MAINT: Use Python 3 compatible metaclass.

Use six's with_metaclass to have objects that use metaclasses, in
both Python 2 and 3.

Otherwise, in Python 3 the objects were being treated as if they
did not have a metaclass, when the Python 2 syntax is used, leading
to errors because of missing attributes, etc.

zipline/finance/slippage.py

@@ -20,6 +20,9 @@ import math
 
 from copy import copy
 from functools import partial
+
+from six import with_metaclass
+
 from zipline.protocol import DATASOURCE_TYPE
 import zipline.utils.math_utils as zp_math
 
@@ -152,9 +155,7 @@ def create_transaction(event, order, price, amount):
     return transaction
 
 
-class SlippageModel(object):
-
-    __metaclass__ = abc.ABCMeta
+class SlippageModel(with_metaclass(abc.ABCMeta)):
 
     @property
     def volume_for_bar(self):

zipline/sources/data_source.py

@@ -3,13 +3,13 @@ from abc import (
     abstractproperty
 )
 
+from six import with_metaclass
+
 from zipline.protocol import DATASOURCE_TYPE
 from zipline.protocol import Event
 
 
-class DataSource(object):
-
-    __metaclass__ = ABCMeta
+class DataSource(with_metaclass(ABCMeta)):
 
     @property
     def event_type(self):

zipline/transforms/mavg.py

@@ -15,20 +15,19 @@
 
 from collections import defaultdict
 
-from six import string_types
+from six import string_types, with_metaclass
 
 from zipline.transforms.utils import EventWindow, TransformMeta
 from zipline.errors import WrongDataForTransform
 
 
-class MovingAverage(object):
+class MovingAverage(with_metaclass(TransformMeta)):
     """
     Class that maintains a dictionary from sids to
     MovingAverageEventWindows.  For each sid, we maintain moving
     averages over any number of distinct fields (For example, we can
     maintain a sid's average volume as well as its average price.)
     """
-    __metaclass__ = TransformMeta
 
     def __init__(self, fields='price',
                  market_aware=True, window_length=None, delta=None):

zipline/transforms/returns.py

@@ -17,13 +17,14 @@ from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import TransformMeta
 from collections import defaultdict, deque
 
+from six import with_metaclass
 
-class Returns(object):
+
+class Returns(with_metaclass(TransformMeta)):
     """
     Class that maintains a dictionary from sids to the sid's
     closing price N trading days ago.
     """
-    __metaclass__ = TransformMeta
 
     def __init__(self, window_length):
         self.window_length = window_length

zipline/transforms/stddev.py

@@ -16,19 +16,20 @@
 from collections import defaultdict
 from math import sqrt
 
+from six import with_metaclass
+
 from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import EventWindow, TransformMeta
 import zipline.utils.math_utils as zp_math
 
 
-class MovingStandardDev(object):
+class MovingStandardDev(with_metaclass(TransformMeta)):
     """
     Class that maintains a dictionary from sids to
     MovingStandardDevWindows.  For each sid, we maintain a the
     standard deviation of all events falling within the specified
     window.
     """
-    __metaclass__ = TransformMeta
 
     def __init__(self, market_aware=True, window_length=None, delta=None):
 

zipline/transforms/utils.py

@@ -26,6 +26,8 @@ from datetime import datetime
 from collections import deque
 from abc import ABCMeta, abstractmethod
 
+from six import with_metaclass
+
 from zipline.protocol import DATASOURCE_TYPE
 from zipline.gens.utils import assert_sort_unframe_protocol, hash_args
 from zipline.finance import trading
@@ -147,7 +149,7 @@ class StatefulTransform(object):
             yield out_message
 
 
-class EventWindow(object):
+class EventWindow(with_metaclass(ABCMeta)):
     """
     Abstract base class for transform classes that calculate iterative
     metrics on events within a given timedelta.  Maintains a list of
@@ -166,7 +168,6 @@ class EventWindow(object):
     price.
     """
     # Mark this as an abstract base class.
-    __metaclass__ = ABCMeta
 
     def __init__(self, market_aware=True, window_length=None, delta=None):
 

zipline/transforms/vwap.py

@@ -15,15 +15,16 @@
 
 from collections import defaultdict
 
+from six import with_metaclass
+
 from zipline.errors import WrongDataForTransform
 from zipline.transforms.utils import EventWindow, TransformMeta
 
 
-class MovingVWAP(object):
+class MovingVWAP(with_metaclass(TransformMeta)):
     """
     Class that maintains a dictionary from sids to VWAPEventWindows.
     """
-    __metaclass__ = TransformMeta
 
     def __init__(self, market_aware=True, delta=None, window_length=None):