Adds Python Example of ObjectStoreExampleAlgorithm

Minor change in C# version to keep consistency between examples.
2020-04-14 14:24:05 +01:00
parent 76b7f530bc
commit 2e5eddfc29
4 changed files with 119 additions and 17 deletions
@@ -0,0 +1,102 @@
+# 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 QCAlgorithm
+from QuantConnect.Indicators import IndicatorDataPoint, RollingWindow
+from datetime import timedelta
+from io import StringIO
+import pandas as pd
+
+class ObjectStoreExampleAlgorithm(QCAlgorithm):
+    '''This algorithm showcases some features of the IObjectStore feature.
+    One use case is to make consecutive backtests run faster by caching the results of
+    potentially time consuming operations. In this example, we save the results of a
+    history call. This pattern can be equally applied to a machine learning model being
+    trained and then saving the model weights in the object store.
+    '''
+    SPY_Close_ObjectStore_Key = "spy_close"
+    SPY_Close_History = RollingWindow[IndicatorDataPoint](252)
+    SPY_Close_EMA10_History = RollingWindow[IndicatorDataPoint](252)
+    SPY_Close_EMA50_History = RollingWindow[IndicatorDataPoint](252)
+
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 11)
+
+        self.SPY = self.AddEquity("SPY", Resolution.Minute).Symbol
+
+        self.SPY_Close = self.Identity(self.SPY, Resolution.Daily)
+        self.SPY_Close_EMA10 = IndicatorExtensions.EMA(self.SPY_Close, 10)
+        self.SPY_Close_EMA50 = IndicatorExtensions.EMA(self.SPY_Close, 50)
+
+        # track last year of close and EMA10/EMA50
+        self.SPY_Close.Updated += lambda _, args: self.SPY_Close_History.Add(args)
+        self.SPY_Close_EMA10.Updated += lambda _, args: self.SPY_Close_EMA10_History.Add(args)
+        self.SPY_Close_EMA50.Updated += lambda _, args: self.SPY_Close_EMA50_History.Add(args)
+
+        if self.ObjectStore.ContainsKey(self.SPY_Close_ObjectStore_Key):
+            # our object store has our historical data saved, read the data
+            # and push it through the indicators to warm everything up
+            values = self.ObjectStore.Read(self.SPY_Close_ObjectStore_Key)
+            self.Debug(f'{self.SPY_Close_ObjectStore_Key} key exists in object store.')
+
+            history = pd.read_csv(StringIO(values), header=None, index_col=0, squeeze=True)
+            history.index = pd.to_datetime(history.index)
+            for time, close in history.iteritems():
+                self.SPY_Close.Update(time, close)
+
+        else:
+            self.Debug(f'{self.SPY_Close_ObjectStore_Key} key does not exist in object store. Fetching history...')
+
+            # if our object store doesn't have our data, fetch the history to initialize
+            # we're pulling the last year's worth of SPY daily trade bars to fee into our indicators
+            history = self.History(self.SPY, timedelta(365), Resolution.Daily).close.unstack(0).squeeze()
+
+            for time, close in history.iteritems():
+                self.SPY_Close.Update(time, close)
+
+            # save our warm up data so next time we don't need to issue the history request
+            self.ObjectStore.Save(self.SPY_Close_ObjectStore_Key,
+                '\n'.join(reversed([f'{x.EndTime},{x.Value}' for x in self.SPY_Close_History])))
+
+            # Can also use ObjectStore.SaveBytes(key, byte[])
+            # and to read  ObjectStore.ReadBytes(key) => byte[]
+
+            # we can also get a file path for our data. some ML libraries require model
+            # weights to be loaded directly from a file path. The object store can provide
+            # a file path for any key by: ObjectStore.GetFilePath(key) => string (file path)
+
+    def OnData(self, slice):
+
+        close = self.SPY_Close
+        ema10 = self.SPY_Close_EMA10
+        ema50 = self.SPY_Close_EMA50
+
+        if ema10 > close and ema10 > ema50:
+            self.SetHoldings(self.SPY, 1)
+
+        elif ema10 < close and ema10 < ema50:
+            self.SetHoldings(self.SPY, -1);
+
+        elif ema10 < ema50 and self.Portfolio[self.SPY].IsLong:
+            self.Liquidate(self.SPY);
+
+        elif ema10 > ema50 and self.Portfolio[self.SPY].IsShort:
+            self.Liquidate(self.SPY)