I have a simple custom data as follows. History calls on the custom data are 10x slower both in the research environment and during backtests, compared to history calls on native Crypto datatypes. How do I make it faster?

  1. class CryptoAuxData(PythonData):
  3.     def GetSource(self, config, date, isLiveMode):
  4.         return SubscriptionDataSource(
  5.             os.path.join(Globals.DataFolder, f"crypto/binance/hour_aux/{config.Symbol.Value.lower()}.csv"),
  6.             SubscriptionTransportMedium.LocalFile
  7.         )
  10.     def Reader(self, config, line, date, isLiveMode):
  11.         coin = CryptoAggData()
  12.         coin.Symbol = config.Symbol
  13.         try:
  14.             data = line.split(',')
  15.             value = float(data[4])
  16.             if value <= 0: return None
  17.             coin.Time = datetime.strptime(data[0], "%Y%m%d %H:%M")
  18.             coin.Value = value
  19.             # coin.EndTime = coin.Time + timedelta(minutes=5)
  20.             coin["Open"] = float(data[1])
  21.             coin["High"] = float(data[2])
  22.             coin["Low"] = float(data[3])
  23.             coin["Close"] = float(data[4])
  24.             coin["Volume"] = float(data[5])
  25.             coin["NumTrades"] = float(data[6])
  26.             coin["MarketBuy"] = float(data[7])
  27.             return coin
  28.         except ValueError:
  29.             # Do nothing, possible error in json decoding
  30.             return None
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Author

Bhuang

July 2023