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Reverting 'Merge pull request #2483 python-history-provider'

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We didn't experience the expected performance improvements. Locally under
unit test there was aboout an order of magnitude throughput increase, but
when run against the history benchmark, this new approach was 60% slower.
We're reverting this for now to perform further analysis and better
understand the performance profiling of the python history stack.
This commit is contained in:
Michael Handschuh
2018-09-18 18:37:23 -04:00
parent d27f377bf3
commit fdc866fda0
117 changed files with 243 additions and 1229 deletions
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Algorithm.Python/MeanVarianceOptimizationFrameworkAlgorithm.py
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@@ -13,12 +13,14 @@
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import QCAlgorithmFramework
from QuantConnect.Algorithm.Framework.Selection import *
from Alphas.HistoricalReturnsAlphaModel import HistoricalReturnsAlphaModel