catalyst

mirror of https://github.com/wassname/catalyst.git synced 2026-07-03 11:08:27 +08:00

Files

T

Scott Sanderson 23ca58813a PERF: Speed up reading of adjustments.

For a pipeline doing simple computations on USEquityPricing data, we
were spending ~60% of `run_pipeline` loading adjustments.  Almost all of
that time was spent in calls to `DatetimeIndex.get_loc` to find the
indices of adjustment `eff_date`s.

This optimizes the eff_date lookups by pre-populating a cache of
seconds-since-epoch timestamps that we expect to see, and falling back
to `np.searchsorted` on cache misses.

In testing, this reduces the time to compute a 1-year pipeline with 30
and 90 day moving averages from 3.1 seconds to 0.9 seconds.

2015-10-09 17:48:07 -04:00

__init__.py

ENH: Adds futures trading and asset management logic to TradingAlgorithm and performance classes

2015-06-11 11:35:49 -04:00

_adjustments.pyx

PERF: Speed up reading of adjustments.

2015-10-09 17:48:07 -04:00

_equities.pyx

MAINT: Move equity data formats out of loader.

2015-10-09 17:20:19 -04:00

benchmarks.py

MAINT: Read text in Python 3 instead of bytes when fetching public data.