wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-09-11 12:00:50 +08:00
Code Issues Packages Projects Releases Wiki Activity

PERF: Avoid repeated recursive calls when getting forward-filled close

Browse Source 
Instead of recursively calling `DailyHistoryAggregator.closes` until we
find a non-nan close, we can instead call `load_raw_arrays` once, and
find the value from the returned array.
This commit is contained in:
Andrew Daniels
2017-04-06 09:51:01 -04:00
parent 1212d2f0a1
commit f8eced41bf
2 changed files with 94 additions and 34 deletions
Download Patch File Download Diff File Expand all files Collapse all files
zipline/data/resample.py
+19 -5
View File
@@ -384,6 +384,23 @@ class DailyHistoryAggregator(object):
closes = []
session_label = self._trading_calendar.minute_to_session_label(dt)
def _get_filled_close(asset):
"""
Returns the most recent non-nan close for the asset in this
session. If there has been no data in this session on or before the
`dt`, returns `nan`
"""
window = self._minute_reader.load_raw_arrays(
['close'],
market_open,
dt,
[asset],
)[0]
try:
return window[~np.isnan(window)][-1]
except IndexError:
return np.NaN
for asset in assets:
if not asset.is_alive_for_session(session_label):
closes.append(np.NaN)
@@ -412,9 +429,7 @@ class DailyHistoryAggregator(object):
val = self._minute_reader.get_value(
asset, dt, 'close')
if pd.isnull(val):
val = self.closes(
[asset],
pd.Timestamp(prev_dt, tz='UTC'))[0]
val = _get_filled_close(asset)
entries[asset] = (dt_value, val)
closes.append(val)
continue
@@ -422,8 +437,7 @@ class DailyHistoryAggregator(object):
val = self._minute_reader.get_value(
asset, dt, 'close')
if pd.isnull(val):
val = self.closes([asset],
pd.Timestamp(prev_dt, tz='UTC'))[0]
val = _get_filled_close(asset)
entries[asset] = (dt_value, val)
closes.append(val)
continue