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Martin-MolineroMartin-Molinero
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Improve HistoryRequestBenchmark algorithm
- The HistoryRequestBenchmark will now perform a daily and minute history request at end of day. - C# performance is at ~15k data points per second - Python performance is at ~11k data points per second
1 parent a55181a commit 124af72

2 files changed

Lines changed: 26 additions & 15 deletions

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‎Algorithm.CSharp/Benchmarks/HistoryRequestBenchmark.cs‎

Lines changed: 11 additions & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -13,25 +13,29 @@
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp.Benchmarks
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{
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public class HistoryRequestBenchmark : QCAlgorithm
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{
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private Symbol symbol;
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private Symbol _symbol;
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public override void Initialize()
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{
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SetStartDate(2015, 01, 01);
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SetStartDate(2010, 01, 01);
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SetEndDate(2018, 01, 01);
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SetCash(10000);
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symbol = AddEquity("SPY", Resolution.Hour).Symbol;
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_symbol = AddEquity("SPY").Symbol;
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}
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public override void OnData(Slice data)
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public override void OnEndOfDay()
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{
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History(symbol, 2, Resolution.Daily);
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History(symbol, 4, Resolution.Minute);
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var minuteHistory = History(_symbol, 60, Resolution.Minute);
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var lastHourHigh = minuteHistory.Select(minuteBar => minuteBar.High).DefaultIfEmpty(0).Max();
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var dailyHistory = History(_symbol, 1, Resolution.Daily).First();
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var dailyHigh = dailyHistory.High;
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var dailyLow = dailyHistory.Low;
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var dailyOpen = dailyHistory.Open;
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}
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}
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}

‎Algorithm.Python/Benchmarks/HistoryRequestBenchmark.py‎

Lines changed: 15 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -26,12 +26,19 @@
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class HistoryRequestBenchmark(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2010, 1, 1)
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self.SetEndDate(2018, 1, 1)
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self.SetCash(10000)
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self.symbol = self.AddEquity("SPY").Symbol
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self.SetStartDate(2015, 1, 1)
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self.SetEndDate(2018, 1, 1)
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self.SetCash(10000)
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self.symbol = self.AddEquity("SPY", Resolution.Hour).Symbol
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def OnData(self, data):
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self.History([self.symbol], 2, Resolution.Daily)
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self.History([self.symbol], 4, Resolution.Minute)
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def OnEndOfDay(self):
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minuteHistory = self.History([self.symbol], 60, Resolution.Minute)
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lastHourHigh = 0
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for index, row in minuteHistory.loc["SPY"].iterrows():
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if lastHourHigh < row["high"]:
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lastHourHigh = row["high"]
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dailyHistory = self.History([self.symbol], 1, Resolution.Daily).loc["SPY"].head()
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dailyHistoryHigh = dailyHistory["high"]
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dailyHistoryLow = dailyHistory["low"]
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dailyHistoryOpen = dailyHistory["open"]

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