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Merge pull request #1590 from quantopian/speed-up-history-loader-creation

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PERF: Speed up retrieval of HistoryLoader calendar.
This commit is contained in:
Eddie Hebert
2016-11-11 11:37:31 -05:00
committed by GitHub
parent da4d6ec582 229b967c71
commit 8b8b4a8118
1 changed files with 3 additions and 2 deletions
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zipline/data/history_loader.py
+3 -2
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@@ -573,8 +573,9 @@ class MinuteHistoryLoader(HistoryLoader):
@lazyval
def _calendar(self):
mm = self.trading_calendar.all_minutes
return mm[mm.slice_indexer(start=self._reader.first_trading_day,
end=self._reader.last_available_dt)]
start = mm.searchsorted(self._reader.first_trading_day)
end = mm.searchsorted(self._reader.last_available_dt, side='right')
return mm[start:end]
def _array(self, dts, assets, field):
return self._reader.load_raw_arrays(