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Modifies python example algorithms to show implicit convertion benefits

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AlexCatarino
2017-06-15 18:40:34 +01:00
parent 6ca9d7cf14
commit 6242706342
22 changed files with 189 additions and 212 deletions
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Algorithm.Python/CustomDataNIFTYAlgorithm.py
+15 -19
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@@ -41,27 +41,23 @@ class CustomDataNIFTYAlgorithm(QCAlgorithm):
# Define the symbol and "type" of our generic data:
self.AddData(DollarRupee, "USDINR")
self.rupee = self.Securities["USDINR"].Symbol
self.AddData(Nifty, "NIFTY")
self.nifty = self.Securities["NIFTY"].Symbol
self.AddEquity("SPY", Resolution.Daily)
self.minimumCorrelationHistory = 50
self.today = CorrelationPair()
self.prices = []
def OnData(self, data):
if self.rupee in data:
if "USDINR" in data:
self.today = CorrelationPair(self.Time)
self.today.CurrencyPrice = data[self.rupee].Close
self.today.CurrencyPrice = data["USDINR"].Close
if self.nifty not in data: return
if "NIFTY" not in data: return
self.today.NiftyPrice = data[self.nifty].Close
self.today.NiftyPrice = data["NIFTY"].Close
if self.today.date() == data[self.nifty].Time.date():
if self.today.date() == data["NIFTY"].Time.date():
self.prices.append(self.today)
if len(self.prices) > self.minimumCorrelationHistory:
self.prices.pop(0)
@@ -69,17 +65,17 @@ class CustomDataNIFTYAlgorithm(QCAlgorithm):
# Strategy
if self.Time.weekday() != 2: return
cur_qnty = self.Portfolio[self.nifty].Quantity
quantity = math.floor(self.Portfolio.TotalPortfolioValue * decimal.Decimal(0.9) / data[self.nifty].Close)
cur_qnty = self.Portfolio["NIFTY"].Quantity
quantity = math.floor(self.Portfolio.MarginRemaining * decimal.Decimal(0.9) / data["NIFTY"].Close)
hi_nifty = max(price.NiftyPrice for price in self.prices)
lo_nifty = min(price.NiftyPrice for price in self.prices)
if data[self.nifty].Open >= hi_nifty:
code = self.Order(self.nifty, quantity - cur_qnty)
self.Debug("LONG {0} Time: {1} Quantity: {2} Portfolio: {3} Nifty: {4} Buying Power: {5}".format(code, self.Time.ToShortDateString(), quantity, self.Portfolio[self.nifty].Quantity, data[self.nifty].Close, self.Portfolio.TotalPortfolioValue))
elif data[self.nifty].Open <= lo_nifty:
code = self.Order(self.nifty, -quantity - cur_qnty)
self.Debug("SHORT {0} Time: {1} Quantity: {2} Portfolio: {3} Nifty: {4} Buying Power: {5}".format(code, self.Time.ToShortDateString(), quantity, self.Portfolio[self.nifty].Quantity, data[self.nifty].Close, self.Portfolio.TotalPortfolioValue))
if data["NIFTY"].Open >= hi_nifty:
code = self.Order("NIFTY", quantity - cur_qnty)
self.Debug("LONG {0} Time: {1} Quantity: {2} Portfolio: {3} Nifty: {4} Buying Power: {5}".format(code, self.Time, quantity, self.Portfolio["NIFTY"].Quantity, data["NIFTY"].Close, self.Portfolio.TotalPortfolioValue))
elif data["NIFTY"].Open <= lo_nifty:
code = self.Order("NIFTY", -quantity - cur_qnty)
self.Debug("SHORT {0} Time: {1} Quantity: {2} Portfolio: {3} Nifty: {4} Buying Power: {5}".format(code, self.Time, quantity, self.Portfolio["NIFTY"].Quantity, data["NIFTY"].Close, self.Portfolio.TotalPortfolioValue))
class Nifty(PythonData):
@@ -149,4 +145,4 @@ class CorrelationPair:
if len(args) > 0: self._date = args[0]
def date(self):
return self._date
return self._date.date()