/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System.Collections.Generic; using System.Linq; using QuantConnect.Data; namespace QuantConnect.Algorithm.CSharp.Benchmarks { /// /// Benchmark Algorithm: Loading and synchronization of 400 equity minute symbols. /// /// /// Testing the parsing; synchronizing and injection of data into LEAN event handlers. This directly adds the symbols to avoid universe /// selection overhead. Later tests will include universe selection. The data sources are sparse. /// public class EmptyMinute400EquityBenchmark : QCAlgorithm { public override void Initialize() { SetStartDate(2015, 9, 1); SetEndDate(2015, 12, 1); foreach (var symbol in Symbols.Equity.All.Take(400)) { AddSecurity(SecurityType.Equity, symbol); } } public override void OnData(Slice slice) { } } public static class Symbols { public static class Equity { #region All public static readonly HashSet All = new HashSet { "SPY", "AAPL", "FB", "VXX", "VRX", "NFLX", "UVXY", "QQQ", "IWM", "BABA", "GILD", "XIV", "XOM", "CVX", "MSFT", "GE", "SLB", "JPM", "XLE", "DIS", "AMZN", "TWTR", "PFE", "C", "BAC", "ABBV", "JNJ", "HAL", "XLV", "INTC", "WFC", "V", "YHOO", "COP", "MYL", "AGN", "WMT", "KMI", "MRK", "TSLA", "GDX", "LLY", "FCX", "CAT", "CELG", "QCOM", "MCD", "CMCSA", "XOP", "CVS", "AMGN", "DOW", "AAL", "APC", "SUNE", "MU", "VLO", "SBUX", "WMB", "PG", "EOG", "DVN", "BMY", "APA", "UNH", "EEM", "IBM", "NKE", "T", "HD", "UNP", "DAL", "ENDP", "CSCO", "OXY", "MRO", "MDT", "TXN", "WLL", "ORCL", "GOOGL", "UAL", "WYNN", "MS", "HZNP", "BIIB", "VZ", "GM", "NBL", "TWX", "SWKS", "JD", "HCA", "AVGO", "YUM", "KO", "GOOG", "GS", "PEP", "AIG", "EMC", "BIDU", "CLR", "PYPL", "LVS", "SWN", "AXP", "ATVI", "RRC", "WBA", "MPC", "NXPI", "ETE", "NOV", "FOXA", "SNDK", "DIA", "UTX", "DD", "WDC", "AA", "M", "FXI", "RIG", "MA", "DUST", "TGT", "AET", "EBAY", "LUV", "EFA", "BRK.B", "BA", "MET", "LYB", "SVXY", "UWTI", "HON", "HPQ", "OAS", "ABT", "MO", "ESRX", "TEVA", "STX", "IBB", "F", "CBS", "TLT", "PM", "ESV", "NE", "PSX", "SCHW", "MON", "HES", "GPRO", "TVIX", "MNK", "NVDA", "NFX", "USO", "NUGT", "EWZ", "LOW", "UA", "TNA", "XLY", "MMM", "PXD", "VIAB", "MDLZ", "NEM", "USB", "MUR", "ETN", "FEYE", "PTEN", "OIH", "UPS", "CHK", "DHR", "RAI", "TQQQ", "CCL", "BRCM", "DG", "JBLU", "CRM", "ADBE", "COG", "PBR", "HP", "BHI", "BK", "TJX", "DE", "COF", "INCY", "DHI", "ABC", "XLI", "ZTS", "BP", "IYR", "PNC", "CNX", "XLF", "LRCX", "GG", "RDS.A", "WFM", "TSO", "ANTM", "KSS", "EA", "PRU", "RAD", "WFT", "XBI", "THC", "VWO", "CTSH", "ABX", "VMW", "CSX", "ACN", "EMR", "SE", "MJN", "SKX", "ACE", "P", "CMI", "CL", "CAH", "EXC", "DUK", "AMAT", "AEM", "FTI", "STT", "ILMN", "HOG", "KR", "EXPE", "VRTX", "IVV", "CAM", "GPS", "MCK", "ADSK", "CMCSK", "HTZ", "MGM", "DLTR", "STI", "CYH", "MOS", "CNQ", "GLW", "KEY", "KORS", "SIRI", "EPD", "SU", "DFS", "TMO", "TAP", "HST", "NBR", "EQT", "XLU", "BSX", "COST", "CTRP", "HFC", "VNQ", "TRV", "POT", "CERN", "LLTC", "DO", "ADI", "BAX", "AMT", "URI", "UCO", "ECA", "MAS", "ALL", "PCAR", "VIPS", "ATW", "SPXU", "LNKD", "X", "TSM", "SO", "BBT", "SYF", "VFC", "CXO", "IR", "PWR", "GLD", "LNG", "ETP", "JNPR", "MAT", "KLAC", "XLK", "TRIP", "AEP", "VTR", "ROST", "RDC", "CF", "FAS", "HCN", "AR", "SM", "WPX", "D", "HOT", "PRGO", "ALXN", "CNC", "VALE", "JCP", "GDXJ", "OKE", "ADM", "JOY", "TSN", "MAR", "KHC", "NSC", "CMA", "COH", "GMCR", "FL", "FITB", "BHP", "JWN", "DNR", "PBF", "XLNX" }; #endregion } } }