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RFT: Remove Position management from PerformancePeriod. This cuts down

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on the number of per-tick update that occur since they were duplicated
per each PerformancePeriod. Also opens up the path to cythonizing the
entire object
This commit is contained in:
Dale Jung
2015-03-18 22:48:14 -04:00
committed by Eddie Hebert
parent 6cd2f4f1f2
commit 7892a6943f
14 changed files with 79955 additions and 503 deletions
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scripts/generate_new_sample_saved_state.py
+2
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@@ -25,6 +25,7 @@ from zipline.finance.blotter import Blotter, Order
from zipline.finance.commission import PerShare, PerTrade, PerDollar
from zipline.finance.performance.period import PerformancePeriod
from zipline.finance.performance.position import Position
from zipline.finance.performance.position_tracker import PositionTracker
from zipline.finance.performance.tracker import PerformanceTracker
from zipline.finance.risk.cumulative import RiskMetricsCumulative
from zipline.finance.risk.period import RiskMetricsPeriod
@@ -75,6 +76,7 @@ argument_list = [
(PerDollar, ()),
(PerformancePeriod, (10000,)),
(Position, (8554,)),
(PositionTracker, ()),
(PerformanceTracker, (sim_params_minute,)),
(RiskMetricsCumulative, (sim_params_minute,)),
(RiskMetricsPeriod, (returns.index[0], returns.index[0], returns)),