Optimize session close lookups in MinuteResampleSessionBarReader:
- Adds `session_closes_in_range` method (along with
`session_opens_in_range`) to TradingCalendar to allow vectorized
retrieval of all values in a range of sessions.
- Improves code path for resampling a single session's worth of data (as
is the case when calling `get_value`), since we don't actually need to
look up the close minute.
When retrieving the open and close for a given session, we only care
about the scalar values, so using DataFrame.at instead of DataFrame.loc
is significantly faster.
The new TradingCalendar method is called `minute_index_to_session_labels`.
It takes a DatetimeIndex of in-order market minutes and returns a
DatetimeIndex of the corresponding sessions.
The new method is approximately 100x faster than mapping
`minute_to_session_label` over a large DatetimeIndex.
Conner Fromknecht