events already being sorted.
-        self.grouped_by_date = groupby(self.with_alias_dt, attrgetter('dt'))
+        self.grouped_by_dt = groupby(self.with_alias_dt, attrgetter('dt'))
         self.trading_client = tsc(self, sim_params)
 
         transact_method = transact_partial(self.slippage, self.commission)
         self.set_transact(transact_method)
 
-        return self.trading_client.simulate(self.grouped_by_date)
+        return self.trading_client.simulate(self.grouped_by_dt)
 
     def get_generator(self):
         """

zipline/finance/performance.py

@@ -33,8 +33,6 @@ Performance Tracking
     +-----------------+----------------------------------------------------+
     | progress        | percentage of test completed                       |
     +-----------------+----------------------------------------------------+
-    | started_at      | datetime in utc marking the start of this test     |
-    +-----------------+----------------------------------------------------+
     | capital_base    | The initial capital assumed for this tracker.      |
     +-----------------+----------------------------------------------------+
     | cumulative_perf | A dictionary representing the cumulative           |
@@ -133,8 +131,6 @@ omitted).
 """
 
 import logbook
-import datetime
-import pytz
 import math
 
 import numpy as np
@@ -148,20 +144,12 @@ log = logbook.Logger('Performance')
 
 class PerformanceTracker(object):
     """
-    Tracks the performance of the zipline as it is running in
-    the simulator, relays this out to the Deluge broker and then
-    to the client. Visually:
-
-        +--------------------+   Result Stream   +--------+
-        | PerformanceTracker | ----------------> | Deluge |
-        +--------------------+                   +--------+
-
+    Tracks the performance of the algorithm.
     """
 
     def __init__(self, sim_params):
 
         self.sim_params = sim_params
-        self.started_at = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)
 
         self.period_start = self.sim_params.period_start
         self.period_end = self.sim_params.period_end
@@ -177,7 +165,6 @@ class PerformanceTracker(object):
         self.returns = []
         self.txn_count = 0
         self.event_count = 0
-        self.last_dict = None
         self.cumulative_risk_metrics = \
             risk.RiskMetricsIterative(self.period_start)
 
@@ -226,7 +213,7 @@ class PerformanceTracker(object):
 
                     new_snapshot.append(event)
 
-            if len(new_snapshot) > 0:
+            if new_snapshot:
                 yield date, new_snapshot
 
     def get_portfolio(self):
@@ -238,7 +225,6 @@ class PerformanceTracker(object):
         Returns a dict object of the form described in header comments.
         """
         return {
-            'started_at': self.started_at,
             'period_start': self.period_start,
             'period_end': self.period_end,
             'progress': self.progress,

zipline/finance/risk.py

@@ -1,5 +1,5 @@
 #
-# Copyright 2012 Quantopian, Inc.
+# Copyright 2013 Quantopian, Inc.
 #
 # Licensed under the Apache License, Version 2.0 (the "License");
 # you may not use this file except in compliance with the License.

zipline/gens/tradesimulation.py

@@ -12,7 +12,7 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-
+import itertools
 
 from logbook import Logger, Processor
 from collections import defaultdict
@@ -234,16 +234,20 @@ class AlgorithmSimulator(object):
         """
         Main generator work loop.
         """
+        # Set the simulation date to be the first event we see.
+        peek_date, peek_snapshot = next(stream_in)
+        self.simulation_dt = peek_date
+
+        # Stitch back together the generator by placing the peeked
+        # event back in front
+        stream = itertools.chain([(peek_date, peek_snapshot)],
+                                 stream_in)
+
         # inject the current algo
         # snapshot time to any log record generated.
         with self.processor.threadbound():
 
-            for date, snapshot in stream_in:
-                # Set the simulation date to be the first event we see.
-                # This should only occur once, at the start of the test.
-                if self.simulation_dt is None:
-                    self.simulation_dt = date
-
+            for date, snapshot in stream:
                 # We're still in the warmup period.  Use the event to
                 # update our universe, but don't yield any perf messages,
                 # and don't send a snapshot to handle_data.