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Merge pull request #570 from quantopian/orders-by-modified-leak

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Remove leaky defaultdicts
This commit is contained in:
Eddie Hebert
2015-04-23 15:43:03 -04:00
parent 5ea4886dc1 d343e06593
commit a4f85b9436
1 changed files with 24 additions and 15 deletions
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zipline/finance/performance/period.py
+24 -15
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@@ -74,9 +74,6 @@ from __future__ import division
import logbook
import numpy as np
from collections import (
defaultdict,
)
try:
# optional cython based OrderedDict
@@ -166,8 +163,8 @@ class PerformancePeriod(object):
self.starting_cash = self.ending_cash
self.period_cash_flow = 0.0
self.pnl = 0.0
self.processed_transactions = defaultdict(list)
self.orders_by_modified = defaultdict(OrderedDict)
self.processed_transactions = {}
self.orders_by_modified = {}
self.orders_by_id = OrderedDict()
def handle_dividends_paid(self, net_cash_payment):
@@ -203,9 +200,12 @@ class PerformancePeriod(object):
def record_order(self, order):
if self.keep_orders:
dt_orders = self.orders_by_modified[order.dt]
if order.id in dt_orders:
del dt_orders[order.id]
try:
dt_orders = self.orders_by_modified[order.dt]
if order.id in dt_orders:
del dt_orders[order.id]
except KeyError:
self.orders_by_modified[order.dt] = dt_orders = OrderedDict()
dt_orders[order.id] = order
# to preserve the order of the orders by modified date
# we delete and add back. (ordered dictionary is sorted by
@@ -218,7 +218,10 @@ class PerformancePeriod(object):
self.period_cash_flow -= txn.price * txn.amount
if self.keep_transactions:
self.processed_transactions[txn.dt].append(txn)
try:
self.processed_transactions[txn.dt].append(txn)
except KeyError:
self.processed_transactions[txn.dt] = [txn]
# backwards compat. TODO: remove?
@property
@@ -327,8 +330,11 @@ class PerformancePeriod(object):
if self.keep_transactions:
if dt:
# Only include transactions for given dt
transactions = [x.to_dict()
for x in self.processed_transactions[dt]]
try:
transactions = [x.to_dict()
for x in self.processed_transactions[dt]]
except KeyError:
transactions = []
else:
transactions = \
[y.to_dict()
@@ -339,8 +345,11 @@ class PerformancePeriod(object):
if self.keep_orders:
if dt:
# only include orders modified as of the given dt.
orders = [x.to_dict()
for x in itervalues(self.orders_by_modified[dt])]
try:
orders = [x.to_dict()
for x in itervalues(self.orders_by_modified[dt])]
except KeyError:
orders = []
else:
orders = [x.to_dict() for x in itervalues(self.orders_by_id)]
rval['orders'] = orders
@@ -450,13 +459,13 @@ class PerformancePeriod(object):
if version < OLDEST_SUPPORTED_STATE:
raise BaseException("PerformancePeriod saved state is too old.")
processed_transactions = defaultdict(list)
processed_transactions = {}
processed_transactions.update(state.pop('processed_transactions'))
orders_by_id = OrderedDict()
orders_by_id.update(state.pop('orders_by_id'))
orders_by_modified = defaultdict(OrderedDict)
orders_by_modified = {}
orders_by_modified.update(state.pop('orders_by_modified'))
self.processed_transactions = processed_transactions
self.orders_by_id = orders_by_id