diff --git a/zipline/finance/performance/tracker.py b/zipline/finance/performance/tracker.py index 15ab21a0..a60956e8 100644 --- a/zipline/finance/performance/tracker.py +++ b/zipline/finance/performance/tracker.py @@ -410,8 +410,14 @@ class PerformanceTracker(object): self.all_benchmark_returns[dt], account) - bench_since_open = \ - self.intraday_risk_metrics.benchmark_cumulative_returns[dt] + # Duplicate intraday_risk_metrics work of calculating the benchmark + # returns since open. + # intraday_risk_metrics is marked for removal. + # + # This redundant work is in anticipation of no longer being able to + # depend on the 'since open' calculations in intraday_risk_metrics. + bench_returns = self.all_benchmark_returns.loc[todays_date:dt] + bench_since_open = (1. + bench_returns).prod() - 1 self.cumulative_risk_metrics.update(todays_date, self.todays_performance.returns,