Stefano Raggi
c6693cb237
In this PR we are disabling the default security seeding (automatically getting the last price for a security when added to the algorithm) for a couple reasons, both when using large universes: - In live trading, these history requests are sent to a history server, potentially causing timeouts - In backtesting, depending on the algorithm this could also cause slowdowns up to 30%
49 lines
1.8 KiB
C#
49 lines
1.8 KiB
C#
/*
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* 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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*/
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using Python.Runtime;
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using QuantConnect.Securities;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Wraps a <see cref="PyObject"/> object that represents a type capable of initializing a new security
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/// </summary>
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public class SecurityInitializerPythonWrapper : ISecurityInitializer
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{
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private readonly dynamic _model;
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/// <summary>
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/// Constructor for initialising the <see cref="SecurityInitializerPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents a type capable of initializing a new security</param>
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public SecurityInitializerPythonWrapper(PyObject model)
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{
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_model = model;
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}
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/// <summary>
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/// Initializes the specified security
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/// </summary>
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/// <param name="security">The security to be initialized</param>
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public void Initialize(Security security)
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{
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using (Py.GIL())
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{
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_model.Initialize(security);
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}
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}
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}
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} |