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Ran 14 Feb 2018 02:51AM UTC

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Committed 14 Feb 2018 02:17AM UTC coverage: 87.502% (+0.4%) from 87.15%

Job # NUMPY_VERSION=1.11.1 SCIPY_VERSION=0.17.1

Build Type

push

travis-ci

Committed by

web-flow

Commit Message

Improve price performance for 1000+ asset universes. (#2108)

PERF: Optimize price for liquid assets.

When using `price`, the call to `last_traded_dt` for every value retrieved
became a noticeable bottleneck in algorithms which used over 1000 assets.

Instead of calling `last_traded_dt` before every retrieval of a `close` for the
`price` field, assume that `close` will retrieve a non-empty value, and then
forward fill if it is empty.

This change optimizes for the case of a tradeable universe which is predominately
composed of liquid assets.

Run Details

13520 of 15451 relevant lines covered (87.5%)

0.88 hits per line

quantopian / zipline / 9480 / 1
88%
master: 88%

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Source Files on job 9480.1 (NUMPY_VERSION=1.11.1 SCIPY_VERSION=0.17.1)

quantopian / zipline / 9480 / 1 88% master: 88%

README BADGES x

Markdown

Textile

RDoc

HTML

Rst

Source Files on job 9480.1 (NUMPY_VERSION=1.11.1 SCIPY_VERSION=0.17.1)

quantopian / zipline / 9480 / 1
88%
master: 88%

README BADGES
x