cancellation tweaks.

zipline/protocol.py

@@ -129,6 +129,8 @@ from utils.date_utils import EPOCH, UN_EPOCH, epoch_now
 # Control Protocol
 # -----------------------
 
+PRODUCTION_PREFIXES = ['PERF', 'RISK', 'EXCEPTION', 'CANCEL']
+
 INVALID_CONTROL_FRAME = FrameExceptionFactory('CONTROL')
 
 CONTROL_STATES = Enum(
@@ -532,6 +534,14 @@ def EXCEPTION_FRAME(exception_tb):
 
     return BT_UPDATE_FRAME('EXCEPTION', result)
 
+def CANCEL_FRAME(date):
+    result = {
+        'date' : EPOCH(date)
+    }
+
+    return BT_UPDATE_FRAME('CANCEL', result)
+
+
 def BT_UPDATE_FRAME(prefix, payload):
     """
     Frames prepared by RISK_FRAME and PERF_FRAME methods are sent via the same