MAINT: Pass asset instead of sid to dispatch reader. #2114
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So that the asset does not need to be re-retrieved from the asset finder, pass assets to the dispatch reader's `get_value`.
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Thanks @ehebert . This looks good overall. I don't see anything obviously blocking, though I think the state of the world for passing assets versus sids to the various readers is still very confusing. Luckily I think the places that expect sids will work with assets instead, so I don't think this would break anything.
| @@ -115,7 +115,7 @@ def get_rolls(self, root_symbol, start, end, offset): | |||
| session = sessions[-1] | |||
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| while session > start and curr is not None: | |||
| front = curr.contract.sid | |||
| front = curr.contract | |||
| back = rolls[0][0] | |||
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Looking at the uses of front and back, I notice that the parameter to BarReader.get_value and its various subclasses is still sid : int, but seems like some subclasses use it as an Asset or ContinuousFuture instance. Not easy to tell whether consumers of these contracts want the sid or the instance. The obvious cases do look to work with either.
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Related to that, any concerns that BarReader.get_value looks to expect sids generally, while AssetDispatchBarReader.get_value now expects Assets?
| @@ -96,7 +96,7 @@ def get_rolls(self, root_symbol, start, end, offset): | |||
| else: | |||
| first = front | |||
| first_contract = oc.sid_to_contract[first] | |||
| rolls = [((first_contract >> offset).contract.sid, None)] | |||
| rolls = [((first_contract >> offset).contract, None)] | |||
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Thinking about the change in return value of this function (get_rolls),
- Should we change the docstring for
rollsabove? - All the unit tests compare the return value to ints - should we change them or add comments?
- The call site in
VolumeRollFinder.get_contract_centerthinks it's still getting sids and callsretrieve_asseton them. - Should we rename
sidtoassetin the unpacking of rolls from the call sites in[ContinuousFutureMinuteBarReader|ContinuousFutureSessionBarReader].load_raw_arrayslike you did inhistory_loader.pybelow ?
| partitions.append((front_sid, | ||
| back_sid, | ||
| partitions.append((front_contract, | ||
| back_contract, |
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Can we remove the calls to retrieve_asset on the unpacked partition below?
So that the asset does not need to be re-retrieved from the asset finder, pass
assets to the dispatch reader's
get_value.Other Notes
This was noticed during an investigation into calling
get_spot_valueevery bar.There is a small performance benefit (<1% improvement in runtime for an algo that references 1000 assets every minute).
Regardless of the performance gain, making the dispatch reader's
get_valueexpect anAssettype cleans up the use of theBarReaderinterface.