ENH: Renamed to batch_order and added batch_order_target_percent

tests/test_algorithm.py

@@ -123,6 +123,7 @@ from zipline.test_algorithms import (
     TestTargetAlgorithm,
     TestTargetPercentAlgorithm,
     TestTargetValueAlgorithm,
+    TestBatchTargetPercentAlgorithm,
     SetLongOnlyAlgorithm,
     SetAssetDateBoundsAlgorithm,
     SetMaxPositionSizeAlgorithm,
@@ -905,14 +906,15 @@ def before_trading_start(context, data):
         self.assertEqual(algo.sim_params.data_frequency, 'minute')
 
     @parameterized.expand([
-        (TestOrderAlgorithm,),
-        (TestOrderValueAlgorithm,),
-        (TestTargetAlgorithm,),
-        (TestOrderPercentAlgorithm,),
-        (TestTargetPercentAlgorithm,),
-        (TestTargetValueAlgorithm,),
+        ('order', TestOrderAlgorithm,),
+        ('order_value', TestOrderValueAlgorithm,),
+        ('order_target', TestTargetAlgorithm,),
+        ('order_percent', TestOrderPercentAlgorithm,),
+        ('order_target_percent', TestTargetPercentAlgorithm,),
+        ('order_target_value', TestTargetValueAlgorithm,),
+        ('batch_order_target_percent', TestBatchTargetPercentAlgorithm,),
     ])
-    def test_order_methods(self, algo_class):
+    def test_order_methods(self, test_name, algo_class):
         algo = algo_class(
             sim_params=self.sim_params,
             env=self.env,

tests/test_blotter.py

@@ -330,7 +330,7 @@ class BlotterTestCase(WithCreateBarData,
 
         blotter.prune_orders([other_order])
 
-    def test_order_batch_matches_multi_order(self):
+    def test_batch_order_matches_multiple_orders(self):
         """
         Ensure the effect of order_batch is the same as multiple calls to
         order.
@@ -345,7 +345,7 @@ class BlotterTestCase(WithCreateBarData,
                 (self.asset_25, i * 100, LimitOrder(i * 100 + 1)),
             ]
 
-            order_batch_ids = blotter1.order_batch(order_arg_lists)
+            order_batch_ids = blotter1.batch_order(order_arg_lists)
             order_ids = []
             for order_args in order_arg_lists:
                 order_ids.append(blotter2.order(*order_args))

zipline/algorithm.py

@@ -13,6 +13,11 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 from collections import Iterable
+try:
+    # optional cython based OrderedDict
+    from cyordereddict import OrderedDict
+except ImportError:
+    from collections import OrderedDict
 from copy import copy
 import operator as op
 import warnings
@@ -33,6 +38,7 @@ from six import (
     itervalues,
     string_types,
     viewkeys,
+    viewvalues,
 )
 
 from zipline._protocol import handle_non_market_minutes
@@ -1916,7 +1922,7 @@ class TradingAlgorithm(object):
         ----------
         asset : Asset
             The asset that this order is for.
-        percent : float
+        target : float
             The desired percentage of the porfolio value to allocate to
             ``asset``. This is specified as a decimal, for example:
             0.50 means 50%.
@@ -1969,6 +1975,36 @@ class TradingAlgorithm(object):
         target_amount = self._calculate_order_percent_amount(asset, target)
         return self._calculate_order_target_amount(asset, target_amount)
 
+    @api_method
+    @disallowed_in_before_trading_start(OrderInBeforeTradingStart())
+    def batch_order_target_percent(self, weights):
+        """Place orders towards a given portfolio of weights.
+
+        Parameters
+        ----------
+        weights : collections.Mapping[Asset -> float]
+
+        Returns
+        -------
+        order_ids : pd.Series[Asset -> str]
+            The unique identifiers for the orders that were placed.
+
+        See Also
+        --------
+        :func:`zipline.api.order_target_percent`
+        """
+        order_args = OrderedDict()
+        for asset, target in iteritems(weights):
+            if self._can_order_asset(asset):
+                amount = self._calculate_order_target_percent_amount(
+                    asset, target,
+                )
+                amount, style = self._calculate_order(asset, amount)
+                order_args[asset] = (asset, amount, style)
+
+        order_ids = self.blotter.batch_order(viewvalues(order_args))
+        return pd.Series(data=order_ids, index=order_args)
+
     @error_keywords(sid='Keyword argument `sid` is no longer supported for '
                         'get_open_orders. Use `asset` instead.')
     @api_method

zipline/finance/blotter.py

@@ -135,7 +135,7 @@ class Blotter(object):
 
         return order.id
 
-    def order_batch(self, order_arg_lists):
+    def batch_order(self, order_arg_lists):
         """Place a batch of orders.
 
         Parameters

zipline/test_algorithms.py

@@ -429,9 +429,17 @@ class TestTargetPercentAlgorithm(TradingAlgorithm):
                 "Orders not filled at current price."
 
         self.sale_price = data.current(sid(0), "price")
-        self.order_target_percent(self.sid(0), .002)
+        self._order(self.sid(0), .002)
         self.ordered = True
 
+    def _order(self, asset, target):
+        return self.order_target_percent(asset, target)
+
+
+class TestBatchTargetPercentAlgorithm(TestTargetPercentAlgorithm):
+    def _order(self, asset, target):
+        return self.batch_order_target_percent({asset: target})
+
 
 class TestTargetValueAlgorithm(TradingAlgorithm):
     def initialize(self):