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PERF: Remove or defer calls to get_loc on large indices.

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Mitigation for https://github.com/quantopian/zipline/issues/1503.
This commit is contained in:
Scott Sanderson
2016-09-21 06:18:31 -04:00
parent 74413695f3
commit e86fffc4ca
3 changed files with 34 additions and 30 deletions
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zipline/data/data_portal.py
+11 -10
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@@ -213,12 +213,6 @@ class DataPortal(object):
self.trading_calendar.all_sessions.get_loc(self._first_trading_day)
if self._first_trading_day is not None else None
)
self._first_trading_minute_loc = (
self.trading_calendar.all_minutes.get_loc(
self._first_trading_minute
)
if self._first_trading_minute is not None else None
)
def _ensure_reader_aligned(self, reader):
if reader is None:
@@ -703,10 +697,17 @@ class DataPortal(object):
return daily_data
def _handle_history_out_of_bounds(self, bar_count):
def _handle_minute_history_out_of_bounds(self, bar_count):
first_trading_minute_loc = (
self.trading_calendar.all_minutes.get_loc(
self._first_trading_minute
)
if self._first_trading_minute is not None else None
)
suggested_start_day = (
self.trading_calendar.all_minutes[
self._first_trading_minute_loc + bar_count
first_trading_minute_loc + bar_count
] + self.trading_calendar.day
).date()
@@ -728,10 +729,10 @@ class DataPortal(object):
end_dt, -bar_count
)
except KeyError:
self._handle_history_out_of_bounds(bar_count)
self._handle_minute_history_out_of_bounds(bar_count)
if minutes_for_window[0] < self._first_trading_minute:
self._handle_history_out_of_bounds(bar_count)
self._handle_minute_history_out_of_bounds(bar_count)
asset_minute_data = self._get_minute_window_for_assets(
assets,