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.
74 lines
2.8 KiB
Python
74 lines
2.8 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("System.Collections")
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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 System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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class CoarseFineUniverseSelectionBenchmark(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2017, 1, 1)
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self.SetEndDate(2018, 1, 1)
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self.SetCash(50000)
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self.UniverseSettings.Resolution = Resolution.Daily
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self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
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self.numberOfSymbols = 30
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self.numberOfSymbolsFine = 2
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self._changes = None
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# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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def CoarseSelectionFunction(self, coarse):
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selected = [x for x in coarse if (x.HasFundamentalData)]
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# sort descending by daily dollar volume
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sortedByDollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True)
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# return the symbol objects of the top entries from our sorted collection
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return [ x.Symbol for x in sortedByDollarVolume[:self.numberOfSymbols] ]
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# sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
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def FineSelectionFunction(self, fine):
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# sort descending by P/E ratio
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sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
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# take the top entries from our sorted collection
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return [ x.Symbol for x in sortedByPeRatio[:self.numberOfSymbolsFine] ]
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def OnData(self, data):
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# if we have no changes, do nothing
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if self._changes is None: return
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# liquidate removed securities
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for security in self._changes.RemovedSecurities:
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if security.Invested:
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self.Liquidate(security.Symbol)
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for security in self._changes.AddedSecurities:
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self.SetHoldings(security.Symbol, 0.5)
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self._changes = None;
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def OnSecuritiesChanged(self, changes):
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self._changes = changes |