Martin Molinero
c39638668c
- `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
63 lines
2.8 KiB
C#
63 lines
2.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
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{
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/// <summary>
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/// Provides a simple abstraction that returns a security's current price and volatility.
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/// This facilitates testing by removing the dependency of IAlgorithm on the analysis components
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/// </summary>
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public interface ISecurityValuesProvider
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{
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/// <summary>
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/// Gets the current values for the specified symbol (price/volatility)
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/// </summary>
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/// <param name="symbol">The symbol to get price/volatility for</param>
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/// <returns>The insight target values for the specified symbol</returns>
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SecurityValues GetValues(Symbol symbol);
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/// <summary>
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/// Gets the current values for all the algorithm securities (price/volatility)
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/// </summary>
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/// <returns>The insight target values for all the algorithm securities</returns>
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ReadOnlySecurityValuesCollection GetAllValues();
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}
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/// <summary>
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/// Provides extension methods for <see cref="ISecurityValuesProvider"/>
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/// </summary>
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public static class SecurityValuesProviderExtensions
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{
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/// <summary>
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/// Creates a new instance of <see cref="ReadOnlySecurityValuesCollection"/> to hold all <see cref="SecurityValues"/> for
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/// the specified symbol at the current instant in time
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/// </summary>
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/// <param name="securityValuesProvider">Security values provider fetches security values for each symbol</param>
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/// <param name="symbols">The symbols to get values for</param>
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/// <returns>A collection of</returns>
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public static ReadOnlySecurityValuesCollection GetValues(this ISecurityValuesProvider securityValuesProvider, ICollection<Symbol> symbols)
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{
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var values = new Dictionary<Symbol, SecurityValues>(symbols.Count);
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foreach (var symbol in symbols)
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{
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values[symbol] = securityValuesProvider.GetValues(symbol);
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}
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return new ReadOnlySecurityValuesCollection(values);
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}
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}
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} |