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BUG: Update perf period state when positions are changed by splits

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Otherwise, self._position_amounts will be out of sync with position.amount, etc.
That value is used to calculate pnl and returns, so test for them.
This commit is contained in:
Richard Frank
2014-03-11 19:08:22 -04:00
parent 4860a966b3
commit 7a3f73cf1d
2 changed files with 16 additions and 1 deletions
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tests/test_perf_tracking.py
+11
View File
@@ -151,6 +151,17 @@ class TestSplitPerformance(unittest.TestCase):
zp_math.tolerant_equals(8020,
daily_perf['ending_cash'], 1))
for i, result in enumerate(results):
for perf_kind in ('daily_perf', 'cumulative_perf'):
perf_result = result[perf_kind]
# prices aren't changing, so pnl and returns should be 0.0
self.assertEqual(0.0, perf_result['pnl'],
"day %s %s pnl %s instead of 0.0" %
(i, perf_kind, perf_result['pnl']))
self.assertEqual(0.0, perf_result['returns'],
"day %s %s returns %s instead of 0.0" %
(i, perf_kind, perf_result['returns']))
class TestCommissionEvents(unittest.TestCase):
zipline/finance/performance/period.py
+5 -1
View File
@@ -154,7 +154,11 @@ class PerformancePeriod(object):
if split.sid in self.positions:
# Make the position object handle the split. It returns the
# leftover cash from a fractional share, if there is any.
leftover_cash = self.positions[split.sid].handle_split(split)
position = self.positions[split.sid]
leftover_cash = position.handle_split(split)
self._position_amounts[split.sid] = position.amount
self._position_last_sale_prices[split.sid] = \
position.last_sale_price
if leftover_cash > 0:
self.handle_cash_payment(leftover_cash)