wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-07-02 19:03:42 +08:00
Code Issues Packages Projects Releases Wiki Activity

MAINT: Use return scalars in performance instead of object.

Browse Source 
Remove another case of creating a DailyReturn object, in favor
of passing the return scalar directly to the risk module.
This commit is contained in:
Eddie Hebert
2013-10-02 15:57:00 -04:00
parent ac6a15f20a
commit 6f9a03aa76
1 changed files with 3 additions and 7 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/finance/performance/tracker.py
+3 -7
View File
@@ -320,17 +320,13 @@ class PerformanceTracker(object):
self.cumulative_performance.update_dividends(todays_date)
self.todays_performance.update_dividends(todays_date)
todays_return_obj = zp.DailyReturn(
todays_date,
self.todays_performance.returns
)
self.returns[todays_date] = self.todays_performance.returns
# update risk metrics for cumulative performance
self.cumulative_risk_metrics.update(
todays_return_obj.date,
todays_return_obj.returns,
self.all_benchmark_returns[todays_return_obj.date])
todays_date,
self.todays_performance.returns,
self.all_benchmark_returns[todays_date])
# increment the day counter before we move markers forward.
self.day_count += 1.0