public void TestAlgorithmManagerSpeed() { var algorithmManager = new AlgorithmManager(false); var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second; var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}"); var feed = new MockDataFeed(); var transactions = new BacktestingTransactionHandler(); var results = new BacktestingResultHandler(); var realtime = new BacktestingRealTimeHandler(); var leanManager = new NullLeanManager(); var alphas = new NullAlphaHandler(); var token = new CancellationToken(); algorithm.Initialize(); algorithm.PostInitialize(); results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), feed, new BacktestingSetupHandler(), transactions); results.SetAlgorithm(algorithm); transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results); feed.Initialize(algorithm, job, results, null, null, null); Log.Trace("Starting algorithm manager loop to process " + feed.Count + " time slices"); var sw = Stopwatch.StartNew(); algorithmManager.Run(job, algorithm, feed, transactions, results, realtime, leanManager, alphas, token); sw.Stop(); var thousands = feed.Count / 1000d; var seconds = sw.Elapsed.TotalSeconds; Log.Trace("COUNT: " + feed.Count + " KPS: " + thousands / seconds); }
public void TestAlgorithmManagerSpeed() { var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second; var algorithmManager = new AlgorithmManager(false); var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}"); var feed = new MockDataFeed(); var marketHoursDatabase = MarketHoursDatabase.FromDataFolder(); var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder(); var dataPermissionManager = new DataPermissionManager(); var dataManager = new DataManager(feed, new UniverseSelection( algorithm, new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algorithm.Portfolio)), dataPermissionManager, new DefaultDataProvider()), algorithm, algorithm.TimeKeeper, marketHoursDatabase, false, RegisteredSecurityDataTypesProvider.Null, dataPermissionManager); algorithm.SubscriptionManager.SetDataManager(dataManager); var transactions = new BacktestingTransactionHandler(); var results = new BacktestingResultHandler(); var realtime = new BacktestingRealTimeHandler(); var leanManager = new NullLeanManager(); var alphas = new NullAlphaHandler(); var token = new CancellationToken(); var nullSynchronizer = new NullSynchronizer(algorithm); algorithm.Initialize(); algorithm.PostInitialize(); results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), transactions); results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue); transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results); feed.Initialize(algorithm, job, results, null, null, null, dataManager, null, null); Log.Trace("Starting algorithm manager loop to process " + nullSynchronizer.Count + " time slices"); var sw = Stopwatch.StartNew(); algorithmManager.Run(job, algorithm, nullSynchronizer, transactions, results, realtime, leanManager, alphas, token); sw.Stop(); realtime.Exit(); results.Exit(); var thousands = nullSynchronizer.Count / 1000d; var seconds = sw.Elapsed.TotalSeconds; Log.Trace("COUNT: " + nullSynchronizer.Count + " KPS: " + thousands / seconds); }