ENH: Add check to ensure transactions and orders are aligned.

Raise exceptions when the slippage model returns transactions
that are non-sensical, i.e. those with zero volume, buy transactions
when the order is a sell (and vice-versa), and transactions that are
for a larger amount than the corresponding order.

TODO: After adding a unit test suite that covers just the blotter,
add tests that exercise this logic to that suite.

zipline/errors.py

@@ -82,3 +82,32 @@ You attempted to override commission after the simulation has \
 started. You may only call override_commission in your initialize \
 method.
 """.strip()
+
+
+class TransactionWithNoVolume(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with zero volume.
+    """
+    msg = """
+Transaction {txn} has a volume of zero.
+""".strip()
+
+
+class TransactionWithWrongDirection(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with a direction that
+    does not match the order.
+    """
+    msg = """
+Transaction {txn} not in same direction as corresponding order {order}.
+""".strip()
+
+
+class TransactionWithNoAmount(ZiplineError):
+    """
+    Raised if a transact call returns a transaction with a volume greater than
+the corresponding order.
+    """
+    msg = """
+Transaction volume of {txn} exceeds the order volume of {order}.
+""".strip()

zipline/finance/blotter.py

@@ -19,6 +19,7 @@ from copy import copy
 from logbook import Logger
 from collections import defaultdict
 
+import zipline.errors
 import zipline.protocol as zp
 
 from zipline.finance.slippage import (
@@ -161,6 +162,15 @@ class Blotter(object):
             return
 
         for order, txn in self.transact(trade_event, current_orders):
+            if txn.amount == 0:
+                raise zipline.errors.TransactionWithNoAmount(txn=txn)
+            if math.copysign(1, txn.amount) != order.direction:
+                raise zipline.errors.TransactionWithWrongDirection(
+                    txn=txn, order=order)
+            if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
+                raise zipline.errors.TransactionVolumeExceedsOrder(
+                    txn=txn, order=order)
+
             order.filled += txn.amount
             # mark the date of the order to match the transaction
             # that is filling it.