mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-04 04:08:28 +08:00
Eddie Hebert
a3235bb1a5
Instead of creating a new ndict for each position on every event, we change the values in the object that held the previous position. The creation of new objects on each event was incurring too much overhead. Changes the position type returned by performance module. For improved speed, changes from ndict to a simple Python object, since the cost of setting ndict values is too expensive for the number of times that positions are returned. Also, changes the containing type of the positions to be dictionary with the __missing__ overloaded, instead of the ndict that had that behavior, to reduce the penalty of using ndicts.
88 lines
2.0 KiB
Python
88 lines
2.0 KiB
Python
#
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# Copyright 2012 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from utils.protocol_utils import Enum
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# Datasource type should completely determine the other fields of a
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# message with its type.
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DATASOURCE_TYPE = Enum(
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'AS_TRADED_EQUITY',
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'MERGER',
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'SPLIT',
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'DIVIDEND',
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'TRADE',
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'EMPTY',
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'DONE'
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)
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class Event(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__ = initial_values
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def __getitem__(self, name):
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return getattr(self, name)
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def __setitem__(self, name, value):
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setattr(self, name, value)
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def __delitem__(self, name):
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delattr(self, name)
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def keys(self):
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return self.__dict__.keys()
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def __eq__(self, other):
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return self.__dict__ == other.__dict__
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def __contains__(self, name):
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return name in self.__dict__
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def __repr__(self):
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return "Event({0})".format(self.__dict__)
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class Portfolio(object):
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def __init__(self, initial_values=None):
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if initial_values:
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self.__dict__ = initial_values
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def __repr__(self):
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return "Portfolio({0})".format(self.__dict__)
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class Position(object):
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def __init__(self, sid):
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self.sid = sid
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self.amount = 0
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self.cost_basis = 0.0 # per share
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self.last_sale_price = 0.0
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def __repr__(self):
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return "Position({0})".format(self.__dict__)
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class Positions(dict):
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def __missing__(self, key):
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pos = Position(key)
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self[key] = pos
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return pos
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