Adds DropboxUniverseSelectionAlgorithm.py

Add Python version of DropboxUniverseSelectionAlgorithm
2016-03-16 17:31:09 -03:00
parent 9fa8bc61b7
commit 60863d2f8f
2 changed files with 102 additions and 0 deletions
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+# 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 datetime import datetime
+from csv import reader
+from urllib import urlopen
+
+from clr import AddReference
+AddReference("System.Core")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Algorithm")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data.UniverseSelection import *
+
+
+class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
+    '''In this algortihm we show how you can easily use the universe selection feature to fetch symbols
+    to be traded using the AddUniverse method. This method accepts a function that will return the
+    desired current set of symbols. Return Universe.Unchanged if no universe changes should be made'''
+
+    def __init__(self):
+        # the changes from the previous universe selection      
+        self.__changes = SecurityChanges.None
+        # only used in backtest for caching the file results
+        self.__backtestSymbolsPerDay = {}
+        
+
+    def CoarseSelectionFunction(self, dateTime):
+        url = "https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1" \
+            if self.LiveMode else \
+              "https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1"
+
+        # handle live mode file format
+        if self.LiveMode:
+            # fetch the file from dropbox  
+            file = urlopen(url).read()
+            # if we have a file for today, break apart by commas and return symbols
+            if len(file) > 0: return file.ToCsv()
+            # no symbol today, leave universe unchanged
+            return self.Universe.Unchanged
+
+        # backtest - first cache the entire file
+        if len(self.__backtestSymbolsPerDay) == 0:
+            # fetch the file from dropbox only if we haven't cached the result already
+            file = reader(urlopen(url))
+            for line in file:
+                date = datetime.strptime(line[0], '%Y%m%d')
+                self.__backtestSymbolsPerDay[date] = line[1:]
+
+        # if we have symbols for this date return them, else specify Universe.Unchanged
+        return self.__backtestSymbolsPerDay.get(datetime(dateTime), self.Universe.Unchanged)
+
+
+    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(2013,01,01)  #Set Start Date
+        self.SetEndDate(2013,12,31)    #Set End Date
+        # this sets the resolution for data subscriptions added by our universe
+        self.UniverseSettings.Resolution = Resolution.Daily        
+        
+        self.AddUniverse("my-dropbox-universe", Resolution.Daily, self.CoarseSelectionFunction)
+
+        
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if len(data.Bars) == 0: return
+        if self.__changes == SecurityChanges.None: return
+
+        # start fresh
+        self.Liquidate()
+
+        percentage = 1./len(data.Bars)
+        for tradeBar in data.Bars.Values:
+            self.SetHoldings(tradeBar.Symbol, percentage)
+
+        # reset changes
+        self.__changes = SecurityChanges.None
+
+
+    def OnSecuritiesChanged(self, changes):
+        '''Event fired each time the we add/remove securities from the data feed'''
+        # each time our securities change we'll be notified here
+        self.__changes = changes