QuantConnect / QuantConnect/Lean
Make RandomDataGeneration parallel for performance gains
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- Dominant language
- C#
- Stars
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Description
Expected Behavior
The RandomDataGenerator should support parallel execution to improve performance. Ideally, tick generation for different symbols would run concurrently while maintaining deterministic output.
Actual Behavior
Currently, the generator runs in a single thread, processing each enumerator sequentially. For large datasets (e.g., multiple symbols over several days or months), this results in long execution times
For instance, running the following command:
lean data generate --start 20231004 --end 20231020 --tickers=SPY --resolution=Minute --security-type=Option --verbose
Running this can take quite a long time
Potential Solution
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start at the RandomDataGenerator entry point exercised by the lean data generate command, using the example options in the issue. Trace how tick generation is organized across symbols. Done means symbol work can run concurrently while producing deterministic output and improving performance on large datasets.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- cli, data, performance
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100