Fix bug/syntax in python examples (#8658)
* CustomDataRegressionAlgorithm * DescendingCustomDataObjectStoreRegressionAlgorithm * CustomDataPropertiesRegressionAlgorithm * DateTime -> should be datetime * KerasNeuralNetworkAlgorithm * OptionIndicatorsMirrorContractsRegressionAlgorithm * BybitCustomDataCryptoRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * UserDefinedUniverseAlgorithm * CompleteOrderTagUpdateAlgorithm * BasicTemplateOptionEquityStrategyAlgorithm hint * ETFConstituentUniverseFrameworkRegressionAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * SecurityDynamicPropertyPythonClassAlgorithm * hint * hinting * CallbackCommandRegressionAlgorithm * CustomWarmUpPeriodIndicatorAlgorithm * CrunchDAOSignalExportDemonstrationAlgorithm * ExpiryHelperAlphaModelFrameworkAlgorithm * ClassicRenkoConsolidatorAlgorithm * SmaCrossUniverseSelectionAlgorithm * PEP8 Fix: Assigning to a Method * SliceGetByTypeRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * CustomIndicatorAlgorithm * ScheduledQueuingAlgorithm * ComboOrdersFillModelAlgorithm * CustomIndicatorWithExtensionAlgorithm * IndicatorWithRenkoBarsRegressionAlgorithm * CoarseFineOptionUniverseChainRegressionAlgorithm * NumeraiSignalExportDemonstrationAlgorithm * DropboxUniverseSelectionAlgorithm * WeeklyUniverseSelectionRegressionAlgorithm * AutoRegressiveIntegratedMovingAverageRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * IronCondorStrategyAlgorithm * LongAndShortButterflyPutStrategiesAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * LongAndShortCallCalendarSpreadStrategiesAlgorithm * KerasNeuralNetworkAlgorithm * LongAndShortPutCalendarSpreadStrategiesAlgorithm * OptionPriceModelForOptionStylesBaseRegressionAlgorithm * TensorFlowNeuralNetworkAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * typing * ComboOrderTicketDemoAlgorithm * PytorchNeuralNetworkAlgorithm * MultipleSymbolConsolidationAlgorithm * fixes * revert getattr mypy syntax * address peer review * Addresses Peer-Review --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
This commit is contained in:
Louis Szeto
@@ -11,6 +11,7 @@
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import json
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from AlgorithmImports import *
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### <summary>
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@@ -23,59 +24,56 @@ from AlgorithmImports import *
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### <meta name="tag" content="regression test" />
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class CustomDataPropertiesRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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def initialize(self) -> None:
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self.set_start_date(2020, 1, 5) # Set Start Date
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self.set_end_date(2020, 1, 10) # Set End Date
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self.set_cash(100000) # Set Strategy Cash
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self.set_end_date(2020, 1, 10) # Set End Date
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self.set_cash(100000) # Set Strategy Cash
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# Define our custom data properties and exchange hours
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self.ticker = 'BTC'
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properties = SymbolProperties("Bitcoin", "USD", 1, 0.01, 0.01, self.ticker)
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ticker = 'BTC'
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properties = SymbolProperties("Bitcoin", "USD", 1, 0.01, 0.01, ticker)
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exchange_hours = SecurityExchangeHours.always_open(TimeZones.NEW_YORK)
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# Add the custom data to our algorithm with our custom properties and exchange hours
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self.bitcoin = self.add_data(Bitcoin, self.ticker, properties, exchange_hours, leverage=1, fill_forward=False)
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self._bitcoin = self.add_data(Bitcoin, ticker, properties, exchange_hours, leverage=1, fill_forward=False)
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# Verify our symbol properties were changed and loaded into this security
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if self.bitcoin.symbol_properties != properties :
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if self._bitcoin.symbol_properties != properties :
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raise AssertionError("Failed to set and retrieve custom SymbolProperties for BTC")
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# Verify our exchange hours were changed and loaded into this security
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if self.bitcoin.exchange.hours != exchange_hours :
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if self._bitcoin.exchange.hours != exchange_hours :
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raise AssertionError("Failed to set and retrieve custom ExchangeHours for BTC")
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# For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
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# with default params and is not routed to a breaking function.
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self.add_data(Bitcoin, "BTCUSD")
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def on_data(self, data):
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def on_data(self, data: Slice) -> None:
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if not self.portfolio.invested:
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if data['BTC'].close != 0 :
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self.order('BTC', self.portfolio.margin_remaining/abs(data['BTC'].close + 1))
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def on_end_of_algorithm(self):
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def on_end_of_algorithm(self) -> None:
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#Reset our Symbol property value, for testing purposes.
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self.symbol_properties_database.set_entry(Market.USA, self.market_hours_database.get_database_symbol_key(self.bitcoin.symbol), SecurityType.BASE,
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self.symbol_properties_database.set_entry(Market.USA, self.market_hours_database.get_database_symbol_key(self._bitcoin.symbol), SecurityType.BASE,
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SymbolProperties.get_default("USD"))
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class Bitcoin(PythonData):
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'''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
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def get_source(self, config, date, is_live_mode):
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def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
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if is_live_mode:
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return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.REST)
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#return "http://my-ftp-server.com/futures-data-" + date.to_string("Ymd") + ".zip"
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# OR simply return a fixed small data file. Large files will slow down your backtest
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subscription = SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=WyAazVXnq7ATy_fefTqm")
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subscription.Sort = True
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subscription.sort = True
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return subscription
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def reader(self, config, line, date, is_live_mode):
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def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> DynamicData:
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coin = Bitcoin()
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coin.symbol = config.symbol
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@@ -87,7 +85,7 @@ class Bitcoin(PythonData):
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# If value is zero, return None
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value = live_btc["last"]
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if value == 0: return None
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if value == 0: return coin
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coin.time = datetime.now()
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coin.value = value
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@@ -102,17 +100,17 @@ class Bitcoin(PythonData):
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return None
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return coin
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# Example Line Format:
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#code date high low mid last bid ask volume
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#BTCUSD 2024-10-08 63248.0 61940.0 62246.5 62245.0 62246.0 62247.0 5.929230648356
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if not (line.strip() and line[7].isdigit()): return None
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if not (line.strip() and line[7].isdigit()): return coin
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try:
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data = line.split(',')
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coin.time = datetime.strptime(data[1], "%Y-%m-%d")
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coin.end_time = coin.time + timedelta(days=1)
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coin.end_time = coin.time + timedelta(1)
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coin.value = float(data[5])
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coin["High"] = float(data[2])
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coin["Low"] = float(data[3])
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@@ -125,4 +123,4 @@ class Bitcoin(PythonData):
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except ValueError:
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# Do nothing, possible error in json decoding
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return None
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return coin
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