Python performance improvement

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -32,7 +32,7 @@
     <DebugType>portable</DebugType>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Fuzzy" Version="3.6.0" />
     <PackageReference Include="Accord.MachineLearning" Version="3.6.0" />

Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj

@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Math" Version="3.6.0" />
     <PackageReference Include="Accord.Statistics" Version="3.6.0" />

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -37,7 +37,7 @@
     <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
   </ItemGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
   </ItemGroup>
   <ItemGroup>
     <Content Include="OptionUniverseFilterGreeksShortcutsRegressionAlgorithm.py" />

Algorithm/QuantConnect.Algorithm.csproj

@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
     <PackageReference Include="NodaTime" Version="3.0.5" />

AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj

@@ -28,7 +28,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="NodaTime" Version="3.0.5" />
   </ItemGroup>
   <ItemGroup>

Brokerages/BrokerageConcurrentMessageHandler.cs

@@ -172,8 +172,6 @@ private interface ILock : IDisposable
         {
             int CurrentWriteCount { get; }
 
-            void EnterReadLock();
-
             void ExitReadLock();
 
             bool TryEnterReadLockImmediately();
@@ -204,8 +202,6 @@ public ReaderWriterLockWrapper()
             {
                 _lock = new ReaderWriterLockSlim(LockRecursionPolicy.NoRecursion);
             }
-
-            public void EnterReadLock() => _lock.EnterWriteLock();
             public void ExitReadLock() => _lock.ExitWriteLock();
             public bool TryEnterReadLockImmediately() => _lock.TryEnterWriteLock(0);
             public void EnterWriteLock() => _lock.EnterReadLock();
@@ -230,8 +226,6 @@ public MonitorWrapper()
                 _lockObject = new object();
             }
 
-            public void EnterReadLock() => Monitor.Enter(_lockObject);
-
             public void ExitReadLock() => Monitor.Exit(_lockObject);
 
             public bool TryEnterReadLockImmediately() => Monitor.TryEnter(_lockObject);

Common/Extensions.cs

@@ -4451,10 +4451,9 @@ public static bool IsCustomDataType(Symbol symbol, Type type)
         /// <param name="security">Security for which we would like to make a market order</param>
         /// <param name="quantity">Quantity of the security we are seeking to trade</param>
         /// <param name="time">Time the order was placed</param>
-        /// <param name="marketOrder">This out parameter will contain the market order constructed</param>
-        public static CashAmount GetMarketOrderFees(Security security, decimal quantity, DateTime time, out MarketOrder marketOrder)
+        public static CashAmount GetMarketOrderFees(Security security, decimal quantity, DateTime time)
         {
-            marketOrder = new MarketOrder(security.Symbol, quantity, time);
+            var marketOrder = new MarketOrder(security.Symbol, quantity, time);
             return security.FeeModel.GetOrderFee(new OrderFeeParameters(security, marketOrder)).Value;
         }
 

Common/Orders/OrderSizing.cs

@@ -95,7 +95,7 @@ public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarge
             // Adjust the order quantity taking into account the fee's
             if (accountForFees && security.Symbol.SecurityType == SecurityType.Crypto && quantity > 0)
             {
-                var orderFee = Extensions.GetMarketOrderFees(security, quantity, algorithm.UtcTime, out _);
+                var orderFee = Extensions.GetMarketOrderFees(security, quantity, algorithm.UtcTime);
                 var baseCurrency = ((Crypto)security).BaseCurrency.Symbol;
                 if (baseCurrency == orderFee.Currency)
                 {

Common/QuantConnect.csproj

@@ -35,7 +35,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="CloneExtensions" Version="1.3.0" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />

Common/Securities/SecurityHolding.cs

@@ -14,8 +14,6 @@
 */
 
 using System;
-using QuantConnect.Orders;
-using QuantConnect.Orders.Fees;
 using QuantConnect.Algorithm.Framework.Portfolio;
 
 namespace QuantConnect.Securities
@@ -478,22 +476,26 @@ public virtual ConvertibleCashAmount GetQuantityValue(decimal quantity, decimal
         /// <remarks>Does not use the transaction model for market fills but should.</remarks>
         public virtual decimal TotalCloseProfit(bool includeFees = true, decimal? exitPrice = null, decimal? entryPrice = null, decimal? quantity = null)
         {
-            var quantityToUse = quantity ?? Quantity;
-            if (quantityToUse == 0)
+            var quantityToUse = Quantity;
+            if (quantity.HasValue)
+            {
+                quantityToUse = quantity.Value;
+            }
+            else if (!_invested)
             {
                 return 0;
             }
 
-            // this is in the account currency
-            var orderFee = Extensions.GetMarketOrderFees(_security, -quantityToUse, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone), out var marketOrder);
-
             var feesInAccountCurrency = 0m;
             if (includeFees)
             {
-                feesInAccountCurrency = _currencyConverter.ConvertToAccountCurrency(orderFee).Amount;
+                // this is in the account currency
+                var liquidationFees = Extensions.GetMarketOrderFees(_security, -quantityToUse, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone));
+                feesInAccountCurrency = _currencyConverter.ConvertToAccountCurrency(liquidationFees).Amount;
             }
 
-            var price = marketOrder.Direction == OrderDirection.Sell ? _security.BidPrice : _security.AskPrice;
+            // if we are long, we would need to sell against the bid
+            var price = IsLong ? _security.BidPrice : _security.AskPrice;
             if (price == 0)
             {
                 // Bid/Ask prices can both be equal to 0. This usually happens when we request our holdings from

Engine/QuantConnect.Lean.Engine.csproj

@@ -41,7 +41,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.48" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.49" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />

Engine/Results/BacktestingResultHandler.cs

@@ -400,15 +400,11 @@ protected void SendFinalResult()
         /// <param name="algorithm">Algorithm we're working on.</param>
         /// <param name="startingPortfolioValue">Algorithm starting capital for statistics calculations</param>
         /// <remarks>While setting the algorithm the backtest result handler.</remarks>
-        public virtual void SetAlgorithm(IAlgorithm algorithm, decimal startingPortfolioValue)
+        public override void SetAlgorithm(IAlgorithm algorithm, decimal startingPortfolioValue)
         {
-            Algorithm = algorithm;
+            base.SetAlgorithm(algorithm, startingPortfolioValue);
             Algorithm.SetStatisticsService(this);
             State["Name"] = Algorithm.Name;
-            StartingPortfolioValue = startingPortfolioValue;
-            DailyPortfolioValue = StartingPortfolioValue;
-            CumulativeMaxPortfolioValue = StartingPortfolioValue;
-            AlgorithmCurrencySymbol = Currencies.GetCurrencySymbol(Algorithm.AccountCurrency);
             _capacityEstimate = new CapacityEstimate(Algorithm);
             _progressMonitor = new BacktestProgressMonitor(Algorithm.TimeKeeper, Algorithm.EndDate);
 
@@ -418,21 +414,7 @@ public virtual void SetAlgorithm(IAlgorithm algorithm, decimal startingPortfolio
             ResamplePeriod = TimeSpan.FromMinutes(resampleMinutes);
             Log.Trace("BacktestingResultHandler(): Sample Period Set: " + resampleMinutes.ToStringInvariant("00.00"));
 
-            //Set the security / market types.
-            var types = new List<SecurityType>();
-            foreach (var kvp in Algorithm.Securities)
-            {
-                var security = kvp.Value;
-
-                if (!types.Contains(security.Type)) types.Add(security.Type);
-            }
-            SecurityType(types);
-
             ConfigureConsoleTextWriter(algorithm);
-
-            // Wire algorithm name and tags updates
-            algorithm.NameUpdated += (sender, name) => AlgorithmNameUpdated(name);
-            algorithm.TagsUpdated += (sender, tags) => AlgorithmTagsUpdated(tags);
         }
 
         /// <summary>
@@ -496,18 +478,6 @@ protected override void AddToLogStore(string message)
             base.AddToLogStore(messageToLog);
         }
 
-        /// <summary>
-        /// Send list of security asset types the algorithm uses to browser.
-        /// </summary>
-        public virtual void SecurityType(List<SecurityType> types)
-        {
-            var packet = new SecurityTypesPacket
-            {
-                Types = types
-            };
-            Messages.Enqueue(packet);
-        }
-
         /// <summary>
         /// Send an error message back to the browser highlighted in red with a stacktrace.
         /// </summary>
@@ -743,6 +713,11 @@ public virtual void ProcessSynchronousEvents(bool forceProcess = false)
         {
             if (Algorithm == null) return;
 
+            var time = Algorithm.UtcTime;
+
+            // Check to see if we should update stored portfolio values
+            UpdatePortfolioValues(time, forceProcess);
+
             _capacityEstimate.UpdateMarketCapacity(forceProcess);
 
             // Invalidate the processed days count so it gets recalculated
@@ -751,7 +726,6 @@ public virtual void ProcessSynchronousEvents(bool forceProcess = false)
             // Update the equity bar
             UpdateAlgorithmEquity();
 
-            var time = Algorithm.UtcTime;
             if (time > _nextSample || forceProcess)
             {
                 //Set next sample time: 4000 samples per backtest
@@ -762,14 +736,14 @@ public virtual void ProcessSynchronousEvents(bool forceProcess = false)
 
                 //Also add the user samples / plots to the result handler tracking:
                 SampleRange(Algorithm.GetChartUpdates());
-            }
 
-            ProcessAlgorithmLogs();
+                ProcessAlgorithmLogs();
 
-            //Set the running statistics:
-            foreach (var pair in Algorithm.RuntimeStatistics)
-            {
-                RuntimeStatistic(pair.Key, pair.Value);
+                //Set the running statistics:
+                foreach (var pair in Algorithm.RuntimeStatistics)
+                {
+                    RuntimeStatistic(pair.Key, pair.Value);
+                }
             }
         }