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BUG: Do not update last price if price is nan.

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Thomas Wiecki
2013-05-02 15:28:37 -04:00
committed by Eddie Hebert
parent d56f1b73f8
commit f5a8d76a91
1 changed files with 3 additions and 1 deletions
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zipline/finance/performance.py
+3 -1
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@@ -622,7 +622,9 @@ class PerformancePeriod(object):
def update_last_sale(self, event):
is_trade = event.type == zp.DATASOURCE_TYPE.TRADE
if event.sid in self.positions and is_trade:
has_price = not np.isnan(event.price)
# isnan check will keep the last price if its not present
if (event.sid in self.positions) and is_trade and has_price:
self.positions[event.sid].last_sale_price = event.price
index = self.index_for_position(event.sid)
self._position_last_sale_prices[index] = event.price