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.
110 lines
4.9 KiB
Python
110 lines
4.9 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")
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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.Orders import *
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from QuantConnect.Algorithm import QCAlgorithm
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from datetime import timedelta, datetime
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from decimal import Decimal
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from Execution.ImmediateExecutionModel import ImmediateExecutionModel
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from Risk.NullRiskManagementModel import NullRiskManagementModel
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from QuantConnect.Data.Custom import DailyFx
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### <summary>
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### This demonstration alpha reads the DailyFx calendar and provides insights based upon
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### the news' outlook for the root currency's(USD) associated pairs
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### </summary>
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class ForexCalendarAlgorithm(QCAlgorithmFramework):
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def Initialize(self):
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self.SetStartDate(2015, 7, 12)
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self.SetEndDate(2018, 7, 27)
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self.SetCash(100000)
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symbols = [Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURGBP", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURAUD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDCAD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("AUDJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("GBPJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("GBPUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("NZDUSD", SecurityType.Forex, Market.Oanda)]
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# Initializes the class that provides DailyFx News
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self.AddData(DailyFx, "DFX", Resolution.Minute, TimeZones.Utc)
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# Set Our Universe
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self.UniverseSettings.Resolution = Resolution.Minute
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self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
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# Set to use our FxCalendar Alpha Model
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self.SetAlpha(FxCalendarTrigger())
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# Default Models For Other Framework Settings
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel())
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class FxCalendarTrigger(AlphaModel):
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def __init__(self):
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self.Name = "FxCalendarTrigger"
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def Update(self, algorithm, data):
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insights = []
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period = TimeSpan.FromMinutes(5)
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magnitude = 0.0005
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# We will create our insights when we recieve news
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if data.ContainsKey("DFX"):
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calendar = data["DFX"]
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# Only act if this is important news.
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if calendar.Importance != FxDailyImportance.High: return insights
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if calendar.Meaning == 0: return insights
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# Create insights for all active currencies in our universe when country matches currency
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for symbol in algorithm.ActiveSecurities.Keys:
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# Only process Fx assets.
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if (symbol.SecurityType != SecurityType.Forex):
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continue
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pair = algorithm.Securities[symbol.Value]
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direction = InsightDirection.Flat
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if pair.BaseCurrencySymbol == calendar.Currency.upper():
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direction = InsightDirection.Up if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Down
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elif pair.QuoteCurrency.Symbol == calendar.Currency.upper():
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direction = InsightDirection.Down if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Up
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if (direction != InsightDirection.Flat):
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insights.append(Insight.Price(symbol, period, direction, magnitude))
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return insights
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def OnSecuritiesChanged(self, algorithm, changes):
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pass |