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catalyst/zipline
Scott Sanderson 74277490d5 BUG: Use arrays for week/month group calculations.
In pandas 0.18, the behavior of ``nth()`` changed so that Grouper no
longer can be easily used to recover group labels.

Instead of using the built-in grouper behavior, we use a groupby on two
arrays we build ourselves.  This recovers the original behavior, and is
about 2x faster as a bonus.
2016-09-20 17:12:07 -04:00
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