ENH: Move blotter call to after handle_data() and add fill_delay option.

zipline/finance/blotter.py

@@ -18,6 +18,7 @@ import uuid
 from copy import copy
 from logbook import Logger
 from collections import defaultdict
+from datetime import timedelta
 
 import zipline.errors
 import zipline.protocol as zp
@@ -43,7 +44,7 @@ ORDER_STATUS = Enum(
 
 class Blotter(object):
 
-    def __init__(self):
+    def __init__(self, fill_delay=timedelta(minutes=1)):
         self.transact = transact_partial(VolumeShareSlippage(), PerShare())
         # these orders are aggregated by sid
         self.open_orders = defaultdict(list)
@@ -55,6 +56,8 @@ class Blotter(object):
         self.current_dt = None
         self.max_shares = int(1e+11)
 
+        self.fill_delay = fill_delay
+
     def __repr__(self):
         return """
 {class_name}(
@@ -155,8 +158,10 @@ class Blotter(object):
             orders = self.open_orders[trade_event.sid]
             orders = sorted(orders, key=lambda o: o.dt)
             # Only use orders for the current day or before
+            # Since orders generally do not get filled immediately,
+            # we allow for a delay here.
             current_orders = filter(
-                lambda o: o.dt <= trade_event.dt,
+                lambda o: o.dt + self.fill_delay <= trade_event.dt,
                 orders)
         else:
             return

zipline/gens/tradesimulation.py

@@ -110,7 +110,7 @@ class AlgorithmSimulator(object):
                         self.algo.perf_tracker.process_event(event)
 
                 else:
-
+                    events = []
                     for event in snapshot:
                         if event.type in (DATASOURCE_TYPE.TRADE,
                                           DATASOURCE_TYPE.CUSTOM):
@@ -120,11 +120,9 @@ class AlgorithmSimulator(object):
                             self.algo.set_datetime(event.dt)
                             bm_updated = True
 
-                        process_trade = self.algo.blotter.process_trade
-                        for txn, order in process_trade(event):
-                            self.algo.perf_tracker.process_event(txn)
-                            self.algo.perf_tracker.process_event(order)
-                        self.algo.perf_tracker.process_event(event)
+                        # Save events to stream through blotter below.
+                        events.append(event)
+
 
                     # Update our portfolio.
                     self.algo.set_portfolio(
@@ -145,6 +143,17 @@ class AlgorithmSimulator(object):
                             self.algo.perf_tracker.process_event(order)
                         self.algo.blotter.new_orders = []
 
+                    # Fill orders
+                    for event in events:
+                        process_trade = self.algo.blotter.process_trade
+                        for txn, order in process_trade(event):
+
+                            self.algo.perf_tracker.process_event(txn)
+                            self.algo.perf_tracker.process_event(order)
+
+                        self.algo.perf_tracker.process_event(event)
+
+
                     # The benchmark is our internal clock. When it
                     # updates, we need to emit a performance message.
                     if bm_updated: