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.
127 lines
5.3 KiB
Python
127 lines
5.3 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.Orders import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Alphas import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import *
|
|
from QuantConnect.Algorithm.Framework.Selection import *
|
|
from datetime import datetime, timedelta
|
|
|
|
### <summary>
|
|
### Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.
|
|
### </summary>
|
|
class ScheduledUniverseSelectionModelRegressionAlgorithm(QCAlgorithmFramework):
|
|
'''Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.'''
|
|
|
|
def Initialize(self):
|
|
|
|
self.UniverseSettings.Resolution = Resolution.Hour
|
|
|
|
self.SetStartDate(2017, 1, 1)
|
|
self.SetEndDate(2017, 2, 1)
|
|
|
|
# selection will run on mon/tues/thurs at 00:00/06:00/12:00/18:00
|
|
self.SetUniverseSelection(ScheduledUniverseSelectionModel(
|
|
self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
|
|
self.TimeRules.Every(timedelta(hours = 12)),
|
|
self.SelectSymbols
|
|
))
|
|
|
|
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
|
|
# some days of the week have different behavior the first time -- less securities to remove
|
|
self.seenDays = []
|
|
|
|
def SelectSymbols(self, dateTime):
|
|
|
|
symbols = []
|
|
weekday = dateTime.weekday()
|
|
|
|
if weekday == 0 or weekday == 1:
|
|
symbols.append(Symbol.Create('SPY', SecurityType.Equity, Market.USA))
|
|
elif weekday == 2:
|
|
# given the date/time rules specified in Initialize, this symbol will never be selected (not invoked on wednesdays)
|
|
symbols.append(Symbol.Create('AAPL', SecurityType.Equity, Market.USA))
|
|
else:
|
|
symbols.append(Symbol.Create('IBM', SecurityType.Equity, Market.USA))
|
|
|
|
if weekday == 1 or weekday == 3:
|
|
symbols.append(Symbol.Create('EURUSD', SecurityType.Forex, Market.FXCM))
|
|
elif weekday == 4:
|
|
# given the date/time rules specified in Initialize, this symbol will never be selected (every 6 hours never lands on hour==1)
|
|
symbols.append(Symbol.Create('EURGBP', SecurityType.Forex, Market.FXCM))
|
|
else:
|
|
symbols.append(Symbol.Create('NZDUSD', SecurityType.Forex, Market.FXCM))
|
|
|
|
return symbols
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
self.Log("{}: {}".format(self.Time, changes))
|
|
|
|
weekday = self.Time.weekday()
|
|
|
|
if weekday == 0:
|
|
self.ExpectAdditions(changes, 'SPY', 'NZDUSD')
|
|
if weekday not in self.seenDays:
|
|
self.seenDays.append(weekday)
|
|
self.ExpectRemovals(changes, None)
|
|
else:
|
|
self.ExpectRemovals(changes, 'EURUSD', 'IBM')
|
|
|
|
if weekday == 1:
|
|
self.ExpectAdditions(changes, 'EURUSD')
|
|
if weekday not in self.seenDays:
|
|
self.seenDays.append(weekday)
|
|
self.ExpectRemovals(changes, 'NZDUSD')
|
|
else:
|
|
self.ExpectRemovals(changes, 'NZDUSD')
|
|
|
|
if weekday == 2 or weekday == 4:
|
|
# selection function not invoked on wednesdays (2) or friday (4)
|
|
self.ExpectAdditions(changes, None)
|
|
self.ExpectRemovals(changes, None)
|
|
|
|
if weekday == 3:
|
|
self.ExpectAdditions(changes, "IBM")
|
|
self.ExpectRemovals(changes, "SPY")
|
|
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Log("{}: {}".format(self.Time, orderEvent))
|
|
|
|
def ExpectAdditions(self, changes, *tickers):
|
|
if tickers is None and changes.AddedSecurities.Count > 0:
|
|
raise Exception("{}: Expected no additions: {}".format(self.Time, self.Time.weekday()))
|
|
|
|
for ticker in tickers:
|
|
if ticker is not None and ticker not in [s.Symbol.Value for s in changes.AddedSecurities]:
|
|
raise Exception("{}: Expected {} to be added: {}".format(self.Time, ticker, self.Time.weekday()))
|
|
|
|
def ExpectRemovals(self, changes, *tickers):
|
|
if tickers is None and changes.RemovedSecurities.Count > 0:
|
|
raise Exception("{}: Expected no removals: {}".format(self.Time, self.Time.weekday()))
|
|
|
|
for ticker in tickers:
|
|
if ticker is not None and ticker not in [s.Symbol.Value for s in changes.RemovedSecurities]:
|
|
raise Exception("{}: Expected {} to be removed: {}".format(self.Time, ticker, self.Time.weekday()))
|