DEV: pull remove-open-orders logic into its own method

And test it.

tests/test_blotter.py

@@ -17,7 +17,7 @@ from nose_parameterized import parameterized
 import pandas as pd
 
 from zipline.finance.blotter import Blotter
-from zipline.finance.order import ORDER_STATUS
+from zipline.finance.order import ORDER_STATUS, Order
 from zipline.finance.execution import (
     LimitOrder,
     MarketOrder,
@@ -224,9 +224,10 @@ class BlotterTestCase(WithLogger,
             lambda: self.sim_params.trading_days[-1],
             self.sim_params.data_frequency,
         )
-        txns, _ = blotter.get_transactions(bar_data)
+        txns, _, closed_orders = blotter.get_transactions(bar_data)
         for txn in txns:
             filled_order = blotter.orders[txn.order_id]
+        blotter.prune_orders(closed_orders)
 
         self.assertEqual(filled_order.id, filled_id)
         self.assertIn(filled_order, blotter.new_orders)
@@ -298,7 +299,7 @@ class BlotterTestCase(WithLogger,
                 lambda: dt,
                 self.sim_params.data_frequency,
             )
-            txns, _ = blotter.get_transactions(bar_data)
+            txns, _, _ = blotter.get_transactions(bar_data)
             for txn in txns:
                 filled_order = blotter.orders[txn.order_id]
 
@@ -306,3 +307,30 @@ class BlotterTestCase(WithLogger,
             self.assertEqual(filled_order.status, expected_status)
             self.assertEqual(filled_order.filled, expected_filled)
             self.assertEqual(filled_order.open_amount, expected_open)
+
+    def test_prune_orders(self):
+        blotter = Blotter(self.sim_params.data_frequency,
+                          self.env.asset_finder)
+
+        asset_24 = blotter.asset_finder.retrieve_asset(24)
+        asset_25 = blotter.asset_finder.retrieve_asset(25)
+
+        blotter.order(asset_24, 100, MarketOrder())
+        open_order = blotter.open_orders[asset_24][0]
+
+        blotter.prune_orders([])
+        self.assertEqual(1, len(blotter.open_orders[asset_24]))
+
+        blotter.prune_orders([open_order])
+        self.assertEqual(0, len(blotter.open_orders[asset_24]))
+
+        # prune an order that isn't in our our open orders list, make sure
+        # nothing blows up
+
+        other_order = Order(
+            dt=blotter.current_dt,
+            sid=asset_25,
+            amount=1
+        )
+
+        blotter.prune_orders([other_order])

tests/test_finance.py

@@ -309,11 +309,13 @@ class FinanceTestCase(WithLogger,
                         lambda: tick,
                         sim_params.data_frequency
                     )
-                    txns, _ = blotter.get_transactions(bar_data)
+                    txns, _, closed_orders = blotter.get_transactions(bar_data)
                     for txn in txns:
                         tracker.process_transaction(txn)
                         transactions.append(txn)
 
+                    blotter.prune_orders(closed_orders)
+
             for i in range(order_count):
                 order = order_list[i]
                 self.assertEqual(order.sid, sid)

zipline/finance/blotter.py

@@ -296,6 +296,9 @@ class Blotter(object):
             parameters.  If there are no commission events (because, for
             example, Zipline models the commission cost into the fill price
             of the transaction), then this is None.
+
+        closed_orders: List
+            closed_orders: list of all the orders that have filled.
         """
 
         closed_orders = []
@@ -329,13 +332,27 @@ class Blotter(object):
                     if not order.open:
                         closed_orders.append(order)
 
+        return transactions, None, closed_orders
+
+    def prune_orders(self, closed_orders):
+        """
+        Removes all given orders from the blotter's open_orders list.
+
+        Parameters
+        ----------
+        closed_orders: iterable of orders that are closed.
+
+        Returns
+        -------
+        None
+        """
         # remove all closed orders from our open_orders dict
         for order in closed_orders:
             sid = order.sid
+            sid_orders = self.open_orders[sid]
             try:
-                sid_orders = self.open_orders[sid]
                 sid_orders.remove(order)
-            except KeyError:
+            except ValueError:
                 continue
 
         # now clear out the sids from our open_orders dict that have
@@ -343,6 +360,3 @@ class Blotter(object):
         for sid in list(self.open_orders.keys()):
             if len(self.open_orders[sid]) == 0:
                 del self.open_orders[sid]
-
-        # FIXME this API doesn't feel right (returning two things here)
-        return transactions, None

zipline/gens/tradesimulation.py

@@ -110,9 +110,11 @@ class AlgorithmSimulator(object):
 
             # handle any transactions and commissions coming out new orders
             # placed in the last bar
-            new_transactions, new_commissions = \
+            new_transactions, new_commissions, closed_orders = \
                 blotter.get_transactions(current_data)
 
+            blotter.prune_orders(closed_orders)
+
             for transaction in new_transactions:
                 perf_tracker.process_transaction(transaction)