MAINT: Pass order emitted from slippage up to tradesimulation.

Instead of searching through the open orders to find the ones
that match the current transactions, now that simulate returns
the pair of transaction and order for which that transaction
was created for, that order can be used where we previously
searched for a modified order.

This should be a runtime improvement since, but not yet verified
via thorough profiling.

tests/test_finance.py

@@ -362,9 +362,7 @@ class FinanceTestCase(TestCase):
             for event in events:
                 if event.type == DATASOURCE_TYPE.TRADE:
 
-                    txns, _ = blotter.process_trade(event)
-
-                    for txn in txns:
+                    for txn, order in blotter.process_trade(event):
                         transactions.append(txn)
                         tracker.process_event(txn)
 

zipline/finance/blotter.py

@@ -143,12 +143,12 @@ class Blotter(object):
 
     def process_trade(self, trade_event):
         if trade_event.type != zp.DATASOURCE_TYPE.TRADE:
-            return [], []
+            raise StopIteration
 
         if zp_math.tolerant_equals(trade_event.volume, 0):
             # there are zero volume trade_events bc some stocks trade
             # less frequently than once per minute.
-            return [], []
+            raise StopIteration
 
         if trade_event.sid in self.open_orders:
             orders = self.open_orders[trade_event.sid]
@@ -158,9 +158,7 @@ class Blotter(object):
                 lambda o: o.dt <= trade_event.dt,
                 orders)
         else:
-            return [], []
-
-        txns = []
+            raise StopIteration
 
         for order, txn in self.transact(trade_event, current_orders):
             order.filled += txn.amount
@@ -168,11 +166,7 @@ class Blotter(object):
             # that is filling it.
             order.dt = txn.dt
 
-            txns.append(txn)
-
-        modified_orders = [order for order
-                           in self.open_orders[trade_event.sid]
-                           if order.dt == trade_event.dt]
+            yield txn, order
 
         # update the open orders for the trade_event's sid
         self.open_orders[trade_event.sid] = \
@@ -180,8 +174,6 @@ class Blotter(object):
              in self.open_orders[trade_event.sid]
              if order.open]
 
-        return txns, modified_orders
-
 
 class Order(object):
     def __init__(self, dt, sid, amount, stop=None, limit=None, filled=0,

zipline/gens/tradesimulation.py

@@ -12,7 +12,6 @@
 # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 # See the License for the specific language governing permissions and
 # limitations under the License.
-from itertools import chain
 from logbook import Logger, Processor
 
 import zipline.finance.trading as trading
@@ -120,9 +119,12 @@ class AlgorithmSimulator(object):
                         if event.type == DATASOURCE_TYPE.BENCHMARK:
                             self.algo.set_datetime(event.dt)
                             bm_updated = True
-                        txns, orders = self.algo.blotter.process_trade(event)
-                        for data in chain(txns, orders, [event]):
-                            self.algo.perf_tracker.process_event(data)
+
+                        process_trade = self.algo.blotter.process_trade
+                        for txn, order in process_trade(event):
+                            self.algo.perf_tracker.process_event(txn)
+                            self.algo.perf_tracker.process_event(order)
+                        self.algo.perf_tracker.process_event(event)
 
                     # Update our portfolio.
                     self.algo.set_portfolio(