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.
89 lines
3.5 KiB
Python
89 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")
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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 QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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import decimal as d
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import base64
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### <summary>
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### In this algortihm we show how you can easily use the universe selection feature to fetch symbols
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### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
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### AddUniverse{T} requires a function that will return the symbols to be traded.
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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="custom universes" />
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class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,1,1)
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self.SetEndDate(2013,12,31)
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self.backtestSymbolsPerDay = {}
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self.current_universe = []
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self.UniverseSettings.Resolution = Resolution.Daily
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self.AddUniverse("my-dropbox-universe", self.selector)
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def selector(self, date):
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# handle live mode file format
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if self.LiveMode:
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# fetch the file from dropbox
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str = self.Download("https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1")
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# if we have a file for today, return symbols, else leave universe unchanged
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self.current_universe = str.split(',') if len(str) > 0 else self.current_universe
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return self.current_universe
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# backtest - first cache the entire file
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if len(self.backtestSymbolsPerDay) == 0:
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# No need for headers for authorization with dropbox, these two lines are for example purposes
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byteKey = base64.b64encode("UserName:Password".encode('ASCII'))
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# The headers must be passed to the Download method as dictionary
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headers = { 'Authorization' : f'Basic ({byteKey.decode("ASCII")})' }
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str = self.Download("https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1", headers)
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for line in str.splitlines():
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data = line.split(',')
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self.backtestSymbolsPerDay[data[0]] = data[1:]
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index = date.strftime("%Y%m%d")
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self.current_universe = self.backtestSymbolsPerDay.get(index, self.current_universe)
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return self.current_universe
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def OnData(self, slice):
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if slice.Bars.Count == 0: return
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if self.changes is None: return
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# start fresh
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self.Liquidate()
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percentage = 1 / d.Decimal(slice.Bars.Count)
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for tradeBar in slice.Bars.Values:
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self.SetHoldings(tradeBar.Symbol, percentage)
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# reset changes
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self.changes = None
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def OnSecuritiesChanged(self, changes):
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self.changes = changes |