wehub-resource-sync
120 lines
4.4 KiB
C#
120 lines
4.4 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Algorithm;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Engine
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{
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public static class PerformanceBenchmarkAlgorithms
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{
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public static QCAlgorithm SingleSecurity_Second => new SingleSecurity_Second_BenchmarkTest();
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public static QCAlgorithm FiveHundredSecurity_Second => new FiveHundredSecurity_Second_BenchmarkTest();
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public static QCAlgorithm CreateBenchmarkAlgorithm(int securityCount, Resolution resolution)
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{
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// determine reasonable start/end dates
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var start = new DateTime(2000, 01, 01);
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// aim for 5MM data points
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var pointsPerSecurity = 5000000 / securityCount;
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var increment = resolution.ToTimeSpan();
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var incrementsPerDay = Time.OneDay.Ticks / increment.Ticks;
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var days = pointsPerSecurity / incrementsPerDay - 1;
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if (days < 0)
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{
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throw new Exception($"Unable to create {securityCount} subscriptions at {resolution} resolution. Consider using a larger resolution.");
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}
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var parameters = new Parameters(securityCount, resolution, start, start.AddDays(days));
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return new EquityBenchmarkAlgorithm(parameters);
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}
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private class SingleSecurity_Second_BenchmarkTest : QCAlgorithm
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{
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public SingleSecurity_Second_BenchmarkTest()
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{
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SubscriptionManager.SetDataManager(new DataManagerStub(this, new MockDataFeed()));
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}
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public override void Initialize()
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{
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SetStartDate(2008, 01, 01);
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SetEndDate(2009, 01, 01);
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SetCash(100000);
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SetBenchmark(time => 0m);
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AddEquity("SPY", Resolution.Second);
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}
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}
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private class FiveHundredSecurity_Second_BenchmarkTest : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2018, 02, 01);
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SetEndDate(2018, 02, 01);
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SetCash(100000);
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SetBenchmark(time => 0m);
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foreach (var symbol in QuantConnect.Algorithm.CSharp.Benchmarks.Symbols.Equity.All.Take(500))
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{
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AddEquity(symbol, Resolution.Second);
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}
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}
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}
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private class EquityBenchmarkAlgorithm : QCAlgorithm
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{
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private readonly Parameters _parameters;
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public EquityBenchmarkAlgorithm(Parameters parameters)
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{
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_parameters = parameters;
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}
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public override void Initialize()
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{
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SetStartDate(_parameters.StartDate);
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SetEndDate(_parameters.EndDate);
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SetBenchmark(time => 0m);
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foreach (var symbol in QuantConnect.Algorithm.CSharp.Benchmarks.Symbols.Equity.All.Take(_parameters.SecurityCount))
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{
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AddEquity(symbol, _parameters.Resolution);
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}
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}
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}
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public class Parameters
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{
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public int SecurityCount { get; set; }
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public Resolution Resolution { get; set; }
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public DateTime StartDate { get; set; }
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public DateTime EndDate { get; set; }
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public Parameters(int securityCount, Resolution resolution, DateTime startDate, DateTime endDate)
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{
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SecurityCount = securityCount;
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Resolution = resolution;
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StartDate = startDate;
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EndDate = endDate;
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}
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}
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}
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} |