Big universe with daily volume, Runtime exceptions, OutOfMemoryException

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I want to go thru as many stocks as possible, and 15 minutes before close, I want to see the volume untill that moment - for "today", and also be able to count with volumes, open and close from past 20 day.

It seems like this is too big of a task for quantconnect platform, I got bunch of weird errors, some from docker and some OutOfMemoryException.

I started using History, than I moved to MovingWindow, taking 30 stocks for 100 days. But still have performance issues. And Im nowhere close to the numbers I want to be. 

Do I am missing something? Or is there any better way of doing this? Thanks for any help.

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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.


Hey Vojta, it should easily fit into the B8-16 node you've deployed. Can you share some code so we can help more? 

Are you just looking for daily volumes or minute by minute for 1000's of stocks for 20 days? 

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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.


What I'm trying to achieve is to get rougly 5000 stocks out of universe, than get history volume of 20 daysd, and on 21st day if volume is double of the average of 20 days prior and on 21st dat the price was rising = Open is lower than current price - that is 15 minutes beore close. If those conditions are met, I want to open poistion with stop loss and take profit orders. I hope it makes sense. 

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Hi Vojta,
Running History requests can be quite expensive, so I suggest trying to storing the CoarseFundamental.Volume values inside a Coarse function into RollingWindows.

Best,
Shile Wen

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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.


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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.


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