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.
78 lines
3.2 KiB
Python
78 lines
3.2 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.Data import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Securities import *
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from datetime import timedelta
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### <summary>
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### This example demonstrates how to get access to futures history for a given root symbol.
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### It also shows how you can prefilter contracts easily based on expirations, and inspect the futures
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### chain to pick a specific contract to trade.
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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="futures" />
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class BasicTemplateFuturesHistoryAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetEndDate(2013, 10, 9)
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self.SetCash(1000000)
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# Subscribe and set our expiry filter for the futures chain
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# find the front contract expiring no earlier than in 90 days
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futureES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
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futureES.SetFilter(timedelta(0), timedelta(182))
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futureGC = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
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futureGC.SetFilter(timedelta(0), timedelta(182))
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self.SetBenchmark(lambda x: 1000000)
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def OnData(self,slice):
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if self.Portfolio.Invested: return
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for chain in slice.FutureChains:
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for contract in chain.Value:
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self.Log("{0},Bid={1} Ask={2} Last={3} OI={4}".format(
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contract.Symbol.Value,
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contract.BidPrice,
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contract.AskPrice,
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contract.LastPrice,
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contract.OpenInterest))
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def OnSecuritiesChanged(self, changes):
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for change in changes.AddedSecurities:
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history = self.History(change.Symbol, 10, Resolution.Minute).sort_index(level='time', ascending=False)[:3]
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for index, row in history.iterrows():
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self.Log("History: " + str(index[1])
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+ ": " + index[2].strftime("%m/%d/%Y %I:%M:%S %p")
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+ " > " + str(row.close))
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def OnOrderEvent(self, orderEvent):
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# Order fill event handler. On an order fill update the resulting information is passed to this method.
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# Order event details containing details of the events
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self.Log(str(orderEvent))
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