Implements Sec Custom Data, ToolBox Application, and Sample Algorithm

2019-05-21 16:47:53 -07:00
parent 51008b4d3c
commit 2ad1f19f85
31 changed files with 1926 additions and 8 deletions
@@ -0,0 +1,72 @@
+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data.Custom.SEC import *
+
+### <summary>
+### Demonstration algorithm showing how to use and access SEC data
+### </summary>
+### <meta name="tag" content="fundamental" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="custom data" />
+### <meta name="tag" content="SEC" />
+class TiingoDailyDataAlgorithm(QCAlgorithm):
+
+    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(2019, 1, 1)
+        self.SetEndDate(2019, 1, 31)
+        self.SetCash(100000)
+
+        self.ticker = "AAPL"
+        self.symbol = self.AddData(SECReport10Q, self.ticker).Symbol
+        self.AddData(SECReport8K, self.ticker)
+
+    def OnData(self, slice):
+        # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        data = slice[self.ticker]
+        report = data.Report
+
+        self.Log(f"Form Type {report.FormType}")
+        self.Log(f"Filing Date: {str(report.FilingDate)}")
+
+        for filer in report.Filers:
+            self.Log(f"Filing company name: {filer.CompanyData.ConformedName}")
+            self.Log(f"Filing company CIK: {filer.CompanyData.Cik}")
+            self.Log(f"Filing company EIN: {filer.CompanyData.IrsNumber}")
+
+            for formerCompany in filer.FormerCompanies:
+                self.Log(f"Former company name of {filer.CompanyData.ConformedName}: {formerCompany.FormerConformedName}")
+                self.Log(f"Date of company name change: {str(formerCompany.Changed)}")
+
+
+        # SEC documents can come in multiple documents.
+        # For multi-document reports, sometimes the document contents after the first document
+        # are files that have a binary format, such as JPG and PDF files
+        for document in report.Documents:
+            self.Log(f"Filename: {document.Filename}")
+            self.Log(f"Document description: {document.Description}")
+
+            # Print sample of contents contained within the document
+            self.Log(document.Text[:100])
+            self.Log("=================")
+
+