Python algos in a file with the algo name like C#

build.bat (batch.sh in Linux) includes the code inside the file with the desired algorithm (set in config.json by "algorithm-type-name") in the python DLL (QuantConnect.Algorithm.Python.dll) via IronPython. In the AlgorithmFactory, Loader.TryCreatePythonAlgorithm imports the module with the algorithm name instead of "main".
2016-02-13 10:52:44 -02:00
parent da957790ec
commit 0af069d541
5 changed files with 58 additions and 7 deletions
@@ -0,0 +1,45 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+# 
+# Licensed under the Apache License, Version 2.0 (the "License"); 
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+# 
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import clr
+clr.AddReference("System")
+clr.AddReference("QuantConnect.Algorithm")
+clr.AddReference("QuantConnect.Indicators")
+clr.AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Indicators import *
+
+
+class BasicTemplateAlgorithm(QCAlgorithm):
+    '''Basic template algorithm simply initializes the date range and cash'''
+
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        
+        self.SetStartDate(2013,10,07)  #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if not self.Portfolio.Invested:
+            self.SetHoldings("SPY", 1)