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Merge pull request #1190 from quantopian/cythonize-some-more

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PERF: takes ~14% off the time it takes to initialize a MinuteSimulationClock
This commit is contained in:
Jean Bredeche
2016-05-09 13:52:08 -04:00
parent 0562179060 fe5a2a888a
commit 10daf9efd6
2 changed files with 10 additions and 9 deletions
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zipline/algorithm.py
-1
View File
@@ -478,7 +478,6 @@ class TradingAlgorithm(object):
self.sim_params.trading_days,
market_opens,
market_closes,
env.trading_days,
minutely_emission
)
return clock
zipline/gens/sim_engine.pyx
+10 -8
View File
@@ -30,7 +30,6 @@ cpdef enum:
cdef class MinuteSimulationClock:
cdef object trading_days
cdef object all_trading_days
cdef bool minute_emission
cdef np.int64_t[:] market_opens, market_closes
cdef public dict minutes_by_day, minutes_to_day
@@ -39,19 +38,18 @@ cdef class MinuteSimulationClock:
trading_days,
market_opens,
market_closes,
all_trading_days,
minute_emission=False):
self.minute_emission = minute_emission
self.market_opens = market_opens
self.market_closes = market_closes
self.trading_days = trading_days
self.all_trading_days = all_trading_days
self.minutes_by_day = self.calc_minutes_by_day()
@cython.boundscheck(False)
@cython.wraparound(False)
cpdef market_minutes(self, np.intp_t i):
cdef np.ndarray[np.int64_t, ndim=1] market_minutes(self, np.intp_t i):
cdef np.int64_t[:] market_opens, market_closes
market_opens = self.market_opens
market_closes = self.market_closes
@@ -59,16 +57,20 @@ cdef class MinuteSimulationClock:
market_closes[i] + _nanos_in_minute,
_nanos_in_minute)
cpdef calc_minutes_by_day(self):
@cython.boundscheck(False)
@cython.wraparound(False)
cdef dict calc_minutes_by_day(self):
cdef dict minutes_by_day
cdef int day_idx
cdef object day
minutes_by_day = {}
for day_idx, day in enumerate(self.trading_days):
minutes = pd.to_datetime(
minutes_by_day[day] = pd.to_datetime(
self.market_minutes(day_idx), utc=True, box=True)
minutes_by_day[day] = minutes
return minutes_by_day
def __iter__(self):
minute_emission = self.minute_emission
for day in self.trading_days: