Skip to content

⚡️ Speed up method AddScaledTradeActionImpl._scaling_level_for_date by 326% #467

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
wants to merge 1 commit into
base: master
Choose a base branch
from
Open

⚡️ Speed up method AddScaledTradeActionImpl._scaling_level_for_date by 326% #467

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
14 changes: 10 additions & 4 deletions gs_quant/backtests/generic_engine.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -137,8 +137,12 @@ def apply_action(self,
class AddScaledTradeActionImpl(OrderBasedActionImpl):
def __init__(self, action: AddScaledTradeAction):
super().__init__(action)
self._scaling_level_signal = interpolate_signal(self.action.scaling_level) \
if isinstance(self.action.scaling_level, dict) else None
if isinstance(self.action.scaling_level, dict):
self._scaling_level_signal = interpolate_signal(self.action.scaling_level)
self._scaling_level_signal_values = self._scaling_level_signal.values
self._scaling_level_signal_index_map = {date: idx for idx, date in enumerate(self._scaling_level_signal.index)}
else:
self._scaling_level_signal = None

@staticmethod
def __portfolio_scaling_for_available_cash(portfolio, available_cash, cur_day, unscaled_prices_by_day,
Expand Down Expand Up @@ -248,9 +252,11 @@ def _nav_scale_orders(self, orders, price_measure, trigger_infos):
orders[day].scale(scaling_factors_by_day[day])

def _scaling_level_for_date(self, d: dt.date) -> float:
# Avoid pandas __contains__ and __getitem__ in hotpath, use a cached index mapping
if self._scaling_level_signal is not None:
if d in self._scaling_level_signal:
return self._scaling_level_signal[d]
idx = self._scaling_level_signal_index_map.get(d)
if idx is not None:
return self._scaling_level_signal_values[idx]
return 0
else:
return self.action.scaling_level
Expand Down