clarifying the results protocol for the backtest.

zipline/finance/risk.py

@@ -352,10 +352,10 @@ class RiskReport():
         provided for each period.
         """
         return {
-            '1_month'    : [x.to_dict() for x in self.month_periods],
-            '3_month'    : [x.to_dict() for x in self.three_month_periods],
-            '6_month'    : [x.to_dict() for x in self.six_month_periods],
-            '12_month'   : [x.to_dict() for x in self.year_periods]
+            'one_month'     : [x.to_dict() for x in self.month_periods],
+            'three_month'   : [x.to_dict() for x in self.three_month_periods],
+            'six_month'     : [x.to_dict() for x in self.six_month_periods],
+            'twelve_month'  : [x.to_dict() for x in self.year_periods]
         }
 
     def periodsInRange(self, months_per, start, end):

zipline/finance/trading.py

@@ -421,20 +421,7 @@ class TransactionSimulator(qmsg.BaseTransform):
                 # we cap the volume share at 25% of a trade
                 if volume_share == .25:
                     break
-                   
-                if simulated_amount == 0:
-                    warning = """
-Calculated a zero volume transation on trade: 
-{event} 
-for order: 
-{order}
-                    """
-                    warning = warning.format(
-                        event=str(event), 
-                        order=str(order)
-                    )
-                    qutil.LOGGER.warn(warning)
-        
+                  
         orders = [ x for x in orders if abs(x.amount - x.filled) > 0 and x.dt.day >= event.dt.day]
        
         self.open_orders[event.sid] = orders
@@ -449,6 +436,17 @@ for order:
                 direction
             )
         else:
+            warning = """
+Calculated a zero volume transaction on trade: 
+{event} 
+for order: 
+{order}
+            """
+            warning = warning.format(
+                event=str(event), 
+                order=str(order)
+            )
+            qutil.LOGGER.warn(warning)
             return None
     
         

zipline/protocol.py

@@ -615,10 +615,8 @@ def PERF_FRAME(perf):
     """
     Frame the performance update created at the end of each simulated trading
     day. The msgpack is a tuple with the first element statically set to 'PERF'.
-    Frames prepared by this method are sent via the same socket as 
-    Frames prepared by RISK_FRAME. So, both methods prefix the payload with
-    a shorthand for their type. That way, all messages received from the socket
-    can be PERF_UNFRAMED(), whether they are risk or perf.
+    Like RISK_FRAME, this method calls BT_UPDATE_FRAME internally, so that
+    clients can call BT_UPDATE_UNFRAME for all messages from the backtest.
 
     :param perf: the dictionary created by zipline.trade_client.perf
     :rvalue: a msgpack string
@@ -666,7 +664,7 @@ def PERF_FRAME(perf):
     
     perf['returns'] = returns
     
-    return msgpack.dumps(tuple(['PERF', perf]))
+    return BT_UPDATE_FRAME('PERF', perf)
     
 def convert_transactions(transactions):
     results = []
@@ -677,10 +675,22 @@ def convert_transactions(transactions):
     return results
     
 def RISK_FRAME(risk):
-    return msgpack.dumps(tuple(['RISK', risk]))
+    return BT_UPDATE_FRAME('RISK', risk)
     
-
-def PERF_UNFRAME(msg):
+def BT_UPDATE_FRAME(prefix, payload):
+    """
+    Frames prepared by RISK_FRAME and PERF_FRAME methods are sent via the same 
+    socket. This method provides a prefix to allow for muxing the messages
+    onto a single socket.
+    """
+    return msgpack.dumps(tuple([prefix, payload]))
+    
+def BT_UPDATE_UNFRAME(msg):
+    """
+    Risk and Perf framing methods prefix the payload with
+    a shorthand for their type. That way, all messages received from the socket
+    can be PERF_FRAMED(), whether they are risk or perf.
+    """
     prefix, payload = msgpack.loads(msg, use_list=True)
     return dict(prefix=prefix, payload=payload)