quantopian / zipline / 3522

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travis-ci

PERF: Reduce time spent indexing in risk cumulative update.

Instead of using the pandas.Series datetime index for every single
vector, get the index at the beginning of the update loop based on the
dt and then use that index to set the values.

Also, since the dt lookup is no longer needed, store the values as numpy
arrays, which are more lightweight.

Locally, this patch cuts out about 60% of the time spent in the update
method.

60 of 60 new or added lines in 3 files covered. (100.0%)

5899 of 6738 relevant lines covered (87.55%)

1.75 hits per line