enhance the performance

Author: wegamekinglc

PyFin/Analysis/CrossSectionValueHolders.pyx

@@ -13,6 +13,7 @@ cimport cython
 from PyFin.Analysis.SeriesValues cimport SeriesValues
 from PyFin.Analysis.SecurityValueHolders cimport SecurityValueHolder
 from PyFin.Analysis.SecurityValueHolders cimport SecurityLatestValueHolder
+from PyFin.Math.MathConstants cimport NAN
 
 
 cdef class CrossSectionValueHolder(SecurityValueHolder):
@@ -107,7 +108,7 @@ cdef class CSAverageSecurityValueHolder(CrossSectionValueHolder):
         else:
             raw_values = self._inner.value
             mean_value = np.array([raw_values.mean()] * len(raw_values))
-            mean_value[np.isnan(raw_values.values)] = np.nan
+            mean_value[np.isnan(raw_values.values)] = NAN
             self.cached = SeriesValues(mean_value, raw_values.name_mapping)
             self.updated = 1
             return self.cached
@@ -122,7 +123,7 @@ cdef class CSAverageSecurityValueHolder(CrossSectionValueHolder):
         else:
             raw_values = self._inner.value
             mean_value = np.array([raw_values.mean()] * len(raw_values))
-            mean_value[np.isnan(raw_values.values)] = np.nan
+            mean_value[np.isnan(raw_values.values)] = NAN
             self.cached = SeriesValues(mean_value, raw_values.name_mapping)
             self.updated = 1
             return self.cached[name]
@@ -134,7 +135,7 @@ cdef class CSAverageSecurityValueHolder(CrossSectionValueHolder):
 
         raw_values = self._inner.value_by_names(names)
         mean_value = np.array([raw_values.mean()] * len(raw_values))
-        mean_value[np.isnan(raw_values.values)] = np.nan
+        mean_value[np.isnan(raw_values.values)] = NAN
         raw_values = SeriesValues(mean_value, raw_values.name_mapping)
         return raw_values[names]
 

PyFin/Analysis/SecurityValueHolders.pyx

@@ -18,6 +18,7 @@ from PyFin.Analysis.SeriesValues cimport SeriesValues
 from PyFin.Utilities.Tools import to_dict
 from PyFin.Math.Accumulators.StatefulAccumulators cimport Shift
 from PyFin.Math.Accumulators.IAccumulators cimport Latest
+from PyFin.Math.MathConstants cimport NAN
 
 if sys.version_info > (3, 0, 0):
     div_attr = "truediv"
@@ -115,7 +116,7 @@ cdef class SecurityValueHolder(object):
                     holder = self._innerHolders[name]
                     values[i] = holder.result()
                 except ArithmeticError:
-                    values[i] = np.nan
+                    values[i] = NAN
             self.cached = SeriesValues(values, index=keys)
             self.updated = 1
             return self.cached
@@ -357,7 +358,7 @@ cdef class FilteredSecurityValueHolder(SecurityValueHolder):
             if filter_value:
                 return self._computer.value_by_name(name)
             else:
-                return np.nan
+                return NAN
 
     cpdef value_by_names(self, list names):
 
@@ -369,7 +370,7 @@ cdef class FilteredSecurityValueHolder(SecurityValueHolder):
         else:
             filter_value = self._filter.value_by_names(names)
             orig_values = self._computer.value_by_names(names)
-            return SeriesValues(np.where(filter_value.values, orig_values.values, np.nan), filter_value.name_mapping)
+            return SeriesValues(np.where(filter_value.values, orig_values.values, NAN), filter_value.name_mapping)
 
     cpdef push(self, dict data):
         self._computer.push(data)
@@ -454,7 +455,7 @@ cdef class SecurityConstArrayValueHolder(SecurityValueHolder):
         if name in self._values:
             return self._values[name]
         else:
-            return np.nan
+            return NAN
 
     cpdef value_by_names(self, list names):
         return self._values[names]

PyFin/Analysis/SeriesValues.pyx

@@ -8,6 +8,9 @@ Created on 2017-2-7
 cimport cython
 import numpy as np
 cimport numpy as np
+from numpy import nansum
+from numpy import nanmean
+from PyFin.Math.MathConstants cimport NAN
 
 
 cdef class SeriesValues(object):
@@ -45,7 +48,7 @@ cdef class SeriesValues(object):
 
             values = self.values
             name_mapping = self.name_mapping
-            data = np.array([values[name_mapping[n]] if n in name_mapping else np.nan for n in name])
+            data = np.array([values[name_mapping[n]] if n in name_mapping else NAN for n in name])
             return SeriesValues(data, dict(zip(name, range(len(name)))))
 
     @cython.boundscheck(False)
@@ -105,7 +108,7 @@ cdef class SeriesValues(object):
             values = self.values / right
             name_mapping = self.name_mapping
 
-        values[~np.isfinite(values)] = np.nan
+        values[~np.isfinite(values)] = NAN
         return SeriesValues(values, name_mapping)
 
     @cython.cdivision(True)
@@ -123,7 +126,7 @@ cdef class SeriesValues(object):
             values = self.values / right
             name_mapping = self.name_mapping
 
-        values[~np.isfinite(values)] = np.nan
+        values[~np.isfinite(values)] = NAN
         return SeriesValues(values, name_mapping)
 
     def __and__(self, right):
@@ -186,7 +189,7 @@ cdef class SeriesValues(object):
     @cython.wraparound(False)
     cpdef SeriesValues rank(self):
         cdef np.ndarray[double, ndim=1] data = self.values.argsort().argsort().astype(float)
-        data[np.isnan(self.values)] = np.nan
+        data[np.isnan(self.values)] = NAN
         return SeriesValues(data + 1., self.name_mapping)
 
     cpdef SeriesValues zscore(self):
@@ -195,10 +198,10 @@ cdef class SeriesValues(object):
 
     cpdef SeriesValues unit(self):
         cdef np.ndarray[double, ndim=1] data = self.values
-        return SeriesValues(data / np.nansum(np.abs(data)), self.name_mapping)
+        return SeriesValues(data / nansum(np.abs(data)), self.name_mapping)
 
     cpdef double mean(self):
-        return np.nanmean(self.values)
+        return nanmean(self.values)
 
     cpdef double dot(self, SeriesValues right):
         return np.dot(self.values, right.values)

PyFin/Analysis/TechnicalAnalysis/StatefulTechnicalAnalysers.pyx

@@ -30,6 +30,7 @@ from PyFin.Math.Accumulators.StatefulAccumulators cimport MovingNegativeDifferen
 from PyFin.Math.Accumulators.StatefulAccumulators cimport MovingRSI
 from PyFin.Math.Accumulators.StatefulAccumulators cimport MovingHistoricalWindow
 from PyFin.Math.Accumulators.StatefulAccumulators cimport MovingLogReturn
+from PyFin.Math.MathConstants cimport NAN
 
 
 cdef class SecuritySingleValueHolder(SecurityValueHolder):
@@ -433,7 +434,7 @@ cdef class SecurityMovingHistoricalWindow(SecuritySingleValueHolder):
                 try:
                     res[name] = self._innerHolders[name].value[item]
                 except ArithmeticError:
-                    res[name] = np.nan
+                    res[name] = NAN
             return SeriesValues(res)
         else:
             raise ValueError("{0} is not recognized as valid int or string".format(item))
@@ -459,7 +460,7 @@ cdef class SecurityMovingHistoricalWindow(SecuritySingleValueHolder):
                     holder = self._innerHolders[name]
                     values[i] = holder.result()
                 except ArithmeticError:
-                    values[i] = np.nan
+                    values[i] = NAN
             self.cached = SeriesValues(np.array(values), index=dict(zip(keys, range(n))))
             self.updated = 1
             return self.cached

PyFin/Math/Accumulators/IAccumulators.pyx

@@ -21,6 +21,7 @@ import numpy as np
 cimport numpy as np
 import pandas as pd
 from PyFin.Utilities.Asserts cimport pyFinAssert
+from PyFin.Math.MathConstants cimport NAN
 
 
 cdef class IAccumulator(object):
@@ -101,7 +102,7 @@ cdef class Accumulator(IAccumulator):
                 try:
                     return tuple(data[p] for p in self._dependency)
                 except KeyError:
-                    return np.nan
+                    return NAN
         else:
             comp = self._dependency
             comp.push(data)
@@ -613,7 +614,7 @@ cdef class StatelessSingleValueAccumulator(Accumulator):
             try:
                 value = data[self._dependency]
             except KeyError:
-                value = np.nan
+                value = NAN
         else:
             comp = self._dependency
             comp.push(data)
@@ -634,7 +635,7 @@ cdef class StatelessSingleValueAccumulator(Accumulator):
 
 cdef class Latest(StatelessSingleValueAccumulator):
 
-    def __init__(self, dependency='x', current_value=np.nan):
+    def __init__(self, dependency='x', current_value=NAN):
         super(Latest, self).__init__(dependency)
         self._window = 0
         self._returnSize = 1
@@ -760,7 +761,7 @@ cdef class IIF(Accumulator):
 
 cdef class BasicFunction(Accumulator):
 
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(BasicFunction, self).__init__(dependency)
         if self._isValueHolderContained:
             self._window = self._dependency.window
@@ -788,7 +789,7 @@ cdef class BasicFunction(Accumulator):
 
 
 cdef class Exp(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Exp, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -807,7 +808,7 @@ cdef class Exp(BasicFunction):
 
 
 cdef class Log(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Log, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -826,7 +827,7 @@ cdef class Log(BasicFunction):
 
 
 cdef class Sqrt(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Sqrt, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -847,7 +848,7 @@ cdef class Sqrt(BasicFunction):
 # due to the fact that pow function is much slower than ** operator
 cdef class Pow(BasicFunction):
 
-    def __init__(self, dependency, n, orig_value=np.nan):
+    def __init__(self, dependency, n, orig_value=NAN):
         super(Pow, self).__init__(dependency, orig_value)
         self._n = n
 
@@ -867,7 +868,7 @@ cdef class Pow(BasicFunction):
 
 
 cdef class Abs(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Abs, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -895,7 +896,7 @@ cdef double sign(double x) nogil:
 
 
 cdef class Sign(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Sign, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -914,7 +915,7 @@ cdef class Sign(BasicFunction):
 
 
 cdef class Acos(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Acos, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -933,7 +934,7 @@ cdef class Acos(BasicFunction):
 
 
 cdef class Acosh(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Acosh, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -952,7 +953,7 @@ cdef class Acosh(BasicFunction):
 
 
 cdef class Asin(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Asin, self).__init__(dependency, orig_value)
 
     cpdef object result(self):
@@ -971,7 +972,7 @@ cdef class Asin(BasicFunction):
 
 
 cdef class Asinh(BasicFunction):
-    def __init__(self, dependency, orig_value=np.nan):
+    def __init__(self, dependency, orig_value=NAN):
         super(Asinh, self).__init__(dependency, orig_value)
 
     cpdef object result(self):