PERF: Merge blotter performance improvements.

tests/test_finance.py

@@ -253,7 +253,7 @@ class FinanceTestCase(TestCase):
         oo = blotter.open_orders
         self.assertEqual(len(oo), 1)
         self.assertTrue(sid in oo)
-        order_list = oo[sid]
+        order_list = oo[sid][:]  # make copy
         self.assertEqual(order_count, len(order_list))
 
         for i in range(order_count):

zipline/finance/blotter.py

@@ -20,6 +20,7 @@ from logbook import Logger
 from collections import defaultdict
 
 from six import text_type
+from six.moves import filter
 
 import zipline.errors
 import zipline.protocol as zp
@@ -199,25 +200,25 @@ class Blotter(object):
             return
 
         orders = self.open_orders[trade_event.sid]
-        orders = sorted(orders, key=lambda o: o.dt)
         # Only use orders for the current day or before
         current_orders = filter(
             lambda o: o.dt <= trade_event.dt,
             orders)
 
+        processed_orders = []
         for txn, order in self.process_transactions(trade_event,
                                                     current_orders):
+            processed_orders.append(order)
             yield txn, order
 
-        # update the open orders for the trade_event's sid
-        updated_orders = \
-            [order for order
-                in self.open_orders[trade_event.sid]
-                if order.open]
+        # remove closed orders. we should only have to check
+        # processed orders
+        not_open = lambda order: not order.open
+        closed_orders = filter(not_open, processed_orders)
+        for order in closed_orders:
+            orders.remove(order)
 
-        if updated_orders:
-            self.open_orders[trade_event.sid] = updated_orders
-        else:
+        if len(orders) == 0:
             del self.open_orders[trade_event.sid]
 
     def process_transactions(self, trade_event, current_orders):

zipline/finance/slippage.py

@@ -150,6 +150,10 @@ def create_transaction(event, order, price, amount):
     return transaction
 
 
+class LiquidityExceeded(Exception):
+    pass
+
+
 class SlippageModel(with_metaclass(abc.ABCMeta)):
 
     @property
@@ -173,7 +177,10 @@ class SlippageModel(with_metaclass(abc.ABCMeta)):
             if not order.triggered:
                 continue
 
-            txn = self.process_order(event, order)
+            try:
+                txn = self.process_order(event, order)
+            except LiquidityExceeded:
+                break
 
             if txn:
                 self._volume_for_bar += abs(txn.amount)
@@ -210,7 +217,7 @@ class VolumeShareSlippage(SlippageModel):
         remaining_volume = max_volume - self.volume_for_bar
         if remaining_volume < 1:
             # we can't fill any more transactions
-            return
+            raise LiquidityExceeded()
 
         # the current order amount will be the min of the
         # volume available in the bar or the open amount.