ENH: Makes breakpoints work in algoscripts started with the run_algo.py

script.

Adds an option kwarg to TradingAlgorithm named 'algo_filename' that
represents the file where the algoscript came from (if any). The
run_algo.py script will pass this argument with the value passed to the
'-f' flag. The default name is '<string>' to represent that the script
is coming from a string in python and not a file. This matches the
behavior of exec and the python convention for compiling code objects.

zipline/algorithm.py

@@ -197,7 +197,9 @@ class TradingAlgorithm(object):
         self.event_manager = EventManager()
 
         if self.algoscript is not None:
-            exec_(self.algoscript, self.namespace)
+            filename = kwargs.pop('algo_filename', '<string>')
+            code = compile(self.algoscript, filename, 'exec')
+            exec_(code, self.namespace)
             self._initialize = self.namespace.get('initialize')
             if 'handle_data' not in self.namespace:
                 raise ValueError('You must define a handle_data function.')

zipline/utils/cli.py

@@ -187,7 +187,8 @@ def run_pipeline(print_algo=True, **kwargs):
 
     algo = zipline.TradingAlgorithm(script=algo_text,
                                     namespace=kwargs.get('namespace', {}),
-                                    capital_base=float(kwargs['capital_base']))
+                                    capital_base=float(kwargs['capital_base']),
+                                    algo_filename=kwargs.get('algofile'))
 
     perf = algo.run(source)