Only fill limit order if impacted fill price is better than the limit price.
If a limit order is partially filled, only fill the remaining shares if the
impacted fill price is better than the limit price.
Python 3 uses the `__next__` method instead of `next`,
and uses the syntax of `next(foo)` accordingly.
Add `__next__` and `next` side-by-side so both Python 2 and 3 have
a method that can be used during iteration.
So that we can more clearly demarcate each case of buy/sell and
price compared to stop, and their expected outputs.
Also, add comment about the current behavior versus the behavior
that will be moved to in an upcoming fix.
So that blotter.process_trade doesn't need to reindex the dictionary of
open orders, yield a tuple of (order, transaction) from simulate.
Also, update corresponding unit tests now that the method returns
a generator instead of a list.
- moved Order and Blotter to zipline.finance.blotter
- moved order method from AlgoSimulator to Blotter
- eliminated the set_order method in algorithm
- moved blotter to the algorithm
- Add transaction and order types
- Move TransactionSimulator from trading.py to tradesimulation.py
(only used by other members of the tradesimulation module)
- Make Transaction an independent event, like dividend
- Add Blotter class.
- Flatten the transaction events to be independent of trade bar events
- Make orders into events that reach performance (need to add
handling)
- Issue IDs to orders and tracking each transaction's order id.
- Make volume share slippage fill orders independently, rather than
aggregating them into a single transaction.
- Perf tracker holds orders, serializes them with transactions.
- Order state defined and maintained by order class.
- Minutely emission of orders based on last_modified date.
So that Transaction object behavior is exercised, uses the Transaction
object in performance module tests instead of ndict.
Also, adds fields to the __init__ of Transaction, to make the
definition of the object more well defined.
Instead of a loosely defined object for Order, explicitly
defines the parameters and corresponding members.
Clearing the way for adding more members to the Order object.
The latest flake8 release in now 1.5, which pulls in pep8: 1.3.4a0
The upgrade pep8 has changes to what it picks up as lint.
Making code base compatible, so that new devs can install pep8
from PyPI and not have friction over the version difference.
Currently using these ignores in the config file:
```
[pep8]
ignore = E124,E125,E126
```
Ignoring these since they are difficult to squash while maintaining
an 80 char line length, and appear spurious.
Should address later.
Updates Travis config, README, and pip requirements to reflect change.
Brian Fink