Speed up multi-symbol PricesYahoo instantiation

[maread99]

Instantiation of mp.PricesYahoo(tickers) becomes very slow with a high number of tickers, with the performance impairment possibly growing disproportionately with ticker count, and possibly some symbols having a greater affect that others.

Investigation

Profiling PricesYahoo.__init__ with the yahooquery network calls mocked out isolated the cost to calendar handling rather than networking:

• PricesYahoo._set_daily_bi_limit sets the daily base limit to the global earliest first-trade date across all symbols. A single old symbol (e.g. KO, first trade 1962) drags this limit — and therefore every calendar built in PricesBase._set_calendars — back ~60 years.
• The dominant hotspot (≈3s for a 1962→today span, called once during instantiation) was composite_schedule in utils/calendar_utils.py. It reduced open/close times across calendars by constructing pd.DataFrame([sch["open"] for sch in schedules]).min(), which builds a frame with one column per session and reduces over those (tens of thousands of) columns. Measured in isolation: 3.22s vs 0.006s for the equivalent per-row reduction — a ~500× difference, identical result.
• CompositeCalendar.first_session / last_session read self.sessions[0]/[-1], forcing construction of the entire composite schedule just to obtain the bounds (which __init__ queries).
• Separately, mixing an old symbol with a symbol on a younger-bounded calendar (e.g. XTKS, bound_min 1997) made instantiation raise, because the global daily limit was passed as start to a calendar that cannot be evaluated that far back.

Changes

1. composite_schedule — reduce open/close across calendars with pd.concat(..., axis=1).min(axis=1) / .max(axis=1) instead of the transposed per-session-column reduction. Verified to produce identical schedules (full-DataFrame comparison across several calendar combinations, including XTKS/XKRX).
2. CompositeCalendar.first_session / last_session — evaluate directly as max/min of the underlying calendars' bounds, avoiding a full composite-schedule build when only the bounds are needed.
3. PricesBase._set_calendars — when the requested start (driven by the daily limit) predates a calendar's bound_min, fall back to the calendar's earliest supported start instead of raising. The pre-existing CalendarTooShortWarning already flags any shortfall against the limit.

Measured impact

Instantiation time (yahooquery mocked, fresh process, sample mixing old US/EU symbols with a Tokyo symbol):

symbols	before	after
6	2.80s	0.71s
8	4.50s	1.41s
10	crash (ValueError on XTKS)	2.03s

All changes are behaviour-preserving for the schedule/bounds; the third change only affects cases that previously raised.

Test plan

• pytest tests/test_calendar_utils.py (full suite needs network for answer-CSV fixtures; run in CI)
• pytest tests/test_yahoo.py tests/test_base.py
• Offline equivalence check: new composite_schedule and CompositeCalendar bounds match the original implementation across multiple calendar combinations
• ruff check / ruff format --check pass on changed files

https://claude.ai/code/session_018CDCHDRV5ikwiB6SSHYEcP

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Generated by Claude Code

[maread99]

Claude completely missed the real problem (addressed in #569). What was offered here seems something of a nonsense.