Expected Behavior

• Py and C# performance score of the indicator benchmark, are as close as possible

Actual Behavior

• C# performance score is at ~14 dps (data points per second), Python is at ~5 dps. https://www.quantconnect.com/status/

Potential Solution

• Profile and review hot spots:
  

• magic() and GetValue() are hot spots (PythonNet code https://github.com/QuantConnect/pythonnet).

  • GetValue() uses reflection to find and call the Getter method -> This could be cached. Same applies for the Setter method (even if not triggered by this benchmark)
  • ObjectOffset.magic() method returns an integer which is an offset. The returned int has two possible values depending on the python object type being an exception or not. -> we can have a type cache holding if its an exception or not.
    - The cache can also be used by ObjectOffset.DictOffset() and ObjectOffset.Size()

Reproducing the Problem

Execute Py and C# Indicator benchmark algorithms, https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/Benchmarks/IndicatorRibbonBenchmark.py

System Information

N/A

Checklist

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• I have provided detailed steps to reproduce the issue