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PERF: Removes asset lookups on ever trade event

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jfkirk
2015-06-11 11:35:49 -04:00
parent a5d1f79a37
commit 1b98d23b91
1 changed files with 9 additions and 11 deletions
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zipline/finance/performance/position_tracker.py
+9 -11
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@@ -36,6 +36,7 @@ class PositionTracker(object):
self._position_last_sale_prices = OrderedDict()
self._position_value_multipliers = OrderedDict()
self._position_exposure_multipliers = OrderedDict()
self._position_payout_multipliers = OrderedDict()
self._unpaid_dividends = pd.DataFrame(
columns=zp.DIVIDEND_PAYMENT_FIELDS,
)
@@ -57,16 +58,20 @@ class PositionTracker(object):
try:
self._position_value_multipliers[sid]
self._position_exposure_multipliers[sid]
self._position_payout_multipliers[sid]
except KeyError:
# Collect the value multipliers from applicable sids
asset = self._retrieve_asset(sid)
if isinstance(asset, Equity):
self._position_value_multipliers[sid] = 1
self._position_exposure_multipliers[sid] = 1
self._position_payout_multipliers[sid] = 0
if isinstance(asset, Future):
self._position_value_multipliers[sid] = 0
self._position_exposure_multipliers[sid] = \
asset.contract_multiplier
self._position_payout_multipliers[sid] = \
asset.contract_multiplier
def update_last_sale(self, event):
# NOTE, PerformanceTracker already vetted as TRADE type
@@ -86,17 +91,9 @@ class PositionTracker(object):
self._position_last_sale_prices[sid] = price
self._invalidate_cache()
asset = self._retrieve_asset(sid)
if asset is None:
return 0
# Calculate cash adjustment on futures
cash_adjustment = 0
if isinstance(asset, Future):
price_change = price - old_price
cash_adjustment = \
price_change * asset.contract_multiplier * pos.amount
return cash_adjustment
# Calculate cash adjustment on assets with multipliers
return (price - old_price) * self._position_payout_multipliers[sid] \
* pos.amount
def update_positions(self, positions):
# update positions in batch
@@ -381,6 +378,7 @@ class PositionTracker(object):
self._position_last_sale_prices = OrderedDict()
self._position_value_multipliers = OrderedDict()
self._position_exposure_multipliers = OrderedDict()
self._position_payout_multipliers = OrderedDict()
self._invalidate_cache()
self.update_positions(state['positions'])