Martin-Molinero
8c0b60cd2f
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Research Regression Tests / build (push) Has been cancelled
- Remove thread in charge of sorting and updating the queues weight. This will be handled by each worker thread instead. Avoid cases where the work count is so high that the sorting thread in master would not be able to update all the weights, causing data to be enqueued beyond the max prefetch limit. Adding benchmark algorithm reproducing issue
80 lines
5.1 KiB
Python
80 lines
5.1 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 AlgorithmImports import *
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### <summary>
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### Benchmark Algorithm: Loading and synchronization of 500 equity minute symbols and their options.
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### </summary>
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class EmptyEquityAndOptions500Benchmark(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2022, 5, 11)
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self.SetEndDate(2022, 5, 16)
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self.equity_symbols = [
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"MARK", "TSN", "DT", "RDW", "CVE", "NXPI", "FIVN", "CLX", "SPXL", "BKSY", "NUGT", "CF", "NEGG",
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"RH", "SIRI", "ITUB", "CSX", "AUR", "LIDR", "CMPS", "DHI", "GLW", "NTES", "CIFR", "S", "HSBC",
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"HIPO", "WTRH", "AMRN", "BIIB", "RIO", "EDIT", "TEAM", "CNK", "BUD", "MILE", "AEHR", "DOCN",
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"CLSK", "BROS", "MLCO", "SBLK", "ICLN", "OPK", "CNC", "SKX", "SESN", "VRM", "ASML", "BBAI",
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"HON", "MRIN", "BLMN", "NTNX", "POWW", "FOUR", "HOG", "GOGO", "MGNI", "GENI", "XPDI",
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"DG", "PSX", "RRC", "CORT", "MET", "UMC", "INMD", "RBAC", "ISRG", "BOX", "DVAX", "CRVS", "HLT",
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"BKNG", "BENE", "CLVS", "ESSC", "PTRA", "BE", "FPAC", "YETI", "DOCS", "DB", "EBON", "RDS.B",
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"ERIC", "BSIG", "INTU", "MNTS", "BCTX", "BLU", "FIS", "MAC", "WMB", "TTWO", "ARDX", "SWBI",
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"ELY", "INDA", "REAL", "ACI", "APRN", "BHP", "CPB", "SLQT", "ARKF", "TSP", "OKE", "NVTA", "META",
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"CSTM", "KMX", "IBB", "AGEN", "WOOF", "MJ", "HYZN", "RSI", "JCI", "EXC", "HPE", "SI", "WPM",
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"PRTY", "BBD", "FVRR", "CANO", "INDI", "MDLZ", "KOLD", "AMBA", "SOXS", "RSX", "ZEN", "PUBM",
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"VLDR", "CI", "ISEE", "GEO", "BKR", "DHR", "GRPN", "NRXP", "ACN", "MAT", "BODY", "ENDP",
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"SHPW", "AVIR", "GPN", "BILL", "BZ", "CERN", "ARVL", "DNMR", "NTR", "FSM", "BMBL", "PAAS",
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"INVZ", "ANF", "CL", "XP", "CS", "KD", "WW", "AHT", "GRTX", "XLC", "BLDP", "HTA", "APT", "BYSI",
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"ENB", "TRIT", "VTNR", "AVCT", "SLI", "CP", "CAH", "ALLY", "FIGS", "PXD", "TPX", "ZI", "BKLN", "SKIN",
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"LNG", "NU", "CX", "GSM", "NXE", "REI", "MNDT", "IP", "BLOK", "IAA", "TIP", "MCHP", "EVTL", "BIGC",
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"IGV", "LOTZ", "EWC", "DRI", "PSTG", "APLS", "KIND", "BBIO", "APPH", "FIVE", "LSPD", "SHAK",
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"COMM", "NAT", "VFC", "AMT", "VRTX", "RGS", "DD", "GBIL", "LICY", "ACHR", "FLR", "HGEN", "TECL",
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"SEAC", "NVS", "NTAP", "ML", "SBSW", "XRX", "UA", "NNOX", "SFT", "FE", "APP", "KEY", "CDEV",
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"DPZ", "BARK", "SPR", "CNQ", "XL", "AXSM", "ECH", "RNG", "AMLP", "ENG", "BTI", "REKR",
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"STZ", "BK", "HEAR", "LEV", "SKT", "HBI", "ALB", "CAG", "MNKD", "NMM", "BIRD", "CIEN", "SILJ",
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"STNG", "GUSH", "GIS", "PRPL", "SDOW", "GNRC", "ERX", "GES", "CPE", "FBRX", "WM", "ESTC",
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"GOED", "STLD", "LILM", "JNK", "BOIL", "ALZN", "IRBT", "KOPN", "AU", "TPR", "RWLK", "TROX",
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"TMO", "AVDL", "XSPA", "JKS", "PACB", "LOGI", "BLK", "REGN", "CFVI", "EGHT", "ATNF", "PRU",
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"URBN", "KMB", "SIX", "CME", "ENVX", "NVTS", "CELH", "CSIQ", "GSL", "PAA", "WU", "MOMO",
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"TOL", "WEN", "GTE", "EXAS", "GDRX", "PVH", "BFLY", "SRTY", "UDOW", "NCR", "ALTO", "CRTD",
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"GOCO", "ALK", "TTM", "DFS", "VFF", "ANTM", "FREY", "WY", "ACWI", "PNC", "SYY", "SNY", "CRK",
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"SO", "XXII", "PBF", "AER", "RKLY", "SOL", "CND", "MPLX", "JNPR", "FTCV", "CLR", "XHB", "YY",
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"POSH", "HIMS", "LIFE", "XENE", "ADM", "ROST", "MIR", "NRG", "AAP", "SSYS", "KBH", "KKR", "PLAN",
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"DUK", "WIMI", "DBRG", "WSM", "LTHM", "OVV", "CFLT", "EWT", "UNFI", "TX", "EMR", "IMGN", "K",
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"ONON", "UNIT", "LEVI", "ADTX", "UPWK", "DBA", "VOO", "FATH", "URI", "MPW", "JNUG", "RDFN",
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"OSCR", "WOLF", "SYF", "GOGL", "HES", "PHM", "CWEB", "ALDX", "BTWN", "AFL", "PPL", "CIM",
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"RETA", "FAZ", "TFC", "VIRT", "KDP", "UCO", "FINV", "KMPH", "DNUT", "BIG", "WBX", "VBIV", "IOVA",
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"RSKD", "FTNT", "MNST", "TOST", "KL", "RBOT", "YANG", "ERJ", "FUV", "EAT", "GDS", "SD", "ADP",
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"O", "MGI", "ZIOP", "AKAM", "ZG", "PAYA", "AEM", "LIT", "TD", "REE", "ALPP", "VLD", "AYX", "ACM",
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"QFIN", "ALGN", "VERU", "HRL", "CFX", "ABEV", "HUYA", "UP", "QDEL", "TXRH", "COMP", "WHR",
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"GCI", "HAS", "CARR", "BG", "ONDS", "TGTX", "VNQ", "IRM", "BAX", "CTXS", "SRPT", "HUN", "VEEV",
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"SVFA", "CVM", "ADMP", "NDAQ", "IPOD", "ALT", "EW", "DLO", "NLS", "LU", "WEBR", "ANET", "INFY",
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"OGI", "VSCO", "PERI", "AVPT", "VTI", "SAM", "ATHN", "EXPI", "CDE", "RF", "HIG", "XPO", "DQ",
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"RVLV", "LAUR", "ABCL", "NOV", "AVXL", "ALLK", "TUR"
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]
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self.Settings.DataSubscriptionLimit = 1000000
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self.SetWarmUp(TimeSpan.FromDays(1))
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for ticker in self.equity_symbols:
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option = self.AddOption(ticker)
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option.SetFilter(1, 7, timedelta(0), timedelta(90))
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self.AddEquity("SPY")
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def OnData(self, slice):
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if self.IsWarmingUp: return
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self.Quit("The end!")
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