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MAINT: Remove extra Series creation in performance to risk.

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Instead of creating a new Series object each time values are
passed from performance to risk, pass the scalar values directly.
This commit is contained in:
Eddie Hebert
2013-10-01 17:06:59 -04:00
parent 20113872ee
commit df9575982a
1 changed files with 4 additions and 11 deletions
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zipline/finance/performance/tracker.py
+4 -11
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@@ -279,30 +279,23 @@ class PerformanceTracker(object):
minute_returns = self.minute_performance.returns
self.minute_performance.rollover()
algo_minute_returns = pd.Series({dt: minute_returns})
bench_minute_returns = pd.Series({dt: self.all_benchmark_returns[dt]})
# the intraday risk is calculated on top of minute performance
# returns for the bench and the algo
self.intraday_risk_metrics.update(dt,
algo_minute_returns,
bench_minute_returns)
minute_returns,
self.all_benchmark_returns[dt])
bench_since_open = \
self.intraday_risk_metrics.benchmark_period_returns[dt]
benchmark_returns = pd.Series({todays_date: bench_since_open})
# if we've reached market close, check on dividends
if dt == self.market_close:
for perf_period in self.perf_periods:
perf_period.update_dividends(todays_date)
algorithm_returns = pd.Series({
todays_date: self.todays_performance.returns
})
self.cumulative_risk_metrics.update(todays_date,
algorithm_returns,
benchmark_returns)
self.todays_performance.returns,
bench_since_open)
# if this is the close, save the returns objects for cumulative
# risk calculations