MAINT: Filter out null orders

tests/test_algorithm.py

@@ -1787,9 +1787,14 @@ def handle_data(context, data):
 
                 def handle_data(context, data):
                     if not context.placed:
-                        batch_order_target_percent(OrderedDict(zip(
+                        orders = batch_order_target_percent(OrderedDict(zip(
                             context.assets, {weights}
                         )))
+                        assert len(orders) == 2, \
+                            "len(orders) was %s but expected 2" % len(orders)
+                        for o in orders:
+                            assert o is not None, "An order is None"
+
                         context.placed = True
 
             """).format(weights=list(weights)),
@@ -1808,6 +1813,41 @@ def handle_data(context, data):
             )
         assert_equal(multi_stats, batch_stats)
 
+    def test_batch_order_target_percent_filters_null_orders(self):
+        weights = pd.Series([1, 0])
+
+        batch_blotter = RecordBatchBlotter(self.SIM_PARAMS_DATA_FREQUENCY,
+                                           self.asset_finder)
+        batch_test_algo = TradingAlgorithm(
+            script=dedent("""\
+                from collections import OrderedDict
+
+                from zipline.api import sid, batch_order_target_percent
+
+
+                def initialize(context):
+                    context.assets = [sid(0), sid(3)]
+                    context.placed = False
+
+                def handle_data(context, data):
+                    if not context.placed:
+                        orders = batch_order_target_percent(OrderedDict(zip(
+                            context.assets, {weights}
+                        )))
+                        assert len(orders) == 1, \
+                            "len(orders) was %s but expected 1" % len(orders)
+                        for o in orders:
+                            assert o is not None, "An order is None"
+
+                        context.placed = True
+
+            """).format(weights=list(weights)),
+            blotter=batch_blotter,
+            env=self.env,
+        )
+        batch_test_algo.run(self.data_portal)
+        self.assertTrue(batch_blotter.order_batch_called)
+
     def test_order_dead_asset(self):
         # after asset 0 is dead
         params = SimulationParameters(

zipline/algorithm.py

@@ -2003,7 +2003,8 @@ class TradingAlgorithm(object):
                 order_args[asset] = (asset, amount, style)
 
         order_ids = self.blotter.batch_order(viewvalues(order_args))
-        return pd.Series(data=order_ids, index=order_args)
+        order_ids = pd.Series(data=order_ids, index=order_args)
+        return order_ids[~order_ids.isnull()]
 
     @error_keywords(sid='Keyword argument `sid` is no longer supported for '
                         'get_open_orders. Use `asset` instead.')