8000 Performance improvements ClrObject - Dispose PyObj by Martin-Molinero · Pull Request #22 · QuantConnect/pythonnet · GitHub
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Performance improvements ClrObject - Dispose PyObj #22

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Merged
merged 1 commit into from
Jan 18, 2019
Merged

Performance improvements ClrObject - Dispose PyObj #22

merged 1 commit into from
Jan 18, 2019

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@Martin-Molinero Martin-Molinero commented Jan 18, 2019 •
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What does this implement/fix? Explain your changes.

  • Increasing minor version to 14
  • Adding UnsafeDispose() for PyObject which does not require
    acquiring/releasing the lock, for performance
  • Adding check before calling SetArgsAndCause for the ClrObject, the
    call only makes sense when we are an exception and causes an overhead.
    3 seconds out of 43s.

Master Samplig:
imagen

Algorithm:

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
import numpy as np

from datetime import timedelta

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015,1,1)
        self.SetEndDate(2018,1,1)
        self.SetCash(100000)

        self.symbols = [Symbol.Create(x, SecurityType.Equity, Market.USA)
                        for x in ["SPY", "GOOG", "AAPL", "FB", "AMZN"]]

        self.AddEquity("SPY", Resolution.Minute)
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.CoarseSelectionFunction)

    def OnData(self, data):
        pass

    def CoarseSelectionFunction(self, coarse):
        return self.symbols

@Martin-Molinero
Performance improvements ClrObject - Dispose PyObj
f4a047b 
- Increasing minor version to 14
- Adding `UnsafeDispose()` for `PyObject` which does not require
acquiring/releasing the lock
- Adding check before calling `SetArgsAndCause` for the `ClrObject`, the
call only makes sense when we are an exception and causes an overhead
@jaredbroad jaredbroad merged commit 877e510 into QuantConnect:master Jan 18, 2019
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@Martin-Molinero @jaredbroad
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