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Slow/truncated backtest when non-price data is used

I have noticed that when I include things like CBOE and USEnergy data, e.g.

self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyGrossInputsIntoRefineries).Symbol

self.AddData(CBOE, "VIX").Symbol

Then the backtest would become very slow, and (as a result??) it will be terminated after one-year worth of backtesting period. Anyone has this problem? What is the solution?

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Hi pfchang !

Could you share a complete basic algorithm that reproduces the performance issue?

I created an github issue for a performance improvement we detected 3772 but it might not be the same issue.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Yes for example, there is a huge difference in calc time depending on whether the commented out block of code is or is not in effect. And it seems that 

self.cboeVix = self.AddData(CBOE, "VIX").Symbol

would have caused the same issue.

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Thanks Pfchang we fixed this issue.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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