From c0acbe2bc11745732480d6ebfe1ed8cd90b965c1 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Wed, 8 May 2013 18:29:49 -0400 Subject: [PATCH] MAINT: Revert slice into returns containers instead of using .valid() Backing out slice vs. valid(), because of an incompatiblity with starting a minutely emitted session mid-day, since the midday start date is not yet wired through SimulationParameters. --- zipline/finance/risk.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/zipline/finance/risk.py b/zipline/finance/risk.py index edae7536..e5f99a00 100644 --- a/zipline/finance/risk.py +++ b/zipline/finance/risk.py @@ -615,10 +615,10 @@ class RiskMetricsIterative(RiskMetricsBase): def update(self, dt, algorithm_returns, benchmark_returns): self.algorithm_returns_cont[dt] = algorithm_returns - self.algorithm_returns = self.algorithm_returns_cont[:dt] + self.algorithm_returns = self.algorithm_returns_cont.valid() self.benchmark_returns_cont[dt] = benchmark_returns - self.benchmark_returns = self.benchmark_returns_cont[:dt] + self.benchmark_returns = self.benchmark_returns_cont.valid() self.num_trading_days = len(self.algorithm_returns)