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.
65 lines
2.5 KiB
Python
65 lines
2.5 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.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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from datetime import timedelta
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import numpy as np
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### <summary>
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### Algorithm demonstrating FOREX asset types and requesting history on them in bulk. As FOREX uses
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### QuoteBars you should request slices or
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="history and warm up" />
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### <meta name="tag" content="history" />
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### <meta name="tag" content="forex" />
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class BasicTemplateForexAlgorithm(QCAlgorithm):
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def Initialize(self):
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# Set the cash we'd like to use for our backtest
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self.SetCash(100000)
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# Start and end dates for the backtest.
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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# Add FOREX contract you want to trade
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# find available contracts here https://www.quantconnect.com/data#forex/oanda/cfd
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self.AddForex("EURUSD", Resolution.Minute)
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self.AddForex("GBPUSD", Resolution.Minute)
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self.AddForex("EURGBP", Resolution.Minute)
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self.History(5, Resolution.Daily)
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self.History(5, Resolution.Hour)
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self.History(5, Resolution.Minute)
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history = self.History(TimeSpan.FromSeconds(5), Resolution.Second)
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for data in sorted(history, key=lambda x: x.Time):
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for key in data.Keys:
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self.Log(str(key.Value) + ": " + str(data.Time) + " > " + str(data[key].Value))
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def OnData(self, data):
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# Print to console to verify that data is coming in
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for key in data.Keys:
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self.Log(str(key.Value) + ": " + str(data.Time) + " > " + str(data[key].Value)) |