Fixes python algorithms to pass regression tests

BasicTemplateOptionsAlgorithm
CustomDataRegressionAlgorithm
UniverseSelectionRegressionAlgorithm
WeeklyUniverseSelectionRegressionAlgorithm

Algorithm.Python/CustomDataRegressionAlgorithm.py

@@ -18,11 +18,14 @@ AddReference("QuantConnect.Common")
 AddReference("QuantConnect.Algorithm")
 
 from System import *
-from System.Collections.Generic import List
 from QuantConnect import *
 from QuantConnect.Algorithm import QCAlgorithm
-from QuantConnect.Data.UniverseSelection import *
+from QuantConnect.Data import SubscriptionDataSource
+from QuantConnect.Python import PythonData
+
 from datetime import datetime
+import decimal
+import json
 
 ### <summary>
 ### Regression test to demonstrate importing and trading on custom data.
@@ -34,17 +37,85 @@ from datetime import datetime
 ### <meta name="tag" content="regression test" />
 class CustomDataRegressionAlgorithm(QCAlgorithm):
 
-    ''' Regression algorithm for custom data '''
-
     def Initialize(self):
 
-        self.SetStartDate(2014,04,01)  #Set Start Date
-        self.SetEndDate(2015,04,30)    #Set End Date
-        self.SetCash(50000)            #Set Strategy Cash
+        self.SetStartDate(2011,9,13)   # Set Start Date
+        self.SetEndDate(2015,12,1)     # Set End Date
+        self.SetCash(100000)           # Set Strategy Cash
 
-        self.AddData[Bitcoin]("BTC", Resolution.Daily)
+        resolution = Resolution.Second if self.LiveMode else Resolution.Daily
+        self.AddData(Bitcoin, "BTC", resolution)
 
     def OnData(self, data):
         if not self.Portfolio.Invested:
             if data['BTC'].Close != 0 :
-                self.Order('BTC', self.Portfolio.MarginRemaining/abs(data['BTC'].Close + 1))
+                self.Order('BTC', self.Portfolio.MarginRemaining/abs(data['BTC'].Close + 1))
+
+
+class Bitcoin(PythonData):
+    '''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
+
+    def GetSource(self, config, date, isLiveMode):
+        if isLiveMode:
+            return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
+
+        #return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
+        # OR simply return a fixed small data file. Large files will slow down your backtest
+        return SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);
+
+
+    def Reader(self, config, line, date, isLiveMode):
+        coin = Bitcoin()
+        coin.Symbol = config.Symbol
+
+        if isLiveMode:
+            # Example Line Format:
+            # {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
+            try:
+                liveBTC = json.loads(line)
+
+                # If value is zero, return None
+                value = decimal.Decimal(liveBTC["last"])
+                if value == 0: return None
+
+                coin.Time = datetime.now()
+                coin.Value = value
+                coin["Open"] = float(liveBTC["open"])
+                coin["High"] = float(liveBTC["high"])
+                coin["Low"] = float(liveBTC["low"])
+                coin["Close"] = float(liveBTC["last"])
+                coin["Ask"] = float(liveBTC["ask"])
+                coin["Bid"] = float(liveBTC["bid"])
+                coin["VolumeBTC"] = float(liveBTC["volume"])
+                coin["WeightedPrice"] = float(liveBTC["vwap"])
+                return coin
+            except ValueError:
+                # Do nothing, possible error in json decoding
+                return None
+
+        # Example Line Format:
+        # Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
+        # 2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
+        if not (line.strip() and line[0].isdigit()): return None
+
+        try:
+            data = line.split(',')
+
+            # If value is zero, return None
+            value = decimal.Decimal(data[4])
+            if value == 0: return None
+
+            coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
+            coin.Value = value
+            coin["Open"] = float(data[1])
+            coin["High"] = float(data[2])
+            coin["Low"] = float(data[3])
+            coin["Close"] = float(data[4])
+            coin["VolumeBTC"] = float(data[5])
+            coin["VolumeUSD"] = float(data[6])
+            coin["WeightedPrice"] = float(data[7])
+            return coin;
+
+        except ValueError:
+            # Do nothing, possible error in json decoding
+            return None