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Build # 3122

Build Type

push

travis-ci

Committed by ehebert

Commit Message

PERF: Use specific methods for processing events.

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.

Run Details

5429 of 6216 relevant lines covered (87.34%)

1.75 hits per line