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Merge pull request #1728 from quantopian/rework-resample-close

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MAINT: Clear up naming and logic in resample close.
This commit is contained in:
Eddie Hebert
2017-03-28 14:02:27 -04:00
committed by GitHub
parent f717e77172 ed62d8a66a
commit f736169096
1 changed files with 6 additions and 8 deletions
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zipline/data/_resample.pyx
+6 -8
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@@ -73,22 +73,20 @@ cpdef void _minute_to_session_low(intp_t[:] close_locs,
cpdef void _minute_to_session_close(intp_t[:] close_locs,
float64_t[:] data,
float64_t[:] out):
cdef intp_t i, close_loc, loc = 0
cdef intp_t i, prev_close_loc, loc = 0
cdef float64_t val
loc = len(data) - 1
num_out = len(close_locs)
for j in range(num_out, 0, -1):
i = j - 1
for i in range(num_out - 1, -1, -1):
if i > 0:
close_loc = close_locs[i - 1]
prev_close_loc = close_locs[i - 1]
else:
close_loc = -1
prev_close_loc = -1
loc = close_locs[i]
val = data[loc]
while isnan(val) and loc > close_loc:
while isnan(val) and loc > prev_close_loc:
loc -= 1
val = data[loc]
out[i] = val
loc = close_loc
@boundscheck(False)