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.
78 lines
3.0 KiB
Python
78 lines
3.0 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.Indicators")
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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.Indicators import *
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from QuantConnect.Algorithm import *
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from collections import deque
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from datetime import datetime, timedelta
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from numpy import sum
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### <summary>
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### Demonstrates how to create a custom indicator and register it for automatic updated
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### </summary>
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="custom indicator" />
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class CustomIndicatorAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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self.AddEquity("SPY", Resolution.Second)
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# Create a QuantConnect indicator and a python custom indicator for comparison
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self.sma = self.SMA("SPY", 60, Resolution.Minute)
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self.custom = CustomSimpleMovingAverage('custom', 60)
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self.RegisterIndicator("SPY", self.custom, Resolution.Minute)
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def OnData(self, data):
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)
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if self.Time.second == 0:
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self.Log(" sma -> IsReady: {0}. Time: {1}. Value: {2}".format(self.sma.IsReady, self.sma.Current.Time, self.sma.Current.Value))
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self.Log(str(self.custom))
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# Regression test: test fails with an early quit
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diff = abs(self.custom.Value - self.sma.Current.Value)
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if diff > 1e-25:
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self.Quit("Quit: indicators difference is {0}".format(diff))
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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA).
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class CustomSimpleMovingAverage:
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def __init__(self, name, period):
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self.Name = name
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self.Time = datetime.min
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self.Value = 0
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self.IsReady = False
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self.queue = deque(maxlen=period)
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def __repr__(self):
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return "{0} -> IsReady: {1}. Time: {2}. Value: {3}".format(self.Name, self.IsReady, self.Time, self.Value)
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# Update method is mandatory
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def Update(self, input):
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self.queue.appendleft(input.Close)
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count = len(self.queue)
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self.Time = input.EndTime
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self.Value = sum(self.queue) / count
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self.IsReady = count == self.queue.maxlen |