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MAINT: Record a given order only once per bar

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even when there are multiple fills during that bar.
This commit is contained in:
Richard Frank
2013-08-14 17:50:39 -04:00
parent 9376556e68
commit ddb3d64526
1 changed files with 8 additions and 4 deletions
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zipline/finance/performance.py
+8 -4
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@@ -621,7 +621,7 @@ class PerformancePeriod(object):
self.keep_transactions = keep_transactions
self.processed_transactions = defaultdict(list)
self.keep_orders = keep_orders
self.orders_by_modified = defaultdict(list)
self.orders_by_modified = defaultdict(OrderedDict)
self.orders_by_id = OrderedDict()
self.cumulative_capital_used = 0.0
self.max_capital_used = 0.0
@@ -648,7 +648,7 @@ class PerformancePeriod(object):
self.period_cash_flow = 0.0
self.pnl = 0.0
self.processed_transactions = defaultdict(list)
self.orders_by_modified = defaultdict(list)
self.orders_by_modified = defaultdict(OrderedDict)
self.orders_by_id = OrderedDict()
self.cumulative_capital_used = 0.0
self.max_capital_used = 0.0
@@ -723,7 +723,10 @@ class PerformancePeriod(object):
def record_order(self, order):
if self.keep_orders:
self.orders_by_modified[order.dt].append(order)
dt_orders = self.orders_by_modified[order.dt]
if order.id in dt_orders:
del dt_orders[order.id]
dt_orders[order.id] = order
# to preserve the order of the orders by modified date
# we delete and add back. (ordered dictionary is sorted by
# first insertion date).
@@ -833,7 +836,8 @@ class PerformancePeriod(object):
if self.keep_orders:
if dt:
# only include orders modified as of the given dt.
orders = [x.to_dict() for x in self.orders_by_modified[dt]]
orders = [x.to_dict()
for x in self.orders_by_modified[dt].itervalues()]
else:
orders = [x.to_dict() for x in self.orders_by_id.itervalues()]
rval['orders'] = orders