github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

pep8 conversions of python algos, #6 (#7944)

Browse Source 
* pep8 conversions

* Address review. Fix PythonIndicator

* Minor CSharp algo fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 02:15:18 +08:00
committed by GitHub
parent 1cae47ab25
commit 5eb236834f
35 changed files with 758 additions and 746 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/CustomSecurityInitializerAlgorithm.py
+22 -22
View File
@@ -24,28 +24,28 @@ from AlgorithmImports import *
### <meta name="tag" content="trading and orders" />
class CustomSecurityInitializerAlgorithm(QCAlgorithm):
def Initialize(self):
def initialize(self):
# set our initializer to our custom type
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE)
func_security_seeder = FuncSecuritySeeder(Func[Security, BaseData](self.custom_seed_function))
self.SetSecurityInitializer(CustomSecurityInitializer(self.BrokerageModel, func_security_seeder, DataNormalizationMode.Raw))
self.set_security_initializer(CustomSecurityInitializer(self.brokerage_model, func_security_seeder, DataNormalizationMode.RAW))
self.SetStartDate(2013,10,1)
self.SetEndDate(2013,11,1)
self.set_start_date(2013,10,1)
self.set_end_date(2013,11,1)
self.AddEquity("SPY", Resolution.Hour)
self.add_equity("SPY", Resolution.HOUR)
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
def on_data(self, data):
if not self.portfolio.invested:
self.set_holdings("SPY", 1)
def custom_seed_function(self, security):
resolution = Resolution.Hour
resolution = Resolution.HOUR
df = self.History(security.Symbol, 1, resolution)
df = self.history(security.symbol, 1, resolution)
if df.empty:
return None
@@ -56,7 +56,7 @@ class CustomSecurityInitializerAlgorithm(QCAlgorithm):
low = last_bar.low.values[0]
close = last_bar.close.values[0]
volume = last_bar.volume.values[0]
return TradeBar(date_time, security.Symbol, open, high, low, close, volume, Extensions.ToTimeSpan(resolution))
return TradeBar(date_time, security.symbol, open, high, low, close, volume, Extensions.to_time_span(resolution))
class CustomSecurityInitializer(BrokerageModelSecurityInitializer):
@@ -64,20 +64,20 @@ class CustomSecurityInitializer(BrokerageModelSecurityInitializer):
We sub-class the BrokerageModelSecurityInitializer so we can also
take advantage of the default model/leverage setting behaviors'''
def __init__(self, brokerageModel, securitySeeder, dataNormalizationMode):
def __init__(self, brokerage_model, security_seeder, data_normalization_mode):
'''Initializes a new instance of the CustomSecurityInitializer class with the specified normalization mode
brokerageModel -- The brokerage model used to get fill/fee/slippage/settlement models
securitySeeder -- The security seeder to be used
dataNormalizationMode -- The desired data normalization mode'''
self.base = BrokerageModelSecurityInitializer(brokerageModel, securitySeeder)
self.dataNormalizationMode = dataNormalizationMode
brokerage_model -- The brokerage model used to get fill/fee/slippage/settlement models
security_seeder -- The security seeder to be used
data_normalization_mode -- The desired data normalization mode'''
self.base = BrokerageModelSecurityInitializer(brokerage_model, security_seeder)
self.data_normalization_mode = data_normalization_mode
def Initialize(self, security):
def initialize(self, security):
'''Initializes the specified security by setting up the models
security -- The security to be initialized
seedSecurity -- True to seed the security, false otherwise'''
seed_security -- True to seed the security, false otherwise'''
# first call the default implementation
self.base.Initialize(security)
self.base.initialize(security)
# now apply our data normalization mode
security.SetDataNormalizationMode(self.dataNormalizationMode)
security.set_data_normalization_mode(self.data_normalization_mode)