ENH: Add new order statuses for broker integration

zipline/finance/blotter.py

@@ -38,10 +38,11 @@ from zipline.utils.protocol_utils import Enum
 ORDER_STATUS = Enum(
     'OPEN',
     'FILLED',
-    'CANCELLED'
+    'CANCELLED',
+    'REJECTED',
+    'HELD',
 )
 
-
 class Blotter(object):
 
     def __init__(self):
@@ -84,9 +85,9 @@ class Blotter(object):
         amount > 0 :: Buy/Cover
         amount < 0 :: Sell/Short
         Market order:    order(sid, amount)
-        Limit order:     order(sid, amount, LimitOrder(price))
-        Stop order:      order(sid, amount, StopOrder(price))
-        StopLimit order: order(sid, amount, StopLimitOrder(price))
+        Limit order:     order(sid, amount, style=LimitOrder(limit_price))
+        Stop order:      order(sid, amount, style=StopOrder(stop_price))
+        StopLimit order: order(sid, amount, style=StopLimitOrder(limit_price, stop_price))
         """
         if amount == 0:
             # Don't bother placing orders for 0 shares.
@@ -113,20 +114,42 @@ class Blotter(object):
 
         return order.id
 
-    def cancel(self, order_id):
+    def cancel(self, order_id, rejected=False, reason=False):
         if order_id not in self.orders:
             return
 
         cur_order = self.orders[order_id]
-        if cur_order.open:
+        # if the order has already been rejected, do not update its status to
+        # cancelled
+        if cur_order.broker_status == ORDER_STATUS.REJECTED:
+            return
+
+        if cur_order.open or rejected:
             order_list = self.open_orders[cur_order.sid]
             if cur_order in order_list:
                 order_list.remove(cur_order)
 
             if cur_order in self.new_orders:
                 self.new_orders.remove(cur_order)
-            cur_order.cancel()
+            cur_order.cancel(rejected)
             cur_order.dt = self.current_dt
+            if reason:
+                cur_order.reason = reason
+            # we want this order's new status to be relayed out
+            # along with newly placed orders.
+            self.new_orders.append(cur_order)
+
+    def hold(self, order_id, reason):
+        if order_id not in self.orders:
+            return
+
+        cur_order = self.orders[order_id]
+        if cur_order.open:
+            if cur_order in self.new_orders:
+                self.new_orders.remove(cur_order)
+            cur_order.hold()
+            cur_order.dt = self.current_dt
+            cur_order.reason = reason
             # we want this order's new status to be relayed out
             # along with newly placed orders.
             self.new_orders.append(cur_order)
@@ -208,12 +231,13 @@ class Order(object):
         # get a string representation of the uuid.
         self.id = id or self.make_id()
         self.dt = dt
+        self.reason = ''
         self.created = dt
         self.sid = sid
         self.amount = amount
         self.filled = filled
         self.commission = commission
-        self._cancelled = False
+        self.broker_status = ORDER_STATUS.OPEN
         self.stop = stop
         self.limit = limit
         self.stop_reached = False
@@ -226,7 +250,7 @@ class Order(object):
 
     def to_dict(self):
         py = copy(self.__dict__)
-        for field in ['type', 'direction', '_cancelled']:
+        for field in ['type', 'direction']:
             del py[field]
         py['status'] = self.status
         return py
@@ -274,18 +298,27 @@ class Order(object):
 
     @property
     def status(self):
-        if self._cancelled:
+        if self.broker_status in [ORDER_STATUS.REJECTED,
+                                 ORDER_STATUS.CANCELLED]:
             return ORDER_STATUS.CANCELLED
+        elif not self.open_amount:
+            self.broker_status = ORDER_STATUS.FILLED
+            return ORDER_STATUS.FILLED
+        else:
+            return ORDER_STATUS.OPEN
 
-        return ORDER_STATUS.FILLED \
-            if not self.open_amount else ORDER_STATUS.OPEN
+    def cancel(self, rejected=False):
+        if rejected:
+            self.broker_status = ORDER_STATUS.REJECTED
+        else:
+            self.broker_status = ORDER_STATUS.CANCELLED
 
-    def cancel(self):
-        self._cancelled = True
+    def hold(self):
+        self.broker_status = ORDER_STATUS.HELD
 
     @property
     def open(self):
-        return self.status == ORDER_STATUS.OPEN
+        return self.status in [ORDER_STATUS.OPEN, ORDER_STATUS.HELD]
 
     @property
     def triggered(self):

zipline/protocol.py

@@ -32,7 +32,8 @@ DATASOURCE_TYPE = Enum(
     'DONE',
     'CUSTOM',
     'BENCHMARK',
-    'COMMISSION'
+    'COMMISSION',
+    'MESSAGE'
 )
 
 # Expected fields/index values for a dividend Series.