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.
60 lines
2.6 KiB
Python
60 lines
2.6 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 QuantConnect.Securities import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Orders import *
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from datetime import datetime
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### <summary>
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### Demonstration of the Market On Close order for US Equities.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />
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class MarketOnOpenOnCloseAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.equity = self.AddEquity("SPY", Resolution.Second, fillDataForward = True, extendedMarketHours = True)
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self.__submittedMarketOnCloseToday = False
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self.__last = datetime.min
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
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if self.Time.date() != self.__last.date(): # each morning submit a market on open order
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self.__submittedMarketOnCloseToday = False
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self.MarketOnOpenOrder("SPY", 100)
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self.__last = self.Time
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if not self.__submittedMarketOnCloseToday and self.equity.Exchange.ExchangeOpen: # once the exchange opens submit a market on close order
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self.__submittedMarketOnCloseToday = True
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self.MarketOnCloseOrder("SPY", -100)
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def OnOrderEvent(self, fill):
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order = self.Transactions.GetOrderById(fill.OrderId)
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self.Log("{0} - {1}:: {2}".format(self.Time, order.Type, fill)) |