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.
138 lines
6.8 KiB
Python
138 lines
6.8 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("System.Collections")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from System.Linq import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Orders import *
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from QuantConnect.Securities import *
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from QuantConnect.Util import *
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import decimal as d
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from math import copysign
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from datetime import datetime
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### <summary>
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### Provides a regression baseline focused on updating orders
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### </summary>
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### <meta name="tag" content="regression test" />
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class UpdateOrderRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2013,1,1) #Set Start Date
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self.SetEndDate(2015,1,1) #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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self.security = self.AddEquity("SPY", Resolution.Daily)
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self.last_month = -1
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self.quantity = 100
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self.delta_quantity = 10
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self.stop_percentage = 0.025
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self.stop_percentage_delta = 0.005
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self.limit_percentage = 0.025
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self.limit_percentage_delta = 0.005
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OrderTypeEnum = [OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.MarketOnOpen, OrderType.MarketOnClose]
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self.order_types_queue = CircularQueue[OrderType](OrderTypeEnum)
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self.order_types_queue.CircleCompleted += self.onCircleCompleted
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self.tickets = []
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def onCircleCompleted(self, sender, event):
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'''Flip our signs when we've gone through all the order types'''
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self.quantity *= -1
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
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if not data.ContainsKey("SPY"):
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return
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if self.Time.month != self.last_month:
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# we'll submit the next type of order from the queue
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orderType = self.order_types_queue.Dequeue()
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#Log("")
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self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(self.Time.strftime("%B"), orderType))
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#Log("")
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self.last_month = self.Time.month
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self.Log("ORDER TYPE:: {0}".format(orderType))
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isLong = self.quantity > 0
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stopPrice = d.Decimal(1 + self.stop_percentage)*data["SPY"].High if isLong else d.Decimal(1 - self.stop_percentage)*data["SPY"].Low
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limitPrice = d.Decimal(1 - self.limit_percentage)*stopPrice if isLong else d.Decimal(1 + self.limit_percentage)*stopPrice
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if orderType == OrderType.Limit:
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limitPrice = d.Decimal(1 + self.limit_percentage)*data["SPY"].High if not isLong else d.Decimal(1 - self.limit_percentage)*data["SPY"].Low
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request = SubmitOrderRequest(orderType, self.security.Symbol.SecurityType, "SPY", self.quantity, stopPrice, limitPrice, self.UtcTime, str(orderType))
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ticket = self.Transactions.AddOrder(request)
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self.tickets.append(ticket)
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elif len(self.tickets) > 0:
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ticket = self.tickets[-1]
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if self.Time.day > 8 and self.Time.day < 14:
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if len(ticket.UpdateRequests) == 0 and ticket.Status is not OrderStatus.Filled:
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self.Log("TICKET:: {0}".format(ticket))
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updateOrderFields = UpdateOrderFields()
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updateOrderFields.Quantity = ticket.Quantity + d.Decimal(copysign(self.delta_quantity, self.quantity))
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updateOrderFields.Tag = "Change quantity: {0}".format(self.Time)
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ticket.Update(updateOrderFields)
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elif self.Time.day > 13 and self.Time.day < 20:
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if len(ticket.UpdateRequests) == 1 and ticket.Status is not OrderStatus.Filled:
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self.Log("TICKET:: {0}".format(ticket))
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updateOrderFields = UpdateOrderFields()
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updateOrderFields.LimitPrice = self.security.Price*d.Decimal(1 - copysign(self.limit_percentage_delta, ticket.Quantity))
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updateOrderFields.StopPrice = self.security.Price*d.Decimal(1 + copysign(self.stop_percentage_delta, ticket.Quantity))
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updateOrderFields.Tag = "Change prices: {0}".format(self.Time)
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ticket.Update(updateOrderFields)
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else:
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if len(ticket.UpdateRequests) == 2 and ticket.Status is not OrderStatus.Filled:
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self.Log("TICKET:: {0}".format(ticket))
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ticket.Cancel("{0} and is still open!".format(self.Time))
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self.Log("CANCELLED:: {0}".format(ticket.CancelRequest))
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def OnOrderEvent(self, orderEvent):
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order = self.Transactions.GetOrderById(orderEvent.OrderId)
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ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
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#order cancelations update CanceledTime
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if order.Status == OrderStatus.Canceled and order.CanceledTime != orderEvent.UtcTime:
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raise ValueError("Expected canceled order CanceledTime to equal canceled order event time.")
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#fills update LastFillTime
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if (order.Status == OrderStatus.Filled or order.Status == OrderStatus.PartiallyFilled) and order.LastFillTime != orderEvent.UtcTime:
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raise ValueError("Expected filled order LastFillTime to equal fill order event time.")
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# check the ticket to see if the update was successfully processed
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if len([ur for ur in ticket.UpdateRequests if ur.Response is not None and ur.Response.IsSuccess]) > 0 and order.CreatedTime != self.UtcTime and order.LastUpdateTime is None:
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raise ValueError("Expected updated order LastUpdateTime to equal submitted update order event time")
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if orderEvent.Status == OrderStatus.Filled:
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self.Log("FILLED:: {0} FILL PRICE:: {1}".format(self.Transactions.GetOrderById(orderEvent.OrderId), orderEvent.FillPrice))
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else:
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self.Log(orderEvent.ToString())
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self.Log("TICKET:: {0}".format(self.tickets[-1])) |