Hi Antonis,
First of all, thank you for taking the time to go through and suggest the code alternatives. The reason the existing code is in days, as you rightfully pointed out, is that we were using daily data and thus, it was fine.
If, however, you are using minute-level data, then your code will be useful.
The same can be said for your comment on using 'get_indexer' instead of 'apply' as well. At Quantra, we tend to look at code as a tool to apply. If it can be simple, then it is better for someone to understand. Neverthless, your point still stands and could be an improvement as well.
We are glad that you are finding/mentioning ways to code in a manner to reduce computation time and appreciate your efforts.
Thanks.