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.
49 lines
1.9 KiB
Python
49 lines
1.9 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.Core")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.Custom import DailyFx
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import numpy as np
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### <summary>
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### Use event/fundamental calendar information (DailyFx) to design event based forex algorithms.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="forex" />
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### <meta name="tag" content="dailyfx" />
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class DailyFxAlgorithm(QCAlgorithm):
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''' Add the Daily FX type to our algorithm and use its events. '''
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def Initialize(self):
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# Set the cash we'd like to use for our backtest
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self.SetCash(100000)
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# Set the start and the end date
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self.SetStartDate(2016,5,26)
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self.SetEndDate(2016,5,27)
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self._sliceCount = 0
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self._eventCount = 0
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self.AddData(DailyFx, "DFX", Resolution.Second, TimeZones.Utc)
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def OnData(self, data):
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# Daily Fx demonstration to call on
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result = data["DFX"]
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self._sliceCount +=1
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self.Debug("ONDATA >> {0} : {1}".format(self._sliceCount, result)) |