Address reviews from Mike and Martin

* Added better documentation for AddData methods * Added new regression algorithms for adding in OnSecuritiesChanged * Changed regression algorithms to add data that exists * Styling and logging fixes
2019-09-23 14:36:54 -07:00
parent e785f95eee
commit 56462f0283
10 changed files with 247 additions and 25 deletions
@@ -0,0 +1,57 @@
+# 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.Algorithm.Framework.Selection import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Custom.SEC import *
+from QuantConnect.Data.UniverseSelection import *
+
+class CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2014, 3, 24)
+        self.SetEndDate(2014, 4, 7)
+        self.SetCash(100000)
+
+        self.UniverseSettings.Resolution = Resolution.Daily
+
+        self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelector))
+
+    def CoarseSelector(self, coarse):
+        return [
+            Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
+            Symbol.Create("BAC", SecurityType.Equity, Market.USA),
+            Symbol.Create("FB", SecurityType.Equity, Market.USA),
+            Symbol.Create("GOOGL", SecurityType.Equity, Market.USA),
+            Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
+            Symbol.Create("IBM", SecurityType.Equity, Market.USA),
+        ]
+
+    def OnData(self, data):
+        for customSymbol in self.customSymbols:
+            if not self.ActiveSecurities.ContainsKey(customSymbol.Underlying):
+                raise Exception(f"Custom data undelrying ({customSymbol.Underlying}) Symbol was not found in active securities")
+
+    def OnSecuritiesChanged(self, changes):
+        self.customSymbols = []
+
+        for added in changes.AddedSecurities:
+            self.customSymbols.append(self.AddData(SECReport8K, added.Symbol, Resolution.Daily).Symbol)