Fixes under-incrementation of risk report.

We were only incrementing the risk report by one day, and never
checking to see if that day we incremented into was a trading day
or not.

We now increment by day until we are on a trading day.

With an assist from @twiecki on:

Adapted test_risk_compare_batch_iterative to work with fixed
iterative risk class.

tests/test_perf_tracking.py

@@ -591,3 +591,7 @@ shares in position"
         cumulative_pos = perf_tracker.cumulative_performance.positions[sid]
         expected_size = txn_count / 2 * -25
         self.assertEqual(cumulative_pos.amount, expected_size)
+
+        self.assertEqual(perf_tracker.period_end.
+                         replace(hour=0, minute=0, second=0),
+                         perf_tracker.cumulative_risk_metrics.end_date)

tests/test_risk_compare_batch_iterative.py

@@ -71,10 +71,15 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
 
             cur_returns.append(todays_return_obj)
 
+            # Move forward day counter to next trading day
+            todays_date += self.oneday
+            while not self.trading_env.is_trading_day(todays_date):
+                todays_date += self.oneday
+
             try:
                 risk_metrics_original = risk.RiskMetricsBatch(
                     start_date=self.start_date,
-                    end_date=todays_date + self.oneday,
+                    end_date=todays_date,
                     returns=cur_returns,
                     trading_environment=self.trading_env
                 )
@@ -82,12 +87,10 @@ class RiskCompareIterativeToBatch(unittest.TestCase):
                 #assert that when original raises exception, same
                 #exception is raised by risk_metrics_refactor
                 np.testing.assert_raises(
-                    type(e), risk_metrics_refactor.update, ret, self.oneday)
+                    type(e), risk_metrics_refactor.update, ret)
                 continue
 
-            risk_metrics_refactor.update(ret, self.oneday)
-
-            todays_date += self.oneday
+            risk_metrics_refactor.update(ret)
 
             self.assertEqual(
                 risk_metrics_original.start_date,

zipline/finance/performance.py

@@ -277,7 +277,7 @@ class PerformanceTracker(object):
 
         #update risk metrics for cumulative performance
         self.cumulative_risk_metrics.update(
-            self.todays_performance.returns, datetime.timedelta(days=1))
+            self.todays_performance.returns)
 
         # increment the day counter before we move markers forward.
         self.day_count += 1.0

zipline/finance/risk.py

@@ -386,7 +386,7 @@ class RiskMetricsIterative(RiskMetricsBase):
                     if x.date >= self.start_date
         ]
 
-    def update(self, returns_in_period, dt):
+    def update(self, returns_in_period):
         if self.trading_environment.is_trading_day(self.end_date):
             self.algorithm_returns.append(returns_in_period)
             self.benchmark_returns.append(
@@ -394,7 +394,11 @@ class RiskMetricsIterative(RiskMetricsBase):
             self.trading_days += 1
             self.update_compounded_log_returns()
 
-        self.end_date += dt
+        self.end_date += datetime.timedelta(hours=24)
+
+        while not self.trading_environment.is_trading_day(self.end_date):
+            self.end_date += datetime.timedelta(hours=24)
+
         self.end_date = self.end_date.replace(hour=0, minute=0, second=0)
 
         self.algorithm_period_returns.append(