PERF: Remove alias_dt transform in favor of property on SIDData.

Adding a copy of the Event's dt field as datetime via the
`alias_dt` generator, so that the API was forgiving and allowed
both datetime and dt on a SIDData object, was creating noticeable
overhead, even on an noop algorithms.

Instead of incurring the cost of copying the datetime value and
assigning it to the Event object on every event that is passed
through the system, add a property to SIDData which acts as an
alias `datetime` to `dt`.

Eventually support for `data['foo'].datetime` may be removed,
and could be considered deprecated.

tests/test_algorithm_gen.py

@@ -47,7 +47,7 @@ class RecordDateSlippage(slippage.FixedSlippage):
         self.latest_date = None
 
     def simulate(self, event, open_orders):
-        self.latest_date = event['datetime']
+        self.latest_date = event.dt
         result = super(RecordDateSlippage, self).simulate(event, open_orders)
         return result
 

zipline/algorithm.py

@@ -51,7 +51,6 @@ from zipline.protocol import Event
 from zipline.gens.composites import (
     date_sorted_sources,
     sequential_transforms,
-    alias_dt
 )
 from zipline.gens.tradesimulation import AlgorithmSimulator
 
@@ -263,10 +262,9 @@ class TradingAlgorithm(object):
 
         with_tnfms = sequential_transforms(date_sorted,
                                            *self.transforms)
-        with_alias_dt = alias_dt(with_tnfms)
 
         with_benchmarks = date_sorted_sources(benchmark_return_source,
-                                              with_alias_dt)
+                                              with_tnfms)
 
         # Group together events with the same dt field. This depends on the
         # events already being sorted.

zipline/gens/composites.py

@@ -47,12 +47,3 @@ def sequential_transforms(stream_in, *transforms):
                         stream_in)
 
     return stream_out
-
-
-def alias_dt(stream_in):
-    """
-    Alias the dt field to datetime on each message.
-    """
-    for message in stream_in:
-        message['datetime'] = message['dt']
-        yield message

zipline/protocol.py

@@ -117,6 +117,21 @@ class SIDData(object):
         if initial_values:
             self.__dict__ = initial_values
 
+    @property
+    def datetime(self):
+        """
+        Provides an alias from data['foo'].datetime -> data['foo'].dt
+
+        `datetime` was previously provided by adding a seperate `datetime`
+        member of the SIDData object via a generator that wrapped the incoming
+        data feed and added the field to each equity event.
+
+        This alias is intended to be temporary, to provide backwards
+        compatibility with existing algorithms, but should be considered
+        deprecated, and may be removed in the future.
+        """
+        return self.dt
+
     def __getitem__(self, name):
         return self.__dict__[name]
 

zipline/transforms/batch_transform.py

@@ -236,7 +236,7 @@ class BatchTransform(object):
         Point of entry. Process an event frame.
         """
         # extract dates
-        dts = [event.datetime for event in itervalues(data._data)]
+        dts = [event.dt for event in itervalues(data._data)]
         # we have to provide the event with a dt. This is only for
         # checking if the event is outside the window or not so a
         # couple of seconds shouldn't matter. We don't add it to
@@ -439,8 +439,7 @@ class BatchTransform(object):
         # with CUSTOM data events, there may be different fields
         # per sid. So the allowable keys are the union of all events.
         union = set.union(*sid_keys)
-        unwanted_fields = set(['portfolio', 'sid', 'dt', 'type',
-                               'datetime', 'source_id'])
+        unwanted_fields = set(['portfolio', 'sid', 'dt', 'type', 'source_id'])
         return union - unwanted_fields
 
     def _get_field_names(self, event):