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MAINT: Remove unecessary conversion to Series on each risk update.

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We were converting to pd.Series for historical reasons as an artifact
during development, now that we pass dt we can just pass the float values
instead of wrapping it in a series.
This commit is contained in:
Eddie Hebert
2013-05-02 14:36:10 -04:00
parent 4ed0250424
commit 823416e9fd
1 changed files with 6 additions and 14 deletions
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zipline/finance/performance.py
+6 -14
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@@ -299,12 +299,9 @@ class PerformanceTracker(object):
def handle_minute_close(self, dt):
#update risk metrics for cumulative performance
algorithm_returns = pd.Series({dt: self.todays_performance.returns})
benchmark_returns = pd.Series({dt: self.all_benchmark_returns[dt]})
self.cumulative_risk_metrics.update(dt,
algorithm_returns,
benchmark_returns)
self.todays_performance.returns,
self.all_benchmark_returns[dt])
def handle_market_close(self):
# add the return results from today to the list of DailyReturn objects.
@@ -320,15 +317,10 @@ class PerformanceTracker(object):
self.returns.append(todays_return_obj)
#update risk metrics for cumulative performance
algorithm_returns = pd.Series({todays_return_obj.date:
todays_return_obj.returns})
benchmark_returns = pd.Series({
todays_return_obj.date:
self.all_benchmark_returns[todays_return_obj.date]})
self.cumulative_risk_metrics.update(todays_return_obj.date,
algorithm_returns,
benchmark_returns)
self.cumulative_risk_metrics.update(
todays_return_obj.date,
todays_return_obj.returns,
self.all_benchmark_returns[todays_return_obj.date])
# increment the day counter before we move markers forward.
self.day_count += 1.0