updated based on PR feedback.

tests/test_transforms.py

@@ -303,10 +303,6 @@ class BatchTransformTestCase(TestCase):
 
         # test overloaded class
         for test_history in [algo.history_return_price_class, algo.history_return_price_decorator]:
-            self.assertTrue(np.all(test_history[2].values.flatten() == range(4, 10)))
-            self.assertTrue(np.all(test_history[3].values.flatten() == range(4, 10)))
-            self.assertTrue(np.all(test_history[4].values.flatten() == range(6, 14)))
-
             np.testing.assert_array_equal(
                     range(4, 10),
                     test_history[2].values.flatten()

zipline/algorithm.py

@@ -5,7 +5,7 @@ from zipline.gens.tradegens import DataFrameSource
 from zipline.utils.factory import create_trading_environment
 from zipline.gens.transform import StatefulTransform
 from zipline.lines import SimulatedTrading
-from zipline.finance.slippage import FixedSlippage, simulate_method_factory
+from zipline.finance.slippage import FixedSlippage, transact_partial
 from zipline.finance.commission import PerShare
 
 
@@ -75,7 +75,7 @@ class TradingAlgorithm(object):
             transforms,
             self,
             environment,
-            simulate_method_factory(FixedSlippage(), PerShare(0.0))
+            transact_partial(FixedSlippage(), PerShare(0.0))
         )
 
     def run(self, source, start=None, end=None):
@@ -180,5 +180,5 @@ class TradingAlgorithm(object):
     def initialize(self, *args, **kwargs):
         pass
 
-    def set_simulate_override(self, slippage_callable):
+    def set_transact_setter(self, transact_setter):
         pass

zipline/finance/commission.py

@@ -1,18 +1,44 @@
 class PerShare(object):
+    """
+    Calculates a commission for a transaction based on a per
+    share cost.
+    """
 
     def __init__(self, cost=0.03):
+        """
+        Cost parameter is the cost of a trade per-share. $0.03
+        means three cents per share, which is a very conservative
+        (quite high) for per share costs.
+        """
         self.cost = cost
 
 
     def calculate(self, transaction):
+        """
+        returns a tuple of:
+        (per share commission, total transaction commission)
+        """
         return self.cost, abs(transaction.amount * self.cost)
 
 class PerTrade(object):
+    """
+    Calculates a commission for a transaction based on a per
+    trade cost.
+    """
 
     def __init__(self, cost=5.0):
+        """
+        Cost parameter is the cost of a trade, regardless of
+        share count. $5.00 per trade is fairly typical of
+        discount brokers.
+        """
         self.cost = cost
 
     def calculate(self, transaction):
+        """
+        returns a tuple of:
+        (per share commission, total transaction commission)
+        """
         if transaction.amount == 0:
             return 0.0, 0.0
 

zipline/finance/slippage.py

@@ -1,20 +1,25 @@
 import pytz
 import math
 
+from functools import partial
+
 import zipline.protocol as zp
 
+def transact_stub(slippage, commission, open_orders, events):
+    """
+    This is intended to be wrapped in a partial, so that the
+    slippage and commission models can be enclosed.
+    """
+    transaction = slippage.simulate(open_orders, events)
+    if transaction:
+        per_share, total_commission = commission.calculate(transaction)
+        transaction.price = transaction.price + per_share
+        transaction.commission = total_commission
+    return transaction
 
-def simulate_method_factory(slippage, commission):
 
-    def simulate(open_orders, events):
-        transaction = slippage.simulate(open_orders, events)
-        if transaction:
-            per_share, total_commission = commission.calculate(transaction)
-            transaction.price = transaction.price + per_share
-            transaction.commission = total_commission
-        return transaction
-
-    return simulate
+def transact_partial(slippage, commission):
+    return partial(transact_stub, slippage, commission)
 
 def create_transaction(sid, amount, price, dt):
 

zipline/finance/trading.py

@@ -7,7 +7,7 @@ from collections import defaultdict
 import zipline.protocol as zp
 from zipline.finance.slippage import (
         VolumeShareSlippage,
-        simulate_method_factory
+        transact_partial
     )
 from zipline.finance.commission import PerShare
 
@@ -15,11 +15,11 @@ log = logbook.Logger('Transaction Simulator')
 
 class TransactionSimulator(object):
 
-    def __init__(self, simulate=None):
-        if simulate:
-            self.simulate = simulate
+    def __init__(self, transact=None):
+        if transact != None:
+            self.transact = transact
         else:
-            self.simulate =  simulate_method_factory(
+            self.transact =  transact_partial(
                                 VolumeShareSlippage(),
                                 PerShare()
                              )
@@ -43,7 +43,7 @@ class TransactionSimulator(object):
         event.TRANSACTION = None
         # We only fill transactions on trade events.
         if event.type == zp.DATASOURCE_TYPE.TRADE:
-            event.TRANSACTION = self.simulate(event, self.open_orders)
+            event.TRANSACTION = self.transact(event, self.open_orders)
         return event
 
 

zipline/gens/tradesimulation.py

@@ -52,14 +52,14 @@ class TradeSimulationClient(object):
     is sent to the algo.
     """
 
-    def __init__(self, algo, environment, txn_sim):
+    def __init__(self, algo, environment, transact):
 
         self.algo = algo
         self.sids = algo.get_sid_filter()
         self.environment = environment
-        self.txn_sim = txn_sim
+        self.transact = transact
 
-        self.ordering_client = TransactionSimulator(self.txn_sim)
+        self.ordering_client = TransactionSimulator(self.transact)
         self.perf_tracker = PerformanceTracker(self.environment, self.sids)
 
         self.algo_start = self.environment.first_open
@@ -130,8 +130,10 @@ class AlgorithmSimulator(object):
         self.algolog = Logger("AlgoLog")
         self.algo.set_logger(self.algolog)
 
-        # Porived user algorithm with slippage override.
-        self.algo.set_simulate_override(self.simulate_override)
+        # Provide user algorithm with a setter for the transact
+        # method (method that constructs transactions based on
+        # open orders and trade events).
+        self.algo.set_transact_setter(self.set_transact)
 
         # Handler for heartbeats during calls to handle_data.
         def log_heartbeats(beat_count, stackframe):
@@ -173,13 +175,17 @@ class AlgorithmSimulator(object):
             record.extra['algo_dt'] = self.snapshot_dt
         self.processor = Processor(inject_algo_dt)
 
-    def simulate_override(self, slippage):
-        self.order_book.slippage = slippage
+    def set_transact(self, transact):
+        """
+        Set the method that will be called to create a
+        transaction from open orders and trade events.
+        """
+        self.order_book.transact = transact
 
     def order(self, sid, amount):
         """
         Closure to pass into the user's algo to allow placing orders
-        into the txn_sim's dict of open orders.
+        into the transaction simulator's dict of open orders.
         """
         assert sid in self.sids, "Order on invalid sid: %i" % sid
         order = ndict({
@@ -230,7 +236,7 @@ class AlgorithmSimulator(object):
                 if date == 'DONE':
                     for event in snapshot:
                         yield event.perf_message
-                    raise StopIteration()
+                    raise StopIteration
 
                 # We're still in the warmup period.  Use the event to
                 # update our universe, but don't yield any perf messages,

zipline/test_algorithms.py

@@ -44,8 +44,8 @@ The algorithm must expose methods:
 
         self.Portfolio[sid(133)]['cost_basis']
 
-  - set_simulate_override: method that accepts a callable. Will
-    be set as the value of the set_simulate_override method of
+  - set_transact_setter: method that accepts a callable. Will
+    be set as the value of the set_transact_setter method of
     the trading_client. This allows an algorithm to change the
     slippage model used to predict transactions based on orders
     and trade events.
@@ -97,7 +97,7 @@ class TestAlgorithm():
     def get_sid_filter(self):
         return self.sid_filter
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 
@@ -138,7 +138,7 @@ class HeavyBuyAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class NoopAlgorithm(object):
@@ -164,7 +164,7 @@ class NoopAlgorithm(object):
     def get_sid_filter(self):
         return []
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class ExceptionAlgorithm(object):
@@ -210,7 +210,7 @@ class ExceptionAlgorithm(object):
         else:
             return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class DivByZeroAlgorithm():
@@ -240,7 +240,7 @@ class DivByZeroAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class InitializeTimeoutAlgorithm():
@@ -269,7 +269,7 @@ class InitializeTimeoutAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class TooMuchProcessingAlgorithm():
@@ -297,7 +297,7 @@ class TooMuchProcessingAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class TimeoutAlgorithm():
@@ -327,7 +327,7 @@ class TimeoutAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class TestPrintAlgorithm():
@@ -354,7 +354,7 @@ class TestPrintAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 class TestLoggingAlgorithm():
@@ -381,7 +381,7 @@ class TestLoggingAlgorithm():
     def get_sid_filter(self):
         return [self.sid]
 
-    def set_simulate_override(self, txn_sim_callable):
+    def set_transact_setter(self, txn_sim_callable):
         pass
 
 

zipline/utils/simfactory.py

@@ -2,7 +2,7 @@ import zipline.utils.factory as factory
 
 from zipline.test_algorithms import TestAlgorithm
 from zipline.lines import SimulatedTrading
-from zipline.finance.slippage import FixedSlippage, simulate_method_factory
+from zipline.finance.slippage import FixedSlippage, transact_partial
 from zipline.finance.commission import PerShare
 
 def create_test_zipline(**config):
@@ -65,7 +65,7 @@ def create_test_zipline(**config):
 
        slippage = config.get('slippage', FixedSlippage())
        commission = PerShare()
-       sim_method = simulate_method_factory(slippage, commission)
+       transact_method = transact_partial(slippage, commission)
 
        #-------------------
        # Trade Source
@@ -106,7 +106,7 @@ def create_test_zipline(**config):
                transforms,
                test_algo,
                trading_environment,
-               sim_method
+               transact_method
                )
        #-------------------