- `SecurityIdentifier` will calculate `StrikePrice` just once. Replacing
`!=` for a direct call to `Equals()` preventing unnecessary checks.
- Slightly improving Linq queries at `OptionFilterUniverse`
- Replace `OpenReader().CopyTo` for `Extract(stream)` avoids copying the
data twice.
- Replace `DateTime.Now` for `DateTime.UtcNow`
- Adding `LazyToUpper()` implementation, that will avoid the call to
`ToUpper` if the string is already upper.
- Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone`
- `TotalPortfolioValue` will iterate over all securities once
- Adding new `SecurityIdentifier` cache, significant impact for
algorithms using coarse/fine data
- `FactorFile` will keep an ordered reversed list with the dates.
Calling `Reverse()` on the `SortedList` is expensive.
- `MapFiles` will keep first and last date, so we don't need to call
`First()` and `Last()` multiple times.
- `Liquidate` will go through all the algorithms securities only if
necessary
- `TradeBar` parsing will not call `new T` for pure `TradeBar` which is
expensive
- Removing `Lazy` hash code and security type for the
`SecurityIdentifier`, replacing for direct initialization. Accessing the
`Lazy` value adds an overhead.
- Replacing `Enum` to string for hardcoded switch statement. `Enum.ToString` is expensive.
- `DataManager` will be lazy for counting the subscriptions for
determining if its above the limit
- Adding `AlgorithmSecurityValuesProvider.GetAllValues()`, removes the
need to fetch all the security keys twice.
- During universe selection, will not try to re add already added symbol
- `Composer` will load `QuantConnect` assemblies and keep the `Types`
which is much faster than using previous wway of getting types that uses
reflexion.
- Adding static `MapFileProvider` improving calls to
`QuantConnect.commo.Symbol.Create` or `Addxxx` which created a new
instance every time
- `Engine.StackExceptionInterpreter` will be lazy initialized, since it
takes some time because it goes through all assemblies
- Moving `MarketHoursDataBase` initialization earlier and in a `Task`
since it takes some time.
- Using `Aggregate(lambda)` vs `Sum(lambda)` since the later is slower
due to performing an extra `Select`
- For `QCAlgorithm.Framework.OnFrameworkData()` will avoid calling
`ToArray()` on empty `Enumerables` due to its cost * the number of
calls. If the `Enumerable` is the empty instance, which is static,
will create a new empty array and return it instead.
- Replacing `SecurityIdentifier` `SecurityType` and `GetHashCode`
implementations for `Lazy` versions, that are performed just once, since
these values do not change and are used multiple times.
- For the different `DataDictionary<T>` implementations adding `this[
Symbol] get; set` since existing overload `this [string]` produces an
extra round operations `Symbol->string->Symbol` with a significant
impact.
- Adding `PortfolioTargetCollection.AddRange()` overload using an array
to avoid unnecessary convertions.
The composer takes forever and when iterating on unit tests quickly
becomes a drag. This allows a unit test to provide its own implementation
so it doesn't need to do the work
With this update there is a 3x speedup in SecurityIdentifier.TryParse.
This method is heavily used in coarse universe selection, when parsing coarse data files.
Martin Molinero