MAINT: For capital changes, support input of delta or target value

For target changes, calculate the delta using the portfolio value
of the current minute

zipline/algorithm.py

@@ -408,7 +408,7 @@ class TradingAlgorithm(object):
 
         self.benchmark_sid = kwargs.pop('benchmark_sid', None)
 
-        # A dictionary of capital change values keyed by timestamp
+        # A dictionary of capital changes keyed by timestamp
         self.capital_changes = kwargs.pop('capital_changes', {})
 
     def init_engine(self, get_loader):

zipline/finance/performance/tracker.py

@@ -238,16 +238,31 @@ class PerformanceTracker(object):
 
         return _dict
 
-    def process_capital_changes(self, capital_change, is_interday):
-        self.cumulative_performance.subdivide_period(capital_change)
+    def process_capital_changes(self, capital_change, dt, is_interday):
+        if capital_change['type'] == 'target':
+            capital_change_amount = capital_change['value'] - \
+                self.cumulative_performance.as_portfolio().portfolio_value
+            log.info('Processing capital change to target %s at %s. Capital '
+                     'change delta is %s' % (capital_change['value'], dt,
+                                             capital_change_amount))
+        elif capital_change['type'] == 'delta':
+            capital_change_amount = capital_change['delta']
+            log.info('Processing capital change of delta %s at %s'
+                     % (capital_change_amount, dt))
+        else:
+            log.error("Capital change %s does not indicate a valid type "
+                      "('target' or 'delta')" % capital_change)
+            return
+
+        self.cumulative_performance.subdivide_period(capital_change_amount)
 
         if is_interday:
             # Change comes between days
             self.todays_performance.adjust_period_starting_capital(
-                capital_change)
+                capital_change_amount)
         else:
             # Change comes in the middle of day
-            self.todays_performance.subdivide_period(capital_change)
+            self.todays_performance.subdivide_period(capital_change_amount)
 
     def process_transaction(self, transaction):
         self.txn_count += 1

zipline/gens/tradesimulation.py

@@ -152,9 +152,8 @@ class AlgorithmSimulator(object):
             if midnight_dt in algo.capital_changes:
                 # process any capital changes that came overnight
                 change = algo.capital_changes[midnight_dt]
-                log.info('Processing capital change of %s at %s' %
-                         (change, midnight_dt))
-                perf_tracker.process_capital_changes(change, is_interday=True)
+                perf_tracker.process_capital_changes(change, dt,
+                                                     is_interday=True)
 
             # Get the positions before updating the date so that prices are
             # fetched for trading close instead of midnight
@@ -221,10 +220,9 @@ class AlgorithmSimulator(object):
                     # process any capital changes that came between the last
                     # and current minutes
                     change = algo.capital_changes[dt]
-                    log.info('Processing capital change of %s at %s' %
-                             (change, dt))
                     algo.perf_tracker.process_capital_changes(
                         change,
+                        dt,
                         is_interday=False
                     )
             else: