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
3.7 KiB
Python
80 lines
3.7 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.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 datetime import datetime, timedelta
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### <summary>
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### This is an option split regression algorithm
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionRenameRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(1000000)
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self.SetStartDate(2013,6,28)
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self.SetEndDate(2013,7,2)
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option = self.AddOption("FOXA")
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# set our strike/expiry filter for this option chain
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option.SetFilter(-1, 1, timedelta(0), timedelta(3650))
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# use the underlying equity as the benchmark
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self.SetBenchmark("FOXA")
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def OnData(self, slice):
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''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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<param name="slice">The current slice of data keyed by symbol string</param> '''
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if not self.Portfolio.Invested:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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if self.Time.day == 28 and self.Time.hour > 9 and self.Time.minute > 0:
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contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
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if i.Right == OptionRight.Call and
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i.Strike == 33 and
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i.Expiry.date() == datetime(2013,8,17).date()]
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if contracts:
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# Buying option
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contract = contracts[0]
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self.Buy(contract.Symbol, 1)
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# Buy the undelying stock
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underlyingSymbol = contract.Symbol.Underlying
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self.Buy (underlyingSymbol, 100)
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# check
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if float(contract.AskPrice) != 1.1:
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raise ValueError("Regression test failed: current ask price was not loaded from NWSA backtest file and is not $1.1")
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elif self.Time.day == 2 and self.Time.hour > 14 and self.Time.minute > 0:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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self.Liquidate()
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contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
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if i.Right == OptionRight.Call and
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i.Strike == 33 and
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i.Expiry.date() == datetime(2013,8,17).date()]
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if contracts:
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contract = contracts[0]
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self.Log("Bid Price" + str(contract.BidPrice))
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if float(contract.BidPrice) != 0.05:
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raise ValueError("Regression test failed: current bid price was not loaded from FOXA file and is not $0.05")
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |