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PERF: Pull out loop-invariant code.

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This shaves off 20 out of 160 seconds for an algorithm that makes a
large number of large universe, short window_length `history()` calls.
This commit is contained in:
Scott Sanderson
2016-10-26 23:27:33 -04:00
parent 9d10e28d09
commit 5547cca779
1 changed files with 6 additions and 2 deletions
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zipline/data/data_portal.py
+6 -2
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@@ -887,11 +887,15 @@ class DataPortal(object):
)
df.fillna(method='ffill', inplace=True)
# forward-filling will incorrectly produce values after the end of
# an asset's lifetime, so write NaNs back over the asset's
# end_date.
normed_index = df.index.normalize()
for asset in df.columns:
if df.index[-1] >= asset.end_date:
if history_end >= 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
df.loc[df.index.normalize() > asset.end_date, asset] = nan
df.loc[normed_index > asset.end_date, asset] = nan
return df
def _get_minute_window_for_assets(self, assets, field, minutes_for_window):