Performance improvements ClrObject - Dispose PyObj

[Martin-Molinero]

What does this implement/fix? Explain your changes.

• Increasing minor version to 14
• Adding UnsafeDispose() for PyObject which does not require acquiring/releasing the lock, for performance
• Adding check before calling SetArgsAndCause for the ClrObject, the call only makes sense when we are an exception and causes an overhead. 3 seconds out of 43s.

Master Samplig:

Algorithm:

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
import numpy as np

from datetime import timedelta

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015,1,1)
        self.SetEndDate(2018,1,1)
        self.SetCash(100000)

        self.symbols = [Symbol.Create(x, SecurityType.Equity, Market.USA)
                        for x in ["SPY", "GOOG", "AAPL", "FB", "AMZN"]]

        self.AddEquity("SPY", Resolution.Minute)
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.CoarseSelectionFunction)

    def OnData(self, data):
        pass

    def CoarseSelectionFunction(self, coarse):
        return self.symbols