Eddie Hebert e82fef41dd PERF: Speedup minute to session sampling. ...

The minute to session sampling reading was creating two DataFrame
objects, the first to hold the minute data, and then a second returned
by the `DataFrame.groupby` to sample down to sessions.

Instead use the arrays returned by the minute readers `load_raw_arrays`
and implement sampling logic which takes advantage that the minutes
being passed start with the first minute of the first session and end
with the last minute of the last session.

On my machine this takes the tests in `test/test_continuous_futures`
from ~4.0 to about ~0.1 seconds.

2016-10-24 09:59:22 -04:00

..

bundles

MAINT: Updates from Joe's PR feedback.

2016-09-07 20:42:19 -04:00

__init__.py

MAINT: Move equity data formats out of loader.

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

test_dispatch_bar_reader.py

MAINT: Add a reader which dispatches on asset type

2016-08-25 16:29:45 -04:00

test_minute_bars.py

MAINT: Adds option for minute bar writer to not write metadata

2016-09-21 11:31:54 -04:00

test_resample.py

PERF: Speedup minute to session sampling.

2016-10-24 09:59:22 -04:00

test_us_equity_pricing.py

TST: Fix get_last_traded_dt on bcolz daily reader.

2016-08-31 14:59:58 -04:00