Michael Handschuh
fdc866fda0
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.
88 lines
3.5 KiB
Python
88 lines
3.5 KiB
Python
# 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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from clr import AddReference
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AddReference("System.Core")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Orders import *
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from QuantConnect.Data.UniverseSelection import *
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from datetime import datetime
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### <summary>
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### Universe Selection regression algorithm simulates an edge case. In one week, Google listed two new symbols, delisted one of them and changed tickers.
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### </summary>
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### <meta name="tag" content="regression test" />
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class UniverseSelectionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014,3,22) #Set Start Date
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self.SetEndDate(2014,4,7) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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# security that exists with no mappings
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self.AddEquity("SPY", Resolution.Daily)
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# security that doesn't exist until half way in backtest (comes in as GOOCV)
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self.AddEquity("GOOG", Resolution.Daily)
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self.UniverseSettings.Resolution = Resolution.Daily
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self.AddUniverse(self.CoarseSelectionFunction)
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self.delistedSymbols = []
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self.changes = None
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def CoarseSelectionFunction(self, coarse):
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return [ c.Symbol for c in coarse if c.Symbol.Value == "GOOG" or c.Symbol.Value == "GOOCV" or c.Symbol.Value == "GOOAV" or c.Symbol.Value == "GOOGL" ]
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def OnData(self, data):
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if self.Transactions.OrdersCount == 0:
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self.MarketOrder("SPY", 100)
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for kvp in data.Delistings:
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self.delistedSymbols.append(kvp.Key)
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if self.changes is None:
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return
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if not all(data.Bars.ContainsKey(x.Symbol) for x in self.changes.AddedSecurities):
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return
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for security in self.changes.AddedSecurities:
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self.Log("{0}: Added Security: {1}".format(self.Time, security.Symbol))
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self.MarketOnOpenOrder(security.Symbol, 100)
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for security in self.changes.RemovedSecurities:
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self.Log("{0}: Removed Security: {1}".format(self.Time, security.Symbol))
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if security.Symbol not in self.delistedSymbols:
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self.Log("Not in delisted: {0}:".format(security.Symbol))
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self.MarketOnOpenOrder(security.Symbol, -100)
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self.changes = None
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def OnSecuritiesChanged(self, changes):
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self.changes = changes
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Submitted:
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self.Log("{0}: Submitted: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId)))
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if orderEvent.Status == OrderStatus.Filled:
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self.Log("{0}: Filled: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))) |