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.
76 lines
3.0 KiB
Python
76 lines
3.0 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 QCAlgorithm
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.UniverseSelection import *
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from datetime import timedelta
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### <summary>
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### This algorithm shows some of the various helper methods available when defining universes
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="universes" />
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### <meta name="tag" content="coarse universes" />
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class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
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def Initialize(self):
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# subscriptions added via universe selection will have this resolution
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self.UniverseSettings.Resolution = Resolution.Hour
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# force securities to remain in the universe for a minimm of 30 minutes
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self.UniverseSettings.MinimumTimeInUniverse = timedelta(minutes=30)
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self.SetStartDate(2013,10,7) # Set Start Date
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self.SetEndDate(2013,10,11) # Set End Date
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self.SetCash(100000) # Set Strategy Cash
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# add universe for the top 50 stocks by dollar volume
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self.AddUniverse(self.Universe.DollarVolume.Top(50))
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# add universe for the bottom 50 stocks by dollar volume
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self.AddUniverse(self.Universe.DollarVolume.Bottom(50))
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# add universe for the 90th dollar volume percentile
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self.AddUniverse(self.Universe.DollarVolume.Percentile(90.0))
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# add universe for stocks between the 70th and 80th dollar volume percentile
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self.AddUniverse(self.Universe.DollarVolume.Percentile(70.0, 80.0))
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self.changes = None
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def OnData(self, data):
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if self.changes is None: return
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# liquidate securities that fell out of our universe
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for security in self.changes.RemovedSecurities:
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if security.Invested:
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self.Liquidate(security.Symbol)
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# invest in securities just added to our universe
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for security in self.changes.AddedSecurities:
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if not security.Invested:
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self.MarketOrder(security.Symbol, 10)
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self.changes = None
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# this event fires whenever we have changes to our universe
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def OnSecuritiesChanged(self, changes):
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self.changes = changes |