The cache in data portal was added before the change to using a
CachedObject to wrap the window_blocks in the USEquityHistoryLoader.
Removing this extra layer saves some cycles.
Does not fix current memory investigaton (since only one sids/dts pair
per column was cached in `_equity_daily_reader_array_data` at a time),
but removing should make it more clear where needed references are being
held.
The minute history loader caching was incorrectly mimicking the daily
history loader caching.
Where caching the adjusted array on the last dt helps an access pattern
of repeated calling history windows on the same day (which has an end_dt
of the previous day), with minute windows the end dt is always moving
forward, so the cached values are seldom used. (Would only be used if
`history` was called with same parameters twice on the same simulation time.)
The intervals are returned as a set, so order is not guaranteed,
which becomes exposed when reading windows which span multiple years.
The deletion of values from the regular sized minute array assumes that
intervals can be reversed to delete the array from the back.
When the dts and length of cols are mismatched the writer behaves in
unintended ways. e.g. in a case where a consumer passed dts which had
minutes with no trades removed, but regular (market minute for day)
sized arrays for the data with `0`'s on minutes without trades, the non
trade minutes from cols are written to slots in the output where a trade
is intended.
Protect against this misuse by checking that all lengths are equal when
using the `write_cols` method.
Make a separate `_write_cols` method for use by both `write_cols` and
`write`, since the `write` method which takes a DataFrame has the
matched input length enforced by the DataFrame.
BUG: correctly create asset finder
MAINT: rename fixture
STY: fixes for flake8
STY: add space around assignment
MAINT: add var back to constructor
MAINT: remove unused import
MAINT: compare var with None directly
MAINT: fix merge errors
MAINT: remove record date - not needed.
MAINT: restructure dividends dataset.
MAINT: restructure dividends factors.
WIP: update dividends tests.
MAINT: correct the way to get the 'next' event frame.
Write arrays representing corresponding market opens and market closes,
which will eventually replace the `minute_index` field.
The market closes are being added for incoming work on another branch
which will use the market closes to generate a list of non-market
minutes to filter out when returning data from `unadjusted_window`.
Eddie Hebert