MAINT: Adjust for comparison changes in Python 3.

Use date sorted sources instead, instead of sorting with second
argument of Event, etc. since the `heapq.merge` behavior is using
the second part of the tuple, thus requiring a richer set of comparison
methods, which would only be used in the test context.

Use `date_sorted_sources` instead, so that sorting is done on algo time
and source id.

tests/test_perf_tracking.py

@@ -49,7 +49,9 @@ tradingday = datetime.timedelta(hours=6, minutes=30)
 
 def create_txn(event, price, amount):
     mock_order = Order(None, None, event.sid, id=None)
-    return create_transaction(event, mock_order, price, amount)
+    txn = create_transaction(event, mock_order, price, amount)
+    txn.source_id = 'MockTransactionSource'
+    return txn
 
 
 def benchmark_events_in_range(sim_params):
@@ -69,12 +71,10 @@ def calculate_results(host, events):
 
     perf_tracker = perf.PerformanceTracker(host.sim_params)
 
-    all_events = heapq.merge(
-        ((event.dt, event) for event in events),
-        ((event.dt, event) for event in host.benchmark_events))
+    all_events = date_sorted_sources(events, host.benchmark_events)
 
-    filtered_events = [(date, filt_event) for (date, filt_event)
-                       in all_events if date <= events[-1].dt]
+    filtered_events = [(filt_event.dt, filt_event) for filt_event
+                       in all_events if filt_event.dt <= events[-1].dt]
     filtered_events.sort(key=lambda x: x[0])
     grouped_events = itertools.groupby(filtered_events, lambda x: x[0])
     results = []
@@ -1135,12 +1135,10 @@ class TestPerformanceTracker(unittest.TestCase):
         orders = [event for event in
                   events if event.type == DATASOURCE_TYPE.ORDER]
 
-        all_events = (msg[1] for msg in heapq.merge(
-            ((event.dt, event) for event in events),
-            ((event.dt, event) for event in benchmark_events)))
+        all_events = date_sorted_sources(events, benchmark_events)
 
         filtered_events = [filt_event for filt_event
-                           in all_events if event.dt <= end_dt]
+                           in all_events if filt_event.dt <= end_dt]
         filtered_events.sort(key=lambda x: x.dt)
         grouped_events = itertools.groupby(filtered_events, lambda x: x.dt)
         perf_messages = []
@@ -1172,6 +1170,7 @@ class TestPerformanceTracker(unittest.TestCase):
                     amount=-25,
                     dt=event.dt
                 )
+                order.source_id = 'MockOrderSource'
                 yield order
                 yield event
                 txn = Transaction(
@@ -1182,6 +1181,7 @@ class TestPerformanceTracker(unittest.TestCase):
                     commission=0.50,
                     order_id=order.id
                 )
+                txn.source_id = 'MockTransactionSource'
                 yield txn
             else:
                 yield event

zipline/utils/factory.py

@@ -141,7 +141,8 @@ def create_dividend(sid, payment, declared_date, ex_date, pay_date):
         'ex_date': ex_date.replace(hour=0, minute=0, second=0, microsecond=0),
         'pay_date': pay_date.replace(hour=0, minute=0, second=0,
                                      microsecond=0),
-        'type': DATASOURCE_TYPE.DIVIDEND
+        'type': DATASOURCE_TYPE.DIVIDEND,
+        'source_id': 'MockDividendSource'
     })
 
     return div
@@ -152,7 +153,8 @@ def create_split(sid, ratio, date):
         'sid': sid,
         'ratio': ratio,
         'dt': date.replace(hour=0, minute=0, second=0, microsecond=0),
-        'type': DATASOURCE_TYPE.SPLIT
+        'type': DATASOURCE_TYPE.SPLIT,
+        'source_id': 'MockSplitSource'
     })
 
 
@@ -162,7 +164,8 @@ def create_txn(sid, price, amount, datetime):
         'amount': amount,
         'dt': datetime,
         'price': price,
-        'type': DATASOURCE_TYPE.TRANSACTION
+        'type': DATASOURCE_TYPE.TRANSACTION,
+        'source_id': 'MockTransactionSource'
     })
     return txn
 
@@ -172,7 +175,8 @@ def create_commission(sid, value, datetime):
         'dt': datetime,
         'type': DATASOURCE_TYPE.COMMISSION,
         'cost': value,
-        'sid': sid
+        'sid': sid,
+        'source_id': 'MockCommissionSource'
     })
     return txn