wehub-resource-sync
110 lines
3.6 KiB
C#
110 lines
3.6 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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using System;
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using Python.Runtime;
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using NUnit.Framework;
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using System.Threading;
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using QuantConnect.Orders;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Python
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{
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[TestFixture]
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public class PythonMemoryLeakTests
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{
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private Security _security;
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private static DateTime orderDateTime;
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[SetUp]
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public void SetUp()
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{
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_security = SecurityTests.GetSecurity();
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orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
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var reference = orderDateTime;
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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_security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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}
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[Test]
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public void DoesNotLeak()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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@"
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from AlgorithmImports import *
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def jose(security):
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security.SetFeeModel(MakerTakerModel())
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class MakerTakerModel(FeeModel):
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def __init__(self, maker = -.0016, taker = .003):
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self.maker = maker
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self.taker = taker
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def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
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qty = parameters.Order.Quantity
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ord_type = parameters.Order.Type
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# fee_in_usd = .0008
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# make_ps = -.0016 #Rebate
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# take_ps = .003
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if ord_type in [OrderType.Market, OrderType.StopMarket]:
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fee_usd = self.taker * qty
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else:
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fee_usd = self.maker * qty
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return OrderFee(CashAmount(fee_usd, 'USD'))");
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module.GetAttr("jose").Invoke(_security.ToPython());
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var parameters = new OrderFeeParameters(_security, new MarketOrder(_security.Symbol, 1, orderDateTime));
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// warmup
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var result = _security.FeeModel.GetOrderFee(parameters);
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Assert.IsNotNull(result);
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// let the system stabilize
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Thread.Sleep(1000);
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var start = GC.GetTotalMemory(true);
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for (var i = 0; i < 50000; i++)
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{
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result = _security.FeeModel.GetOrderFee(parameters);
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Assert.IsNotNull(result);
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if (i % 10000 == 0)
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{
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Log.Debug($"Memory: {GC.GetTotalMemory(true)}");
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}
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}
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Thread.Sleep(1000);
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var end = GC.GetTotalMemory(true);
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var message = $"Start: {start}. End {end}. Variation {((end - start) / (decimal)start * 100).RoundToSignificantDigits(2)}%";
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Log.Debug(message);
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// 5% noise, leak was >10%
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Assert.LessOrEqual(end, start * 1.05, message);
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}
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}
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}
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}
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