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Eddie Hebert
dba0a99a16
By having both the trade simulation main loop route events to "process" methods based on event type and the process methods also checking event type, there was some duplicated effort in doing that comparison many times. A particular case where this was noted in profiling was for the `process_event` function which was checking if the type was not a trade and returning early, when in a larger universe of stocks the value returned False 99% of the time. Instead provide separate process functions specific to each type, e.g. e.g. `process_trade` and `process_transaction` and route traffic to those functions in tradesimulation. For a universe of 160 stocks on both no-op algo and an algo that rebuys its universe every day, saw about a 10% increase locally. Also: - Add process_benchmark to blotter since internal subclass relies on logic on benchmark, this allows the internal process_trade to be a `pass`. - Add warning on unrecoginzed event types.