MAINT: Move ZiplineAPI context so that it always wraps main loop.

Move the responsibility of wrapping the main simulation loop in the
ZiplineAPI context from the algorithm modules generator setup to the
main trade simulation loop, so that different methods of invoking loop
do not need to duplicate how the context is set.

To make it easier for internal implementation of handle_data to
transition off of calling the ZiplineAPI every bar, to only invoking the
context once per simulation.

etc/requirements.txt

@@ -31,3 +31,5 @@ cyordereddict==0.2.2
 
 # faster array ops.
 bottleneck==1.0.0
+
+contextlib2==0.4.0

zipline/algorithm.py

@@ -510,15 +510,14 @@ class TradingAlgorithm(object):
                 self.sim_params.data_frequency,
             )
 
-        with ZiplineAPI(self):
-            # loop through simulated_trading, each iteration returns a
-            # perf dictionary
-            perfs = []
-            for perf in self.gen:
-                perfs.append(perf)
+        # loop through simulated_trading, each iteration returns a
+        # perf dictionary
+        perfs = []
+        for perf in self.gen:
+            perfs.append(perf)
 
-            # convert perf dict to pandas dataframe
-            daily_stats = self._create_daily_stats(perfs)
+        # convert perf dict to pandas dataframe
+        daily_stats = self._create_daily_stats(perfs)
 
         self.analyze(daily_stats)
 

zipline/gens/tradesimulation.py

@@ -13,9 +13,13 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
+from contextlib2 import ExitStack
+
 from logbook import Logger, Processor
 from pandas.tslib import normalize_date
 
+from zipline.utils.api_support import ZiplineAPI
+
 from zipline.finance import trading
 from zipline.protocol import (
     BarData,
@@ -81,7 +85,11 @@ class AlgorithmSimulator(object):
 
         # inject the current algo
         # snapshot time to any log record generated.
-        with self.processor.threadbound():
+
+        with ExitStack() as stack:
+            stack.enter_context(self.processor.threadbound())
+            stack.enter_context(ZiplineAPI(self.algo))
+
             data_frequency = self.sim_params.data_frequency
 
             self._call_before_trading_start(mkt_open)