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PERF: Vectorize assignments in get_history_window.

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Scott Sanderson
2016-10-26 16:47:10 -04:00
parent fc153999e2
commit 52b71af848
1 changed files with 13 additions and 14 deletions
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zipline/data/data_portal.py
+13 -14
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@@ -17,7 +17,7 @@ from operator import mul
from logbook import Logger
import numpy as np
from numpy import float64, int64
from numpy import float64, int64, nan
import pandas as pd
from pandas import isnull
from pandas.tslib import normalize_date
@@ -857,33 +857,32 @@ class DataPortal(object):
raise Exception(
"Only 1d and 1m are supported for forward-filling.")
dt_to_fill = df.index[0]
assets_with_leading_nan = np.where(isnull(df.iloc[0]))[0]
perspective_dt = df.index[-1]
assets_with_leading_nan = np.where(pd.isnull(df.iloc[0]))[0]
for missing_loc in assets_with_leading_nan:
asset = assets[missing_loc]
previous_dt = self.get_last_traded_dt(
asset, dt_to_fill, data_frequency)
if pd.isnull(previous_dt):
continue
previous_value = self.get_adjusted_value(
initial_values = np.array([
self.get_adjusted_value(
asset,
field,
previous_dt,
self.get_last_traded_dt(
asset,
perspective_dt,
data_frequency,
),
perspective_dt,
data_frequency,
)
df.iloc[0, missing_loc] = previous_value
for asset in df.columns[assets_with_leading_nan]
], dtype=float64)
df.ix[0, assets_with_leading_nan] = initial_values
df.fillna(method='ffill', inplace=True)
for asset in df.columns:
if df.index[-1] >= asset.end_date:
# if the window extends past the asset's end date, set
# all post-end-date values to NaN in that asset's series
series = df[asset]
series[series.index.normalize() > asset.end_date] = np.NaN
df.loc[df.index.normalize() > asset.end_date, asset] = nan
return df