quantopian / zipline

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LAST BUILD ON BRANCH use-memory-views-for-risk-calc

branch: use-memory-views-for-risk-calc

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Build # 3036

Build Type

push

travis-ci

Committed by ehebert

Commit Message

PERF: Reduce memory usage during risk metric calculations.

Instead of passing a pd.Series to calculations, use a memory view of the
underlying numpy array which is sliced to the exact dt, to prevent
calculation like beta creating some temporary copies of the Series.

The creation of the temporary Series was consuming more memory than
needed, with the index being the high penalty.

Run Details

9 of 9 new or added lines in 1 file covered. (100.0%)

5428 of 6199 relevant lines covered (87.56%)

1.75 hits per line