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Improve price performance for 1000+ asset universes. #2108
Improve performance for algorithms which consider and/or hold positions for 1000+ assets, especially liquid assets.
PERF: Optimize price for liquid assets.
Instead of calling
This change optimizes for the case of a tradeable universe which is predominately
EDIT: (The PR originally had a change to which column is used for the minute bar reader's
@ehebert took a pass here. I think "use price instead of volume" change is trickier than expected, so I'd probably recommend splitting it out into a separate PR. For the "don't seek if we don't have to" change, it looks correct to me, but I think we could simplify the logic here quite a bit.
I agree, I'll remove that commit from this PR.