ENH: Emit a rollup of day's performance in minutely emission mode.

During minute emissions, it is still helpful to have a final daily
performance result, analogous to what would be the final packet in
a daily emitted backtest, so that all transactions, etc. are contained
in one place.

zipline/finance/performance.py

@@ -232,24 +232,26 @@ class PerformanceTracker(object):
     def get_portfolio(self):
         return self.cumulative_performance.as_portfolio()
 
-    def to_dict(self):
+    def to_dict(self, emission_type=None):
         """
         Creates a dictionary representing the state of this tracker.
         Returns a dict object of the form described in header comments.
         """
+        if not emission_type:
+            emission_type = self.emission_rate
         _dict = {
             'period_start': self.period_start,
             'period_end': self.period_end,
             'capital_base': self.capital_base,
             'cumulative_perf': self.cumulative_performance.to_dict(),
         }
-        if self.emission_rate == 'daily':
+        if emission_type == 'daily':
             _dict.update({'cumulative_risk_metrics':
                           self.cumulative_risk_metrics.to_dict(),
                           'daily_perf':
                           self.todays_performance.to_dict(),
                          'progress': self.progress})
-        if self.emission_rate == 'minute':
+        if emission_type == 'minute':
             # Currently reusing 'todays_performance' for intraday trading
             # result, should be analogous, but has the potential for needing
             # its own configuration down the line.

zipline/gens/tradesimulation.py

@@ -290,6 +290,17 @@ class AlgorithmSimulator(object):
                     self.algo.recorded_vars
                 yield message
 
+            # When emitting minutely, it is still useful to have a final
+            # packet with the entire days performance rolled up.
+            if self.perf_tracker.emission_rate == 'minute':
+                daily_rollup = self.perf_tracker.to_dict(
+                    emission_type='daily'
+                )
+                daily_rollup['daily_perf']['recorded_vars'] = \
+                    self.algo.recorded_vars
+                log.info("emitting daily rollup: %s" % daily_rollup)
+                yield daily_rollup
+
             yield risk_message
 
     def update_universe(self, event):