BUG: Fix extra minutely performance period during minute performance.

Prevent an extra performance result with the timestamp of the midnight of
the day from being emitted.

Fix by setting the `saved_dt` value with the dt of the first event,
before entering into the main performance loop, otherwise a performance
result with a midnight timestamp and data from just the first event is
emitted.

tests/test_perf_tracking.py

@@ -1075,3 +1075,12 @@ class TestPerformanceTracker(unittest.TestCase):
         # Check that transactions aren't emitted for previous events.
         self.assertEquals(0, len(messages[1]['intraday_perf']['transactions']),
                           "The second message should have no transactions.")
+
+        # Ensure that period_close moves through time.
+        # Also, ensure that the period_closes are the expected dts.
+        self.assertEquals(foo_event_1.dt,
+                          messages[0]['intraday_perf']['period_close'],
+                          messages[0])
+        self.assertEquals(foo_event_2.dt,
+                          messages[1]['intraday_perf']['period_close'],
+                          messages[1])

zipline/finance/performance.py

@@ -130,6 +130,7 @@ omitted).
 
 """
 
+import itertools
 import logbook
 import math
 
@@ -205,7 +206,16 @@ class PerformanceTracker(object):
         """
         Main generator work loop.
         """
-        for date, snapshot in stream_in:
+        # Set the simulation date to be the first event we see.
+        peek_date, peek_snapshot = next(stream_in)
+        self.saved_dt = peek_date
+
+        # Stitch back together the generator by placing the peeked
+        # event back in front
+        stream = itertools.chain([(peek_date, peek_snapshot)],
+                                 stream_in)
+
+        for date, snapshot in stream:
             new_snapshot = []
 
             for event in snapshot: