/debug-performance - QuantConnect Performance Debugging

Invoked on a slow backtest. Work top to bottom. Find the dominant cost before changing code. Same Performance Chart rules for main.py and main.cs; Python can add cProfile only when Section 4 says to.

0. Never add error-hiding patterns

Never introduce pytry/exceptcstry/catch or pyhasattr/getattr/setattr/isinstancecsreflection. They hide the exact failure or slow path. A profiler wrapper measures work; it is not a catch. If existing code wraps the slow region in one, remove it, re-run, read the real behavior, then continue.

1. Enable Performance Chart first

Record the original pyset_start_date/set_end_datecsSetStartDate/SetEndDate and universe, then shrink both: usually 1 to 3 months and the smallest universe that still reproduces the slowdown. Set Settings.PerformanceSamplePeriod = TimeSpan.FromDays(7) in Initialize, then run the short backtest. Open the results and inspect the Performance Chart. Record the dominant series: the tallest spike, or the sustained plateau if there is no single spike. Do not optimize before naming the series.

2. Route by dominant series

Read which series dominates:

• Selection, Consolidators, OnData, Schedule, Subscriptions, Securities, Transactions, SplitsDividendsDelisting, Slice, HistoryDataPoints, or ActiveSecurities -> Section 3.
• CPU, ManagedRAM, or TotalRAM high with no single time-series dominant -> Section 4 for Python, or keep using the chart for C#.
• DataPoints low -> Section 3, Subscriptions row. If multiple series spike together, start with the earliest causal source: Subscriptions before Consolidators, Consolidators before OnData, Selection before Securities or Transactions. Treat CPU and RAM as symptoms until the chart or profiler names the code path.

3. Fix by bottleneck

Change only the code path that corresponds to the dominant series. Re-run the same short backtest after each change and compare the same chart region. For rolling calculations, use this order: built-in indicator first, indicator extension second, Security.session for cached OHLCV/session data third, and manual RollingWindow/deque only when LEAN has no built-in equivalent. Example: a trailing mean of closes is an SMA, so use pyself.sma(security, period) instead of storing closes and averaging them manually.

4. Python profiler with logs

Use cProfile only when CPU, ManagedRAM, or TotalRAM is high and the Performance Chart does not isolate the expensive function. This is Python only. C# does not have a built-in cProfile equivalent; use the chart series exclusively.

1. At the top of main.py, before the class:
2. In OnEndOfAlgorithm, disable the profiler and log the top cumulative-time lines. Do not save the report to the Object Store:
3. Read the cumulative time column in the backtest logs. The top function is the bottleneck; map it back to a Section 3 series and apply the matching fix. Remove the profiler after measurement unless the user explicitly wants another profiling run.

5. Checklist

1. No banned error-hiding pattern (Section 0).
2. Original dates + universe recorded before shrinking.
3. Performance Chart enabled; short backtest run to expose the dominant series.
4. Dominant series identified before applying any fix (Section 2).
5. Fix targets the real bottleneck series, not a guess (Section 3).
6. Built-in indicators/extensions considered before adding pyRollingWindow/dequecsRollingWindow.
7. Profiler used only for Python when chart alone does not pinpoint the function.
8. Profiler output logged with Log; Object Store not used.
9. Original period + universe restored; final backtest confirms the spike is gone.