quantopian / zipline

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LAST BUILD ON BRANCH fixed-zero-last-sale-price

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Build # 1986

Build Type

push

travis-ci

Committed by CaptainKanuk

Commit Message

BUG: Fixed random dips in returns as shown to user.

Previously the last sale price was not correctly being set on
positions when the transaction arrived before the trade event.
The last sale price was defaulted to zero and never updated. This resulted
in one holding stocks that were bough >>0 and now had value 0 from
the perspective of returns. The returns would display correctly again
when the next trade of that security happened. For most securities trading is
frequent enough that there's no issue, but for some illiquid ones it took
hours to fix itself.

Updated test_perf_tracking:TestPerformanceTracker.test_minute_tracker
This test was based on assuming that last_sale_price was zero,
allowing the sharpe ratio to be calculated. The sharpe ratio can no longer
be calculated for this specific tested scenario and the test has been changed
accordingly.

Run Details

4218 of 4807 relevant lines covered (87.75%)

1.75 hits per line