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.
80 lines
3.1 KiB
Python
80 lines
3.1 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("NodaTime")
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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 NodaTime import DateTimeZone
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Brokerages import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.Consolidators import *
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import decimal as d
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from datetime import timedelta
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from math import floor
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### <summary>
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### Regression algorithm for fractional forex pair
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="regression test" />
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class FractionalQuantityRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 11, 12)
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self.SetEndDate(2016, 4, 1)
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self.SetCash(100000)
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self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
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self.SetTimeZone(DateTimeZone.Utc)
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security = self.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, False, 3.3, True)
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### The default buying power model for the Crypto security type is now CashBuyingPowerModel.
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### Since this test algorithm uses leverage we need to set a buying power model with margin.
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security.SetBuyingPowerModel(SecurityMarginModel(3.3))
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con = TradeBarConsolidator(timedelta(1))
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self.SubscriptionManager.AddConsolidator("BTCUSD", con)
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con.DataConsolidated += self.DataConsolidated
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self.SetBenchmark(security.Symbol)
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def DataConsolidated(self, sender, bar):
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quantity = floor((self.Portfolio.Cash + self.Portfolio.TotalFees) / abs(bar.Value + 1))
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btc_qnty = float(self.Portfolio["BTCUSD"].Quantity)
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if not self.Portfolio.Invested:
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self.Order("BTCUSD", quantity)
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elif btc_qnty == quantity:
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self.Order("BTCUSD", 0.1)
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elif btc_qnty == quantity + 0.1:
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self.Order("BTCUSD", 0.01)
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elif btc_qnty == quantity + 0.11:
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self.Order("BTCUSD", -0.02)
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elif btc_qnty == quantity + 0.09:
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# should fail (below minimum order quantity)
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self.Order("BTCUSD", 0.00001)
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self.SetHoldings("BTCUSD", -2.0)
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self.SetHoldings("BTCUSD", 2.0)
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self.Quit()
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