ENH: Added versioning logic to objects.

In order to be able to load from saved state generated by old
code, we need to have a notion of the version of the saved state.

zipline/finance/blotter.py

@@ -35,7 +35,10 @@ from zipline.finance.commission import PerShare
 log = Logger('Blotter')
 
 from zipline.utils.protocol_utils import Enum
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 ORDER_STATUS = Enum(
     'OPEN',
@@ -259,8 +262,21 @@ class Blotter(SerializeableZiplineObject):
         state_dict['open_orders'] = \
             self._defaultdict_list_get_state(self.open_orders)
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
 
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Blotter saved is state too old.")
+
+        super(Blotter, self).__setstate__(state)
+
 
 class Order(SerializeableZiplineObject):
     def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,
@@ -401,8 +417,22 @@ class Order(SerializeableZiplineObject):
         return text_type(repr(self))
 
     def __getstate__(self):
+
         state_dict = super(Order, self).__getstate__()
 
         state_dict['_status'] = self._status
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Order saved state is too old.")
+
+        super(Order, self).__setstate__(state)

zipline/finance/commission.py

@@ -13,7 +13,10 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 
 class PerShare(SerializeableZiplineObject):
@@ -52,6 +55,25 @@ class PerShare(SerializeableZiplineObject):
             commission = max(commission, self.min_trade_cost)
             return abs(commission / transaction.amount), commission
 
+    def __getstate__(self):
+
+        state_dict = super(PerShare, self).__getstate__()
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("PerShare saved state is too old.")
+
+        super(PerShare, self).__setstate__(state)
+
 
 class PerTrade(SerializeableZiplineObject):
     """
@@ -79,6 +101,25 @@ class PerTrade(SerializeableZiplineObject):
 
         return abs(self.cost / transaction.amount), self.cost
 
+    def __getstate__(self):
+
+        state_dict = super(PerTrade, self).__getstate__()
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("PerTrade saved state is too old.")
+
+        super(PerTrade, self).__setstate__(state)
+
 
 class PerDollar(SerializeableZiplineObject):
     """
@@ -105,3 +146,22 @@ class PerDollar(SerializeableZiplineObject):
         """
         cost_per_share = transaction.price * self.cost
         return cost_per_share, abs(transaction.amount) * cost_per_share
+
+    def __getstate__(self):
+
+        state_dict = super(PerDollar, self).__getstate__()
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("PerDollar saved state is too old.")
+
+        super(PerDollar, self).__setstate__(state)

zipline/finance/performance/period.py

@@ -92,7 +92,10 @@ from six import iteritems, itervalues
 import zipline.protocol as zp
 from . position import positiondict
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Performance')
 TRADE_TYPE = zp.DATASOURCE_TYPE.TRADE
@@ -595,9 +598,19 @@ class PerformancePeriod(SerializeableZiplineObject):
         state_dict['_positions_store'] = \
             self._positions_get_state(self._positions_store)
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("PerformancePeriod saved state is too old.")
+
         super(PerformancePeriod, self).__setstate__(state)
 
         self.initialize_position_calc_arrays()

zipline/finance/performance/position.py

@@ -41,7 +41,10 @@ from math import (
 import logbook
 import zipline.protocol as zp
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Performance')
 
@@ -210,7 +213,23 @@ last_sale_price: {last_sale_price}"
         }
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Position saved state is too old.")
+
+        super(Position, self).__setstate__(state)
 
 
 class positiondict(dict):

zipline/finance/performance/tracker.py

@@ -71,7 +71,10 @@ from zipline.finance import trading
 from . period import PerformancePeriod
 
 from zipline.finance.trading import with_environment
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Performance')
 
@@ -493,9 +496,19 @@ class PerformanceTracker(SerializeableZiplineObject):
 
         state_dict['_dividend_count'] = self._dividend_count
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("PerformanceTracker saved state is too old.")
+
         super(PerformanceTracker, self).__setstate__(state)
 
         # Handle the dividend frame specially

zipline/finance/risk/cumulative.py

@@ -35,7 +35,10 @@ from . risk import (
     sortino_ratio,
 )
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Risk Cumulative')
 
@@ -462,9 +465,20 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
             {k: v for k, v in self.__dict__.iteritems() if
                 (not k.startswith('_') and not k == 'treasury_curves')}
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("RiskMetricsCumulative \
+                    saved state is too old.")
+
         super(RiskMetricsCumulative, self).__setstate__(state)
 
         # This are big and we don't need to serialize them

zipline/finance/risk/period.py

@@ -36,7 +36,10 @@ from . risk import (
     sortino_ratio,
 )
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Risk Period')
 
@@ -312,9 +315,20 @@ class RiskMetricsPeriod(SerializeableZiplineObject):
             {k: v for k, v in self.__dict__.iteritems() if
              (not k.startswith('_') and not k == 'treasury_curves')}
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("RiskMetricsPeriod saved state \
+                    is too old.")
+
         super(RiskMetricsPeriod, self).__setstate__(state)
 
         self.treasury_curves = trading.environment.treasury_curves

zipline/finance/risk/report.py

@@ -61,7 +61,10 @@ from dateutil.relativedelta import relativedelta
 
 from . period import RiskMetricsPeriod
 
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 log = logbook.Logger('Risk Report')
 
@@ -147,4 +150,17 @@ class RiskReport(SerializeableZiplineObject):
         if '_dividend_count' in dir(self):
             state_dict['_dividend_count'] = self._dividend_count
 
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
         return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("RiskReport saved state is too old.")
+
+        super(RiskReport, self).__setstate__(state)

zipline/finance/slippage.py

@@ -24,7 +24,10 @@ from functools import partial
 from six import with_metaclass
 
 from zipline.protocol import DATASOURCE_TYPE
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 SELL = 1 << 0
 BUY = 1 << 1
@@ -130,7 +133,23 @@ class Transaction(SerializeableZiplineObject):
         return py
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Transaction saved state is too old.")
+
+        super(Transaction, self).__setstate__(state)
 
 
 def create_transaction(event, order, price, amount):
@@ -251,9 +270,22 @@ class VolumeShareSlippage(SlippageModel, SerializeableZiplineObject):
         )
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("VolumeShareSlippage saved state is too old.")
+
         self.__dict__.update(state)
 
 
@@ -276,7 +308,20 @@ class FixedSlippage(SlippageModel, SerializeableZiplineObject):
         )
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
 
     def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("FixedSlippage saved state is too old.")
+
         self.__dict__.update(state)

zipline/protocol.py

@@ -22,7 +22,10 @@ from . utils.math_utils import nanstd, nanmean, nansum
 
 from zipline.finance.trading import with_environment
 from zipline.utils.algo_instance import get_algo_instance
-from zipline.utils.serialization_utils import SerializeableZiplineObject
+from zipline.utils.serialization_utils import (
+    SerializeableZiplineObject,
+    VERSION_LABEL
+)
 
 # Datasource type should completely determine the other fields of a
 # message with its type.
@@ -140,7 +143,23 @@ class Portfolio(SerializeableZiplineObject):
         return "Portfolio({0})".format(self.__dict__)
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Portfolio saved state is too old.")
+
+        super(Portfolio, self).__setstate__(state)
 
 
 class Account(SerializeableZiplineObject):
@@ -176,7 +195,23 @@ class Account(SerializeableZiplineObject):
         return "Account({0})".format(self.__dict__)
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Account saved state is too old.")
+
+        super(Account, self).__setstate__(state)
 
 
 class Position(SerializeableZiplineObject):
@@ -194,7 +229,23 @@ class Position(SerializeableZiplineObject):
         return "Position({0})".format(self.__dict__)
 
     def __getstate__(self):
-        return self.__dict__
+
+        state_dict = self.__dict__
+
+        STATE_VERSION = 1
+        state_dict[VERSION_LABEL] = STATE_VERSION
+
+        return state_dict
+
+    def __setstate__(self, state):
+
+        OLDEST_SUPPORTED_STATE = 1
+        version = state.pop(VERSION_LABEL)
+
+        if version < OLDEST_SUPPORTED_STATE:
+            raise BaseException("Protocol Position saved state is too old.")
+
+        super(Position, self).__setstate__(state)
 
 
 class Positions(dict):

zipline/utils/serialization_utils.py

@@ -1,3 +1,8 @@
+# Label for the serialization version field in the state returned by
+# __getstate__.
+VERSION_LABEL = '_stateversion_'
+
+
 class SerializeableZiplineObject(object):
     """
     This class implements the basic set and get state methods used for