From 5041f3e83bed820f0b07c8b36155529519ff1252 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Thu, 3 Oct 2013 11:33:06 -0400 Subject: [PATCH] MAINT: Make returns frequency and returns index class members. Hold on to the values set for the returns frequency and the cont index, mainly for debugging purposes mid-process. It was useful to have these values when debugging why there was an extra non-midnight time in the index. --- zipline/finance/risk/cumulative.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/zipline/finance/risk/cumulative.py b/zipline/finance/risk/cumulative.py index 45059f81..f067c03b 100644 --- a/zipline/finance/risk/cumulative.py +++ b/zipline/finance/risk/cumulative.py @@ -86,11 +86,15 @@ class RiskMetricsCumulative(object): if returns_frequency is None: returns_frequency = self.sim_params.emission_rate + self.returns_frequency = returns_frequency + if returns_frequency == 'daily': cont_index = self.get_daily_index() elif returns_frequency == 'minute': cont_index = self.get_minute_index(sim_params) + self.cont_index = cont_index + self.algorithm_returns_cont = pd.Series(index=cont_index) self.benchmark_returns_cont = pd.Series(index=cont_index)