ENH: Implemented AUTO_INITIALIZE feature.

Created a new flag in TradingAlgorithm that enables subclasses to
decide if they want to handle setting self.initialized = True.
Before it was the responsibility of an overriding subclass to set
initalized = True. This was causing problems because it's easy to
forget this. Now it is the responsibility of TradingAlgorithm
unless explicity stated otherwise.

tests/test_algorithm.py

@@ -608,7 +608,7 @@ def handle_data(context, data):
     def test_order_in_init(self):
         """
         Test that calling order in initialize
-        will return an error
+        will raise an error.
         """
         with self.assertRaises(OrderDuringInitialize):
             test_algo = TradingAlgorithm(

zipline/algorithm.py

@@ -102,6 +102,10 @@ class TradingAlgorithm(object):
 
     """
 
+    # If this is set to false then it is the responsibility
+    # of the overriding subclass to set initialized = true
+    AUTO_INITIALIZE = True
+
     def __init__(self, *args, **kwargs):
         """Initialize sids and other state variables.
 
@@ -202,10 +206,13 @@ class TradingAlgorithm(object):
         if 'data_frequency' in kwargs:
             self.data_frequency = kwargs.pop('data_frequency')
 
-        # an algorithm subclass needs to set initialized to True when
-        # it is fully initialized.
+        # Subclasses that override initialize should only worry about
+        # setting self.initialized = True if AUTO_INITIALIZE is
+        # is manually set to False.
         self.initialized = False
         self.initialize(*args, **kwargs)
+        if self.AUTO_INITIALIZE:
+            self.initialized = True
 
     def initialize(self, *args, **kwargs):
         """
@@ -532,7 +539,6 @@ class TradingAlgorithm(object):
         Raises an UnsupportedOrderParameters if invalid arguments are found.
         """
 
-        # Make sure we're not in init before we order.
         if not self.initialized:
             raise OrderDuringInitialize(
                 msg="order() can only be called from within handle_data()"

zipline/test_algorithms.py

@@ -640,7 +640,6 @@ class BatchTransformAlgorithm(TradingAlgorithm):
         self.iter = 0
 
         self.set_slippage(FixedSlippage())
-        self.initialized = True
 
     def handle_data(self, data):
         self.history_return_price_class.append(