Merge pull request #91 from quantopian/bug585

change protocol to match new datasources

zipline/gens/utils.py

@@ -67,12 +67,17 @@ def hash_args(*args, **kwargs):
     return hasher.hexdigest()
 
 def create_trade(sid, price, amount, datetime, source_id = "test_factory"):
+
     row = ndict({
         'source_id' : source_id,
         'type'      : DATASOURCE_TYPE.TRADE,
         'sid'       : sid,
         'dt'        : datetime,
         'price'     : price,
+        'close'     : price,
+        'open'      : price,
+        'low'       : price * .95,
+        'high'      : price * 1.05,
         'volume'    : amount
     })
     return row

zipline/protocol.py

@@ -132,6 +132,7 @@ from utils.date_utils import EPOCH, UN_EPOCH, epoch_now
 # -----------------------
 
 PRODUCTION_PREFIXES = ['PERF', 'RISK', 'EXCEPTION','CANCEL','DONE', 'LOG']
+PRICE_FIELDS = ['price', 'open', 'close', 'high', 'low']
 
 INVALID_CONTROL_FRAME = FrameExceptionFactory('CONTROL')
 
@@ -428,21 +429,26 @@ def TRADE_FRAME(event):
     assert isinstance(event, ndict)
     assert event.type == DATASOURCE_TYPE.TRADE
     assert isinstance(event.sid, int)
-    assert isinstance(event.price, numbers.Real)
+    for field in PRICE_FIELDS:
+        assert isinstance(event[field], numbers.Real)
     assert isinstance(event.volume, numbers.Integral)
     PACK_DATE(event)
     return msgpack.dumps(tuple([
         event.sid,
         event.price,
+        event.open,
+        event.close, 
+        event.high, 
+        event.low,
         event.volume,
         event.dt,
-        event.type,
+        event.type
     ]))
 
 def TRADE_UNFRAME(msg):
     try:
         packed = msgpack.loads(msg)
-        sid, price, volume, dt, source_type = packed
+        sid, price, open, close, high, low, volume, dt, source_type = packed
 
         assert isinstance(sid, int)
         assert isinstance(price, numbers.Real)
@@ -450,6 +456,10 @@ def TRADE_UNFRAME(msg):
         rval = ndict({
             'sid'       : sid,
             'price'     : price,
+            'open'      : open,
+            'close'     : close,
+            'high'      : high,
+            'low'       : low,
             'volume'    : volume,
             'dt'        : dt,
             'type'      : source_type