ENH: Switching from cachetools.LRUCache to lru-dict's LRU cache.

lru-dict is written in C and seems much more performant.

conda/lru-dict/bld.bat

@@ -5,4 +5,4 @@ if errorlevel 1 exit 1
 
 :: See
 :: http://docs.continuum.io/conda/build.html
-:: for a list of environment variables that are set during the build process.
+:: for a list of environment variables that are set during the build process.

conda/lru-dict/build.sh

@@ -6,4 +6,4 @@ $PYTHON setup.py install
 
 # See
 # http://docs.continuum.io/conda/build.html
-# for a list of environment variables that are set during the build process.
+# for a list of environment variables that are set during the build process.

conda/lru-dict/meta.yaml

@@ -1,11 +1,11 @@
 package:
-  name: cachetools
-  version: "1.1.6"
+  name: lru-dict
+  version: "1.1.4"
 
 source:
-  fn: cachetools-1.1.6.tar.gz
-  url: https://pypi.python.org/packages/source/c/cachetools/cachetools-1.1.6.tar.gz
-  md5: 387d7f34effd9335ae55bd0762e77bfa
+  fn: lru-dict-1.1.4.tar.gz
+  url: https://files.pythonhosted.org/packages/c3/b7/4e5bcbdfdc2227001f897051d6f4c83f9d236fe89a9df74da07cc3d9bac8/lru-dict-1.1.4.tar.gz
+  md5: 95ed142416b32c4b03dd8e7dae924f38
 #  patches:
    # List any patch files here
    # - fix.patch
@@ -17,9 +17,9 @@ source:
     # Put any entry points (scripts to be generated automatically) here. The
     # syntax is module:function.  For example
     #
-    # - cachetools = cachetools:main
+    # - lru-dict = lru-dict:main
     #
-    # Would create an entry point called cachetools that calls cachetools.main()
+    # Would create an entry point called lru-dict that calls lru-dict.main()
 
 
   # If this is a new build for the same version, increment the build
@@ -37,7 +37,7 @@ requirements:
 test:
   # Python imports
   imports:
-    - cachetools
+    - lru
 
   # commands:
     # You can put test commands to be run here.  Use this to test that the
@@ -52,10 +52,10 @@ test:
     # - nose
 
 about:
-  home: https://github.com/tkem/cachetools
+  home: https://github.com/amitdev/lru-dict
   license: MIT License
-  summary: 'Extensible memoizing collections and decorators'
+  summary: 'A fast and memory efficient LRU cache.'
 
 # See
 # http://docs.continuum.io/conda/build.html for
-# more information about meta.yaml
+# more information about meta.yaml

etc/requirements.txt

@@ -63,7 +63,8 @@ alembic==0.7.7
 sortedcontainers==1.4.4
 intervaltree==2.1.0
 
-cachetools==1.1.5
+# for caching
+lru-dict==1.1.4
 
 # For financial risk calculations
 empyrical==0.1.11

zipline/data/history_loader.py

@@ -17,8 +17,8 @@ from abc import (
     abstractmethod,
     abstractproperty,
 )
+from lru import LRU
 
-from cachetools import LRUCache
 from numpy import around, hstack
 from pandas import Int64Index
 
@@ -89,7 +89,7 @@ class HistoryLoader(with_metaclass(ABCMeta)):
         self._reader = reader
         self._adjustments_reader = adjustment_reader
         self._window_blocks = {
-            field: ExpiringCache(LRUCache(maxsize=sid_cache_size))
+            field: ExpiringCache(LRU(sid_cache_size))
             for field in self.FIELDS
         }
 

zipline/data/minute_bars.py

@@ -16,7 +16,7 @@ import os
 from os.path import join
 from textwrap import dedent
 
-from cachetools import LRUCache
+from lru import LRU
 import bcolz
 from bcolz import ctable
 from intervaltree import IntervalTree
@@ -788,7 +788,7 @@ class BcolzMinuteBarReader(MinuteBarReader):
         self._minutes_per_day = metadata.minutes_per_day
 
         self._carrays = {
-            field: LRUCache(maxsize=sid_cache_size)
+            field: LRU(sid_cache_size)
             for field in self.FIELDS
         }