Recycles objects for positions.

Instead of creating a new ndict for each position on every event,
we change the values in the object that held the previous position.

The creation of new objects on each event was incurring too much
overhead.

Changes the position type returned by performance module.

For improved speed, changes from ndict to a simple Python object,
since the cost of setting ndict values is too expensive for the
number of times that positions are returned.

Also, changes the containing type of the positions to be dictionary
with the __missing__ overloaded, instead of the ndict that had that
behavior, to reduce the penalty of using ndicts.

zipline/finance/performance.py

@@ -136,7 +136,6 @@ import datetime
 import pytz
 import math
 
-from zipline.utils.protocol_utils import ndict
 import zipline.protocol as zp
 import zipline.finance.risk as risk
 
@@ -446,6 +445,7 @@ class PerformancePeriod(object):
         # when returning portfolio information.
         # So as not to avoid creating a new object for each event
         self._portfolio_store = zp.Portfolio()
+        self._positions_store = zp.Positions()
 
     def calculate_performance(self):
         self.ending_value = self.calculate_positions_value()
@@ -566,11 +566,15 @@ class PerformancePeriod(object):
 
     def get_positions(self):
 
-        positions = ndict(internal=position_ndict())
+        positions = self._positions_store
 
         for sid, pos in self.positions.iteritems():
-            cur = pos.to_dict()
-            positions[sid] = ndict(cur)
+            if sid not in positions:
+                positions[sid] = zp.Position(sid)
+            position = positions[sid]
+            position.amount = pos.amount
+            position.cost_basis = pos.cost_basis
+            position.last_sale_price = pos.last_sale_price
 
         return positions
 
@@ -588,11 +592,3 @@ class positiondict(dict):
         pos = Position(key)
         self[key] = pos
         return pos
-
-
-class position_ndict(dict):
-
-    def __missing__(self, key):
-        pos = Position(key)
-        self[key] = ndict(pos.to_dict())
-        return pos

zipline/protocol.py

@@ -65,3 +65,23 @@ class Portfolio(object):
 
     def __repr__(self):
         return "Portfolio({0})".format(self.__dict__)
+
+
+class Position(object):
+
+    def __init__(self, sid):
+        self.sid = sid
+        self.amount = 0
+        self.cost_basis = 0.0  # per share
+        self.last_sale_price = 0.0
+
+    def __repr__(self):
+        return "Position({0})".format(self.__dict__)
+
+
+class Positions(dict):
+
+    def __missing__(self, key):
+        pos = Position(key)
+        self[key] = pos
+        return pos