This commit modifies the DataFrameSource and DataPanelSource to accept only Int64Indexes on the incoming data and moves the burden of mapping user identifiers to TradingAlgorithm.run().
The identifier cache's usage was nearly identical to using lookup_generic, so this commit removes identifier-keyed caching and modifies anything that uses it.
Move the responsibility of wrapping the main simulation loop in the
ZiplineAPI context from the algorithm modules generator setup to the
main trade simulation loop, so that different methods of invoking loop
do not need to duplicate how the context is set.
To make it easier for internal implementation of handle_data to
transition off of calling the ZiplineAPI every bar, to only invoking the
context once per simulation.
Instead of using the pandas.Series datetime index for every single
vector, get the index at the beginning of the update loop based on the
dt and then use that index to set the values.
Also, since the dt lookup is no longer needed, store the values as numpy
arrays, which are more lightweight.
Locally, this patch cuts out about 60% of the time spent in the update
method.
- AssetFinder no longer accepts an unused trading_calendar.
- AssetFinder correctly accepts a DataFrame as input.
- Tests for AssetFinder no longer rely on a global trading environment.
Use explicit references to the performance tracker instead of the proxy
lookup.
Mainly a putative change, which surfaced when reasoning about places
where the position tracker and period need access to the last sale
price.
This is to fix the issue where 'GOOG_L's metadata lists its symbol as 'GOOG'. To resolve this, the 'file_name' is used as the canonical symbol, if it is given.
np.allclose creates a vector of size 1 if passed a scalar, which showed
up as a bottleneck in algorithms with a large number of
order_target_percent calls.
In d01e718373, we made a change for
compatibility with a change introduced in pip 7.0.0. Then the pip
maintainers went and reverted the change in pip 7.0.2, thereby
breaking our requirements file for the second time in ten days. This
change reverts the prior change so that we are once again compatible
with the current version of pip.
Also, to make it easier for people to avoid pip compatibility issues,
we're now specifying pip>=7.0.3 in etc/requirements.txt.
jfkirk