Yes, ARMA is quite slow and causes a timeout. I ran into this problem myself. Certainly we can increase the time limit for computations -- I'll let you know. One related trick is to increase the refresh_period of your batch_transform to recompute only every couple of days.
rpy2 is an interesting project. Integrating it would be quite straight forward so I think this is a very real possibility. One problem is that it might be a security nightmare but we'll take a closer look at that.
@Suminda: The batch_transform will get a 100x speed boost pretty soon so you can look forward to that. There are some other bottlenecks but we already made a lot of progress and starting to hit the limits of what's possible in some areas. Julia is an interesting language but still very experimental with almost none of the modules that make Python so powerful.
There are many ways to speed up python (cython, numba etc) but those mostly work if you have pretty tight loops. Zipline's bottlenecks are in other areas, however, so we can't just drop them in.
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