BUG: Revert "Merge ability to specify timing of fills."

This reverts commit e3a9ca27b1, reversing
changes made to 3d8bdeb429.

Conflicts:
	zipline/gens/tradesimulation.py

The aforementioned change needs a revert because it caused a 'doubling'
of orders, since the portfolio is not updated until after handle_data
is called a second time after an order has been processed.

The flexibility of fill_delay is still desired, but remove for now,
favoring reverting back to existing behavior over trying ot fix the
fill_delay logic.

zipline/algorithm.py

@@ -40,7 +40,7 @@ from zipline.finance.slippage import (
 )
 from zipline.finance.commission import PerShare, PerTrade
 from zipline.finance.blotter import Blotter
-from zipline.finance.constants import ANNUALIZER, FILL_DELAYS
+from zipline.finance.constants import ANNUALIZER
 import zipline.finance.trading as trading
 import zipline.protocol
 from zipline.protocol import Event
@@ -87,8 +87,6 @@ class TradingAlgorithm(object):
             annualizer : int <optional>
                Which constant to use for annualizing risk metrics.
                If not provided, will extract from data_frequency.
-            fill_delay : datetime.timedelta
-               Delay between placing an order and filling an order.
             capital_base : float <default: 1.0e5>
                How much capital to start with.
         """
@@ -109,13 +107,14 @@ class TradingAlgorithm(object):
         self.slippage = VolumeShareSlippage()
         self.commission = PerShare()
 
-        self.set_data_frequency(kwargs.pop('data_frequency', 'daily'))
+        if 'data_frequency' in kwargs:
+            self.set_data_frequency(kwargs.pop('data_frequency'))
+        else:
+            self.data_frequency = None
 
         # Override annualizer if set
         if 'annualizer' in kwargs:
             self.annualizer = kwargs['annualizer']
-        if 'fill_delay' in kwargs:
-            self.fill_delay = kwargs['fill_delay']
 
         # set the capital base
         self.capital_base = kwargs.pop('capital_base', DEFAULT_CAPITAL_BASE)
@@ -126,7 +125,7 @@ class TradingAlgorithm(object):
 
         self.blotter = kwargs.pop('blotter', None)
         if not self.blotter:
-            self.blotter = Blotter(fill_delay=self.fill_delay)
+            self.blotter = Blotter()
 
         # an algorithm subclass needs to set initialized to True when
         # it is fully initialized.
@@ -432,4 +431,3 @@ class TradingAlgorithm(object):
         assert data_frequency in ('daily', 'minute')
         self.data_frequency = data_frequency
         self.annualizer = ANNUALIZER[self.data_frequency]
-        self.fill_delay = FILL_DELAYS[self.data_frequency]

zipline/finance/blotter.py

@@ -18,7 +18,6 @@ import uuid
 from copy import copy
 from logbook import Logger
 from collections import defaultdict
-from datetime import timedelta
 
 import zipline.errors
 import zipline.protocol as zp
@@ -44,7 +43,7 @@ ORDER_STATUS = Enum(
 
 class Blotter(object):
 
-    def __init__(self, fill_delay=timedelta(minutes=1)):
+    def __init__(self):
         self.transact = transact_partial(VolumeShareSlippage(), PerShare())
         # these orders are aggregated by sid
         self.open_orders = defaultdict(list)
@@ -56,8 +55,6 @@ class Blotter(object):
         self.current_dt = None
         self.max_shares = int(1e+11)
 
-        self.fill_delay = fill_delay
-
     def __repr__(self):
         return """
 {class_name}(
@@ -158,10 +155,8 @@ class Blotter(object):
             orders = self.open_orders[trade_event.sid]
             orders = sorted(orders, key=lambda o: o.dt)
             # Only use orders for the current day or before
-            # Since orders generally do not get filled immediately,
-            # we allow for a delay here.
             current_orders = filter(
-                lambda o: o.dt + self.fill_delay <= trade_event.dt,
+                lambda o: o.dt <= trade_event.dt,
                 orders)
         else:
             return

zipline/finance/constants.py

@@ -13,8 +13,6 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from datetime import timedelta
-
 TRADING_DAYS_IN_YEAR = 250
 TRADING_HOURS_IN_DAY = 6
 MINUTES_IN_HOUR = 60
@@ -23,6 +21,3 @@ ANNUALIZER = {'daily': TRADING_DAYS_IN_YEAR,
               'hourly': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY,
               'minute': TRADING_DAYS_IN_YEAR * TRADING_HOURS_IN_DAY *
               MINUTES_IN_HOUR}
-
-FILL_DELAYS = {'daily': timedelta(days=1),
-               'minute': timedelta(minutes=1)}

zipline/gens/tradesimulation.py

@@ -110,7 +110,7 @@ class AlgorithmSimulator(object):
                         self.algo.perf_tracker.process_event(event)
 
                 else:
-                    events = []
+
                     for event in snapshot:
                         if event.type in (DATASOURCE_TYPE.TRADE,
                                           DATASOURCE_TYPE.CUSTOM):
@@ -120,8 +120,11 @@ class AlgorithmSimulator(object):
                             self.algo.set_datetime(event.dt)
                             bm_updated = True
 
-                        # Save events to stream through blotter below.
-                        events.append(event)
+                        process_trade = self.algo.blotter.process_trade
+                        for txn, order in process_trade(event):
+                            self.algo.perf_tracker.process_event(txn)
+                            self.algo.perf_tracker.process_event(order)
+                        self.algo.perf_tracker.process_event(event)
 
                     # Update our portfolio.
                     self.algo.set_portfolio(
@@ -142,16 +145,6 @@ class AlgorithmSimulator(object):
                             self.algo.perf_tracker.process_event(order)
                         self.algo.blotter.new_orders = []
 
-                    # Fill orders
-                    for event in events:
-                        process_trade = self.algo.blotter.process_trade
-                        for txn, order in process_trade(event):
-
-                            self.algo.perf_tracker.process_event(txn)
-                            self.algo.perf_tracker.process_event(order)
-
-                        self.algo.perf_tracker.process_event(event)
-
                     # The benchmark is our internal clock. When it
                     # updates, we need to emit a performance message.
                     if bm_updated: