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.
66 lines
2.5 KiB
Python
66 lines
2.5 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.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 add futures for a given underlying asset.
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### It also shows how you can prefilter contracts easily based on expirations, and how you
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### can inspect the futures 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="benchmarks" />
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### <meta name="tag" content="futures" />
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class BasicTemplateFuturesAlgorithm(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, 10)
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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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futureES = self.AddFuture(Futures.Indices.SP500EMini)
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futureES.SetFilter(timedelta(0), timedelta(182))
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futureGC = self.AddFuture(Futures.Metals.Gold)
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futureGC.SetFilter(timedelta(0), timedelta(182))
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benchmark = self.AddEquity("SPY");
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self.SetBenchmark(benchmark.Symbol);
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def OnData(self,slice):
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if not self.Portfolio.Invested:
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for chain in slice.FutureChains:
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# Get contracts expiring no earlier than in 90 days
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contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))
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# if there is any contract, trade the front contract
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if len(contracts) == 0: continue
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front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
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self.MarketOrder(front.Symbol , 1)
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else:
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self.Liquidate()
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |