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.
94 lines
4.0 KiB
Python
94 lines
4.0 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.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.Brokerages import *
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from QuantConnect.Data import BaseData
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from QuantConnect.Data.Market import *
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from QuantConnect.Securities import *
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### <summary>
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### This algorithm shows how to set a custom security initializer.
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### A security initializer is run immediately after a new security object
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### has been created and can be used to security models and other settings,
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### such as data normalization mode
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="securities and portfolio" />
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### <meta name="tag" content="trading and orders" />
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class CustomSecurityInitializerAlgorithm(QCAlgorithm):
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def Initialize(self):
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# set our initializer to our custom type
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self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
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func_security_seeder = FuncSecuritySeeder(Func[Security, BaseData](self.custom_seed_function))
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self.SetSecurityInitializer(CustomSecurityInitializer(self.BrokerageModel, func_security_seeder, DataNormalizationMode.Raw))
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self.SetStartDate(2013,10,1)
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self.SetEndDate(2013,11,1)
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self.AddEquity("SPY", Resolution.Hour)
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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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def custom_seed_function(self, security):
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resolution = Resolution.Hour
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df = self.History(security.Symbol, 1, resolution)
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if df.empty:
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return None
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last_bar = df.unstack(level=0).iloc[-1]
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date_time = last_bar.name.to_pydatetime()
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open = last_bar.open.values[0]
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high = last_bar.high.values[0]
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low = last_bar.low.values[0]
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close = last_bar.close.values[0]
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volume = last_bar.volume.values[0]
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return TradeBar(date_time, security.Symbol, open, high, low, close, volume, Extensions.ToTimeSpan(resolution))
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class CustomSecurityInitializer(BrokerageModelSecurityInitializer):
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'''Our custom initializer that will set the data normalization mode.
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We sub-class the BrokerageModelSecurityInitializer so we can also
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take advantage of the default model/leverage setting behaviors'''
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def __init__(self, brokerageModel, securitySeeder, dataNormalizationMode):
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'''Initializes a new instance of the CustomSecurityInitializer class with the specified normalization mode
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brokerageModel -- The brokerage model used to get fill/fee/slippage/settlement models
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securitySeeder -- The security seeder to be used
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dataNormalizationMode -- The desired data normalization mode'''
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self.base = BrokerageModelSecurityInitializer(brokerageModel, securitySeeder)
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self.dataNormalizationMode = dataNormalizationMode
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def Initialize(self, security):
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'''Initializes the specified security by setting up the models
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security -- The security to be initialized
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seedSecurity -- True to seed the security, false otherwise'''
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# first call the default implementation
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self.base.Initialize(security)
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# now apply our data normalization mode
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security.SetDataNormalizationMode(self.dataNormalizationMode) |