From b5dbaf88d13c5774479f9379723f8997b6e9959d Mon Sep 17 00:00:00 2001
From: Eddie Hebert <ehebert@quantopian.com>
Date: Sun, 30 Mar 2014 13:24:20 -0400
Subject: [PATCH] BUG: Prevent out of sync market closes in performance
 tracker.

In situations where the performance tracker has been reset or patched
to handle state juggling with warming up live data, the `market_close`
member of the performance tracker could end up out of sync with the
current algo time as determined by the

The symptom was dividends never triggering, because the end of day
checks would not match the current time.

Fix by having the tradesimulation loop be responsible, in minute/minute
mode, for advancing the market close and passing that value to the
performance tracker, instead of having the market close advanced by
the performance tracker as well.
---
 zipline/finance/performance/tracker.py | 10 +++-------
 zipline/gens/tradesimulation.py        |  6 ++++--
 2 files changed, 7 insertions(+), 9 deletions(-)

diff --git a/zipline/finance/performance/tracker.py b/zipline/finance/performance/tracker.py
index 9e2317e8..74b1291b 100644
--- a/zipline/finance/performance/tracker.py
+++ b/zipline/finance/performance/tracker.py
@@ -305,19 +305,15 @@ class PerformanceTracker(object):
         if dt == self.market_close:
             self.returns[todays_date] = self.todays_performance.returns
 
-    def handle_intraday_close(self):
+    def handle_intraday_close(self, new_mkt_open, new_mkt_close):
         # update_performance should have been called in handle_minute_close
         # so it is not repeated here.
         self.intraday_risk_metrics = \
             risk.RiskMetricsCumulative(self.sim_params)
         # increment the day counter before we move markers forward.
         self.day_count += 1.0
-        # move the market day markers forward
-        if self.market_close < trading.environment.last_trading_day:
-            self.market_open, self.market_close = \
-                trading.environment.next_open_and_close(self.market_open)
-        else:
-            self.market_close = self.sim_params.last_close
+        self.market_open = new_mkt_open
+        self.market_close = new_mkt_close
 
     def handle_market_close(self):
         self.update_performance()
diff --git a/zipline/gens/tradesimulation.py b/zipline/gens/tradesimulation.py
index 7f40e320..d5ed767b 100644
--- a/zipline/gens/tradesimulation.py
+++ b/zipline/gens/tradesimulation.py
@@ -97,6 +97,7 @@ class AlgorithmSimulator(object):
         Main generator work loop.
         """
         # Initialize the mkt_close
+        mkt_open = self.algo.perf_tracker.market_open
         mkt_close = self.algo.perf_tracker.market_close
 
         # inject the current algo
@@ -189,7 +190,7 @@ class AlgorithmSimulator(object):
                             tp.rollover()
                             if mkt_close <= self.algo.perf_tracker.last_close:
                                 try:
-                                    _, mkt_close = \
+                                    mkt_open, mkt_close = \
                                         trading.environment.\
                                         next_open_and_close(
                                             mkt_close
@@ -198,7 +199,8 @@ class AlgorithmSimulator(object):
                                     # If at the end of backtest history,
                                     # skip advancing market close.
                                     pass
-                                self.algo.perf_tracker.handle_intraday_close()
+                                self.algo.perf_tracker.handle_intraday_close(
+                                    mkt_open, mkt_close)
 
                     self.algo.portfolio_needs_update = True