Merge pull request #1770 from quantopian/zero-transaction-volume

Futures slippage model could have zero transaction volume

tests/finance/test_slippage.py

@@ -839,6 +839,20 @@ class VolatilityVolumeShareTestCase(WithCreateBarData,
         self.assertIsNone(price)
         self.assertIsNone(amount)
 
+    def test_low_transaction_volume(self):
+        # With a volume limit of 0.001, and a bar volume of 100, we should
+        # compute a transaction volume of 100 * 0.001 = 0.1, which gets rounded
+        # down to zero. In this case we expect no amount to be transacted.
+        model = VolatilityVolumeShare(volume_limit=0.001)
+
+        minute = pd.Timestamp('2006-03-01 11:35AM', tz='UTC')
+        data = self.create_bardata(simulation_dt_func=lambda: minute)
+        order = Order(dt=data.current_dt, asset=self.ASSET, amount=10)
+        price, amount = model.process_order(data, order)
+
+        self.assertIsNone(price)
+        self.assertIsNone(amount)
+
 
 class MarketImpactTestCase(WithCreateBarData, ZiplineTestCase):
 

zipline/finance/slippage.py

@@ -360,6 +360,11 @@ class MarketImpactBase(object):
             min(self.get_txn_volume(data, order), abs(order.open_amount))
         )
 
+        # If the computed transaction volume is zero or a decimal value, 'int'
+        # will round it down to zero. In that case just bail.
+        if txn_volume == 0:
+            return None, None
+
         if mean_volume == 0 or np.isnan(volatility):
             # If this is the first day the contract exists or there is no
             # volume history, default to a conservative estimate of impact.