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BUG/PERF: Remove extra minute bar loader cache.

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The minute history loader caching was incorrectly mimicking the daily
history loader caching.

Where caching the adjusted array on the last dt helps an access pattern
of repeated calling history windows on the same day (which has an end_dt
of the previous day), with minute windows the end dt is always moving
forward, so the cached values are seldom used. (Would only be used if
`history` was called with same parameters twice on the same simulation time.)
This commit is contained in:
Eddie Hebert
2016-04-12 21:27:34 -04:00
committed by Jean Bredeche
parent 4a1dd9967a
commit d659a1d78c
1 changed files with 3 additions and 28 deletions
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zipline/data/data_portal.py
+3 -28
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@@ -516,16 +516,6 @@ class DataPortal(object):
'price': None
}
self._equity_daily_reader_array_data = {}
# See above comment for `_equity_daily_reader_array_keys`.
self._equity_minute_loader_array_keys = {
'open': None,
'high': None,
'low': None,
'close': None,
'volume': None,
'price': None
}
self._equity_minute_loader_array_data = {}
def _reindex_extra_source(self, df, source_date_index):
return df.reindex(index=source_date_index, method='ffill')
@@ -1307,10 +1297,9 @@ class DataPortal(object):
def _get_minute_window_for_equities(
self, assets, field, minutes_for_window):
window = self._equity_minute_loader_arrays(field,
minutes_for_window,
assets)
return window
return self._equity_minute_history_loader.history(assets,
minutes_for_window,
field)
def _apply_all_adjustments(self, data, asset, dts, field,
price_adj_factor=1.0):
@@ -1393,20 +1382,6 @@ class DataPortal(object):
self._equity_daily_reader_array_data[field] = data
return data
def _equity_minute_loader_arrays(self, field, dts, assets):
# Custom memoization, because of unhashable types.
assets_key = frozenset(assets)
key = (field, dts[0], dts[-1], assets_key)
if self._equity_minute_loader_array_keys[field] == key:
return self._equity_minute_loader_array_data[field]
else:
data = self._equity_minute_history_loader.history(assets,
dts,
field)
self._equity_minute_loader_array_keys[field] = key
self._equity_minute_loader_array_data[field] = data
return data
def _get_daily_window_for_sids(
self, assets, field, days_in_window, extra_slot=True):
"""