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MAINT: Use session index freq for loop logic.

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Instead of maintaining a separate index into the sessions index, use the `.freq`
member of the sessions index for decrementing to the current session and finding
the previous session.
This commit is contained in:
Eddie Hebert
2016-12-05 12:50:16 -05:00
parent 3e1a518ae6
commit 584ff4d67a
1 changed files with 8 additions and 8 deletions
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zipline/assets/roll_finder.py
+8 -8
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@@ -89,25 +89,25 @@ class RollFinder(with_metaclass(ABCMeta, object)):
tc = self.trading_calendar
sessions = tc.sessions_in_range(tc.minute_to_session_label(start),
tc.minute_to_session_label(end))
freq = sessions.freq
if first == front:
curr = first_contract << 1
else:
curr = first_contract << 2
sess = sessions[-1]
while sess > start and curr is not None:
session_loc = sessions.searchsorted(sess)
session = sessions[-1]
while session > start and curr is not None:
front = curr.contract.sid
back = curr.next.contract.sid
while session_loc > 0:
session = sessions[session_loc]
prev = sessions[session_loc - 1]
while session > start:
prev = session - freq
if back != self._active_contract(oc, front, back, prev):
rolls.insert(0, ((curr >> offset).contract.sid, session))
break
session_loc -= 1
session = prev
curr = curr.prev
if curr is not None:
sess = curr.contract.auto_close_date
session = curr.contract.auto_close_date
return rolls