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PERF: Use cached list of price and volume value.

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Reduce the number of times the multiplication is done for the
position values to once per bar.
This commit is contained in:
Dale Jung
2015-02-23 11:57:07 -05:00
committed by Eddie Hebert
parent 913fbb0568
commit 25c762138e
1 changed files with 32 additions and 20 deletions
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zipline/finance/performance/period.py
+32 -20
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@@ -166,6 +166,7 @@ class PerformancePeriod(object):
self.position_amounts[split.sid] = position.amount
self.position_last_sale_prices[split.sid] = \
position.last_sale_price
self._position_values = None # invalidate cache
if leftover_cash > 0:
self.handle_cash_payment(leftover_cash)
@@ -294,9 +295,11 @@ class PerformancePeriod(object):
if amount is not None:
pos.amount = amount
self.position_amounts[sid] = amount
self._position_values = None # invalidate cache
if last_sale_price is not None:
pos.last_sale_price = last_sale_price
self.position_last_sale_prices[sid] = last_sale_price
self._position_values = None # invalidate cache
if last_sale_date is not None:
pos.last_sale_date = last_sale_date
if cost_basis is not None:
@@ -314,39 +317,44 @@ class PerformancePeriod(object):
self.position_amounts[sid] = position.amount
self.position_last_sale_prices[sid] = position.last_sale_price
self._position_values = None # invalidate cache
self.period_cash_flow -= txn.price * txn.amount
if self.keep_transactions:
self.processed_transactions[txn.dt].append(txn)
@property
def position_amounts_values(self):
return list(self.position_amounts.values())
_position_values = None
@property
def position_last_sale_prices_values(self):
return list(self.position_last_sale_prices.values())
def position_values(self):
"""
Invalidate any time self.position_amounts or
self.position_last_sale_prices is changed.
"""
if self._position_values is None:
vals = list(map(mul, self.position_amounts.values(),
self.position_last_sale_prices.values()))
self._position_values = vals
return self._position_values
def calculate_positions_value(self):
return np.dot(self.position_amounts_values,
self.position_last_sale_prices_values)
if len(self.position_values) == 0:
return 0
return sum(self.position_values)
def _longs_count(self):
return sum(map(lambda x: x > 0, self.position_amounts_values))
return sum(map(lambda x: x > 0, self.position_values))
def _long_exposure(self):
pos_values = map(mul, self.position_amounts_values,
self.position_last_sale_prices_values)
return sum(filter(lambda x: x > 0, pos_values))
return sum(filter(lambda x: x > 0, self.position_values))
def _shorts_count(self):
return sum(map(lambda x: x < 0, self.position_amounts_values))
return sum(map(lambda x: x < 0, self.position_values))
def _short_exposure(self):
pos_values = map(mul, self.position_amounts_values,
self.position_last_sale_prices_values)
return sum(filter(lambda x: x < 0, pos_values))
return sum(filter(lambda x: x < 0, self.position_values))
def _gross_exposure(self):
return self._long_exposure() + abs(self._short_exposure())
@@ -375,16 +383,20 @@ class PerformancePeriod(object):
return np.inf
def update_last_sale(self, event):
if event.sid not in self.positions:
sid = event.sid
if sid not in self.positions:
return
if event.type != TRADE_TYPE:
return
if not checknull(event.price):
# isnan check will keep the last price if its not present
self.update_position(event.sid, last_sale_price=event.price,
last_sale_date=event.dt)
price = event.price
if not checknull(price):
pos = self.positions[sid]
pos.last_sale_date = event.dt
pos.last_sale_price = price
self.position_last_sale_prices[sid] = price
self._position_values = None # invalidate cache
def __core_dict(self):
rval = {