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.
115 lines
4.7 KiB
Python
115 lines
4.7 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 import SubscriptionDataSource
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from QuantConnect.Python import PythonData
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from datetime import datetime
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import decimal
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import json
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### <summary>
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### Regression test to demonstrate importing and trading on custom data.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="importing data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="crypto" />
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### <meta name="tag" content="regression test" />
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class CustomDataRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2011,9,13) # Set Start Date
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self.SetEndDate(2015,12,1) # Set End Date
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self.SetCash(100000) # Set Strategy Cash
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resolution = Resolution.Second if self.LiveMode else Resolution.Daily
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self.AddData(Bitcoin, "BTC", resolution)
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def OnData(self, data):
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if not self.Portfolio.Invested:
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if data['BTC'].Close != 0 :
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self.Order('BTC', self.Portfolio.MarginRemaining/abs(data['BTC'].Close + 1))
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class Bitcoin(PythonData):
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'''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
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def GetSource(self, config, date, isLiveMode):
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if isLiveMode:
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return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest)
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#return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip"
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# OR simply return a fixed small data file. Large files will slow down your backtest
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return SubscriptionDataSource("https://www.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile)
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def Reader(self, config, line, date, isLiveMode):
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coin = Bitcoin()
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coin.Symbol = config.Symbol
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if isLiveMode:
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# Example Line Format:
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# {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
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try:
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liveBTC = json.loads(line)
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# If value is zero, return None
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value = decimal.Decimal(liveBTC["last"])
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if value == 0: return None
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coin.Time = datetime.now()
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coin.Value = value
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coin["Open"] = float(liveBTC["open"])
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coin["High"] = float(liveBTC["high"])
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coin["Low"] = float(liveBTC["low"])
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coin["Close"] = float(liveBTC["last"])
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coin["Ask"] = float(liveBTC["ask"])
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coin["Bid"] = float(liveBTC["bid"])
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coin["VolumeBTC"] = float(liveBTC["volume"])
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coin["WeightedPrice"] = float(liveBTC["vwap"])
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return None
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# Example Line Format:
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# Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
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# 2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
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if not (line.strip() and line[0].isdigit()): return None
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try:
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data = line.split(',')
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coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
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coin.Value = float(data[4])
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coin["Open"] = float(data[1])
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coin["High"] = float(data[2])
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coin["Low"] = float(data[3])
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coin["Close"] = float(data[4])
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coin["VolumeBTC"] = float(data[5])
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coin["VolumeUSD"] = float(data[6])
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coin["WeightedPrice"] = float(data[7])
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return None |