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
2.7 KiB
Python
60 lines
2.7 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from datetime import datetime, timedelta
|
|
|
|
### <summary>
|
|
### Options Open Interest data regression test.
|
|
### </summary>
|
|
### <meta name="tag" content="options" />
|
|
### <meta name="tag" content="regression test" />
|
|
class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetCash(1000000)
|
|
self.SetStartDate(2014,6,5)
|
|
self.SetEndDate(2014,6,6)
|
|
|
|
option = self.AddOption("TWX")
|
|
|
|
# set our strike/expiry filter for this option chain
|
|
option.SetFilter(-10, 10, timedelta(0), timedelta(365*2))
|
|
|
|
# use the underlying equity as the benchmark
|
|
self.SetBenchmark("TWX")
|
|
|
|
def OnData(self, slice):
|
|
if not self.Portfolio.Invested:
|
|
for chain in slice.OptionChains:
|
|
for contract in chain.Value:
|
|
if float(contract.Symbol.ID.StrikePrice) == 72.5 and \
|
|
contract.Symbol.ID.OptionRight == OptionRight.Call and \
|
|
contract.Symbol.ID.Date == datetime(2016, 1, 15):
|
|
if slice.Time.date() == datetime(2014, 6, 5).date() and contract.OpenInterest != 50:
|
|
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
|
|
if slice.Time.date() == datetime(2014, 6, 6).date() and contract.OpenInterest != 70:
|
|
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
|
|
if slice.Time.date() == datetime(2014, 6, 6).date():
|
|
self.MarketOrder(contract.Symbol, 1)
|
|
self.MarketOnCloseOrder(contract.Symbol, -1)
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Log(str(orderEvent)) |