From 6561292e4cabbe0018d326ae40092cfff53ffc0c Mon Sep 17 00:00:00 2001
From: fawce <fawce@quantopian.com>
Date: Wed, 18 Apr 2012 10:55:21 -0400
Subject: [PATCH] some efficiency changes - no longer transferring the list of
 daily returns, no longer holding transactions in the daily and the cumulative
 performance periods.

---
 zipline/finance/performance.py | 13 +++++++++----
 zipline/finance/trading.py     |  6 +++---
 zipline/protocol.py            | 16 +---------------
 zipline/test/test_finance.py   |  8 --------
 4 files changed, 13 insertions(+), 30 deletions(-)

diff --git a/zipline/finance/performance.py b/zipline/finance/performance.py
index ce1c9bcb..9eb936a2 100644
--- a/zipline/finance/performance.py
+++ b/zipline/finance/performance.py
@@ -178,7 +178,9 @@ class PerformanceTracker():
             # initial portfolio positions have zero value
             0,
             # initial cash is your capital base.
-            starting_cash = self.capital_base
+            starting_cash = self.capital_base,
+            # save the transactions for the daily periods
+            keep_transactions = True
         )
 
     def get_portfolio(self):
@@ -288,7 +290,8 @@ class PerformanceTracker():
         self.todays_performance = PerformancePeriod(
             self.todays_performance.positions,
             self.todays_performance.ending_value,
-            self.todays_performance.ending_cash
+            self.todays_performance.ending_cash,
+            keep_transactions = True
         )
 
     def handle_simulation_end(self):
@@ -374,7 +377,7 @@ class Position():
 
 class PerformancePeriod():
 
-    def __init__(self, initial_positions, starting_value, starting_cash):
+    def __init__(self, initial_positions, starting_value, starting_cash, keep_transactions=False):
         self.ending_value           = 0.0
         self.period_capital_used    = 0.0
         self.pnl                    = 0.0
@@ -384,6 +387,7 @@ class PerformancePeriod():
         #cash balance at start of period
         self.starting_cash          = starting_cash
         self.ending_cash            = starting_cash
+        self.keep_transactions      = keep_transactions
         self.processed_transactions = []
         self.cumulative_capital_used = 0.0
         self.max_capital_used        = 0.0
@@ -434,7 +438,8 @@ class PerformancePeriod():
             self.max_leverage = 1.1 * self.max_capital_used / self.starting_cash
             
         # add transaction to the list of processed transactions 
-        self.processed_transactions.append(txn)
+        if self.keep_transactions:
+            self.processed_transactions.append(txn)
         
     def round_to_nearest(self, x, base=5):
         return int(base * round(float(x)/base))
diff --git a/zipline/finance/trading.py b/zipline/finance/trading.py
index 045f9471..9a950e61 100644
--- a/zipline/finance/trading.py
+++ b/zipline/finance/trading.py
@@ -439,12 +439,12 @@ class TransactionSimulator(qmsg.BaseTransform):
             warning = """
 Calculated a zero volume transaction on trade: 
 {event} 
-for order: 
-{order}
+for orders: 
+{orders}
             """
             warning = warning.format(
                 event=str(event), 
-                order=str(order)
+                orders=str(orders)
             )
             qutil.LOGGER.warn(warning)
             return None
diff --git a/zipline/protocol.py b/zipline/protocol.py
index 5663b5d7..4cdc54f4 100644
--- a/zipline/protocol.py
+++ b/zipline/protocol.py
@@ -623,11 +623,6 @@ def PERF_FRAME(perf):
     """
     
     #TODO: add asserts...
-    
-    # DATE fields: 
-    #    started_at, period_start, period_end, last_close, last_open
-    #   pos.last_sale_date
-    #   txn.dt
    
     assert isinstance(perf['started_at'], datetime.datetime)
     assert isinstance(perf['period_start'], datetime.datetime)
@@ -654,16 +649,7 @@ def PERF_FRAME(perf):
     
     tp['transactions']  = convert_transactions(tp['transactions'])
     cp['transactions']  = convert_transactions(cp['transactions']) 
-   
-    returns = []
-    for dr in perf['returns']:
-        updated = {}
-        updated['returns'] = dr['returns']
-        updated['date'] = EPOCH(dr['dt'])
-        returns.append(updated)
-    
-    perf['returns'] = returns
-    
+       
     return BT_UPDATE_FRAME('PERF', perf)
     
 def convert_transactions(transactions):
diff --git a/zipline/test/test_finance.py b/zipline/test/test_finance.py
index 2ff7da61..a85f220d 100644
--- a/zipline/test/test_finance.py
+++ b/zipline/test/test_finance.py
@@ -139,14 +139,6 @@ class FinanceTestCase(TestCase):
             zipline.trading_client.order_count
         )
         
-        # the number of transactions in the performance tracker's cumulative
-        # period should be the same as the number of orders place by the 
-        # algorithm.
-        self.assertEqual(
-            zipline.trading_client.order_count, 
-            len(zipline.trading_client.perf.cumulative_performance.processed_transactions)
-        )
-
     
     @timed(EXTENDED_TIMEOUT)
     def test_aggressive_buying(self):