TST: Added testing of order timings and price.

tests/test_algorithm.py

@@ -20,7 +20,8 @@ import numpy as np
 from zipline.utils.test_utils import setup_logger
 import zipline.utils.factory as factory
 from zipline.test_algorithms import (TestRegisterTransformAlgorithm,
-                                     RecordAlgorithm)
+                                     RecordAlgorithm,
+                                     TestOrderAlgorithm)
 from zipline.sources import (SpecificEquityTrades,
                              DataFrameSource,
                              DataPanelSource)
@@ -164,3 +165,10 @@ class TestTransformAlgorithm(TestCase):
         )
         self.assertEqual(algo.data_frequency, 'minute')
         self.assertEqual(algo.annualizer, 10)
+
+    def test_orders_executed(self):
+        algo = TestOrderAlgorithm(
+            sim_params=self.sim_params,
+            data_frequency='daily'
+        )
+        algo.run(self.df)

zipline/test_algorithms.py

@@ -216,6 +216,25 @@ class RecordAlgorithm(TradingAlgorithm):
         self.incr += 1
         self.record(incr=self.incr)
 
+
+class TestOrderAlgorithm(TradingAlgorithm):
+    def initialize(self):
+        self.incr = 0
+        self.sale_price = None
+
+    def handle_data(self, data):
+        print data[0]
+        if self.incr == 0:
+            assert 0 not in self.portfolio.positions
+        else:
+            assert self.portfolio.positions[0]['amount'] == \
+                self.incr, "Orders not filled immediately."
+            assert self.portfolio.positions[0]['last_sale_price'] == \
+                data[0].price, "Orders not filled at current price."
+        self.incr += 1
+        self.order(0, 1)
+
+
 from zipline.algorithm import TradingAlgorithm
 from zipline.transforms import BatchTransform, batch_transform
 from zipline.transforms import MovingAverage