BUG: Remove sid entry from open_orders when there are none.

TST: updated tests for new open_orders behavior

tests/test_finance.py

@@ -307,11 +307,9 @@ class FinanceTestCase(TestCase):
         cumulative_pos = tracker.cumulative_performance.positions[sid]
         self.assertEqual(total_volume, cumulative_pos.amount)
 
-        # the open orders should now be empty
+        # the open orders should not contain sid.
         oo = blotter.open_orders
-        self.assertTrue(sid in oo)
-        order_list = oo[sid]
-        self.assertEqual(0, len(order_list))
+        self.assertNotIn(sid, oo, "Entry is removed when no open orders")
 
     def test_blotter_processes_splits(self):
         sim_params = factory.create_simulation_parameters()

zipline/finance/blotter.py

@@ -210,10 +210,15 @@ class Blotter(object):
             yield txn, order
 
         # update the open orders for the trade_event's sid
-        self.open_orders[trade_event.sid] = \
+        updated_orders = \
             [order for order
-             in self.open_orders[trade_event.sid]
-             if order.open]
+                in self.open_orders[trade_event.sid]
+                if order.open]
+
+        if updated_orders:
+            self.open_orders[trade_event.sid] = updated_orders
+        else:
+            del self.open_orders[trade_event.sid]
 
     def process_transactions(self, trade_event, current_orders):
         for order, txn in self.transact(trade_event, current_orders):