Martin Molinero
124af7282e
- The HistoryRequestBenchmark will now perform a daily and minute history request at end of day. - C# performance is at ~15k data points per second - Python performance is at ~11k data points per second
44 lines
1.7 KiB
Python
44 lines
1.7 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.Indicators")
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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.Data import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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class HistoryRequestBenchmark(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2010, 1, 1)
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self.SetEndDate(2018, 1, 1)
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self.SetCash(10000)
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self.symbol = self.AddEquity("SPY").Symbol
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def OnEndOfDay(self):
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minuteHistory = self.History([self.symbol], 60, Resolution.Minute)
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lastHourHigh = 0
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for index, row in minuteHistory.loc["SPY"].iterrows():
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if lastHourHigh < row["high"]:
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lastHourHigh = row["high"]
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dailyHistory = self.History([self.symbol], 1, Resolution.Daily).loc["SPY"].head()
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dailyHistoryHigh = dailyHistory["high"]
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dailyHistoryLow = dailyHistory["low"]
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dailyHistoryOpen = dailyHistory["open"] |