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.
112 lines
5.2 KiB
Python
112 lines
5.2 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Orders import *
|
|
from QuantConnect.Orders.TimeInForces import *
|
|
from datetime import datetime
|
|
|
|
### <summary>
|
|
### Demonstration algorithm of time in force order settings.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
class TimeInForceAlgorithm(QCAlgorithm):
|
|
|
|
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2013,10,7)
|
|
self.SetEndDate(2013,10,11)
|
|
self.SetCash(100000)
|
|
|
|
# The default time in force setting for all orders is GoodTilCancelled (GTC),
|
|
# uncomment this line to set a different time in force.
|
|
# We currently only support GTC and DAY.
|
|
# self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
|
|
|
|
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
|
|
|
|
self.gtcOrderTicket1 = None
|
|
self.gtcOrderTicket2 = None
|
|
self.dayOrderTicket1 = None
|
|
self.dayOrderTicket2 = None
|
|
self.gtdOrderTicket1 = None
|
|
self.gtdOrderTicket2 = None
|
|
self.expectedOrderStatuses = {}
|
|
|
|
# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
# Arguments:
|
|
# data: Slice object keyed by symbol containing the stock data
|
|
def OnData(self, data):
|
|
|
|
if self.gtcOrderTicket1 is None:
|
|
# These GTC orders will never expire and will not be canceled automatically.
|
|
|
|
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
|
|
|
|
# this order will not be filled before the end of the backtest
|
|
self.gtcOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
|
|
self.expectedOrderStatuses[self.gtcOrderTicket1.OrderId] = OrderStatus.Submitted
|
|
|
|
# this order will be filled before the end of the backtest
|
|
self.gtcOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
|
|
self.expectedOrderStatuses[self.gtcOrderTicket2.OrderId] = OrderStatus.Filled
|
|
|
|
if self.dayOrderTicket1 is None:
|
|
# These DAY orders will expire at market close,
|
|
# if not filled by then they will be canceled automatically.
|
|
|
|
self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
|
|
|
|
# this order will not be filled before market close and will be canceled
|
|
self.dayOrderTicket1 = self.LimitOrder(self.symbol, 10, 150)
|
|
self.expectedOrderStatuses[self.dayOrderTicket1.OrderId] = OrderStatus.Canceled
|
|
|
|
# this order will be filled before market close
|
|
self.dayOrderTicket2 = self.LimitOrder(self.symbol, 10, 180)
|
|
self.expectedOrderStatuses[self.dayOrderTicket2.OrderId] = OrderStatus.Filled
|
|
|
|
if self.gtdOrderTicket1 is None:
|
|
# These GTD orders will expire on October 10th at market close,
|
|
# if not filled by then they will be canceled automatically.
|
|
|
|
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilDate(datetime(2013, 10, 10))
|
|
|
|
# this order will not be filled before expiry and will be canceled
|
|
self.gtdOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
|
|
self.expectedOrderStatuses[self.gtdOrderTicket1.OrderId] = OrderStatus.Canceled
|
|
|
|
# this order will be filled before expiry
|
|
self.gtdOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
|
|
self.expectedOrderStatuses[self.gtdOrderTicket2.OrderId] = OrderStatus.Filled
|
|
|
|
# Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
|
|
# This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Debug(f"{self.Time} {orderEvent}")
|
|
|
|
# End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
|
|
def OnEndOfAlgorithm(self):
|
|
for orderId, expectedStatus in self.expectedOrderStatuses.items():
|
|
order = self.Transactions.GetOrderById(orderId)
|
|
if order.Status != expectedStatus:
|
|
raise Exception(f"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.Status}") |