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.
81 lines
3.3 KiB
Python
81 lines
3.3 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 *
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.Consolidators import *
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from datetime import timedelta
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### <summary>
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### Demonstration of how to initialize and use the RenkoConsolidator
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### </summary>
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### <meta name="tag" content="renko" />
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="consolidating data" />
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class RenkoConsolidatorAlgorithm(QCAlgorithm):
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'''Demonstration of how to initialize and use the RenkoConsolidator'''
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def Initialize(self):
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self.SetStartDate(2012, 1, 1)
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self.SetEndDate(2013, 1, 1)
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self.AddEquity("SPY", Resolution.Daily)
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# this is the simple constructor that will perform the
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# renko logic to the Value property of the data it receives.
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# break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
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renkoClose = RenkoConsolidator(2.5)
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renkoClose.DataConsolidated += self.HandleRenkoClose
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self.SubscriptionManager.AddConsolidator("SPY", renkoClose)
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# this is the full constructor that can accept a value selector and a volume selector
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# this allows us to perform the renko logic on values other than Close, even computed values!
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# break SPY into (2*o + h + l + 3*c)/7
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renko7bar = RenkoConsolidator(2.5, lambda x: (2 * x.Open + x.High + x.Low + 3 * x.Close) / 7, lambda x: x.Volume)
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renko7bar.DataConsolidated += self.HandleRenko7Bar
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self.SubscriptionManager.AddConsolidator("SPY", renko7bar)
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# We're doing our analysis in the OnRenkoBar method, but the framework verifies that this method exists, so we define it.
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def OnData(self, data):
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pass
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def HandleRenkoClose(self, sender, data):
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'''This function is called by our renkoClose consolidator defined in Initialize()
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Args:
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data: The new renko bar produced by the consolidator'''
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if not self.Portfolio.Invested:
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self.SetHoldings(data.Symbol, 1)
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self.Log(f"CLOSE - {data.Time} - {data.Open} {data.Close}")
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def HandleRenko7Bar(self, sender, data):
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'''This function is called by our renko7bar consolidator defined in Initialize()
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Args:
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data: The new renko bar produced by the consolidator'''
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if self.Portfolio.Invested:
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self.Liquidate(data.Symbol)
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self.Log(f"7BAR - {data.Time} - {data.Open} {data.Close}") |