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pep8 conversion on python algorithms #2 (#7933)

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* pep8 conversion

* more

* Minor fix

* Fix related regression algorithm

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-18 04:36:53 +08:00
committed by GitHub
parent c2bea3c173
commit 784e497691
25 changed files with 466 additions and 466 deletions
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Algorithm.Python/BasicTemplateFuturesFrameworkAlgorithm.py
+28 -28
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@@ -22,60 +22,60 @@ from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel
### </summary>
class BasicTemplateFuturesFrameworkAlgorithm(QCAlgorithm):
def Initialize(self):
def initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.ExtendedMarketHours = self.GetExtendedMarketHours()
self.universe_settings.resolution = Resolution.MINUTE
self.universe_settings.extended_market_hours = self.get_extended_market_hours()
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetCash(100000)
self.set_start_date(2013, 10, 7)
self.set_end_date(2013, 10, 11)
self.set_cash(100000)
# set framework models
self.SetUniverseSelection(FrontMonthFutureUniverseSelectionModel(self.SelectFutureChainSymbols))
self.SetAlpha(ConstantFutureContractAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
self.SetPortfolioConstruction(SingleSharePortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
self.set_universe_selection(FrontMonthFutureUniverseSelectionModel(self.select_future_chain_symbols))
self.set_alpha(ConstantFutureContractAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
self.set_portfolio_construction(SingleSharePortfolioConstructionModel())
self.set_execution(ImmediateExecutionModel())
self.set_risk_management(NullRiskManagementModel())
def SelectFutureChainSymbols(self, utcTime):
newYorkTime = Extensions.ConvertFromUtc(utcTime, TimeZones.NewYork)
if newYorkTime.date() < date(2013, 10, 9):
return [ Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME) ]
def select_future_chain_symbols(self, utc_time):
new_york_time = Extensions.convert_from_utc(utc_time, TimeZones.NEW_YORK)
if new_york_time.date() < date(2013, 10, 9):
return [ Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME) ]
else:
return [ Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX) ]
return [ Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX) ]
def GetExtendedMarketHours(self):
def get_extended_market_hours(self):
return False
class FrontMonthFutureUniverseSelectionModel(FutureUniverseSelectionModel):
'''Creates futures chain universes that select the front month contract and runs a user
defined futureChainSymbolSelector every day to enable choosing different futures chains'''
defined future_chain_symbol_selector every day to enable choosing different futures chains'''
def __init__(self, select_future_chain_symbols):
super().__init__(timedelta(1), select_future_chain_symbols)
def Filter(self, filter):
def filter(self, filter):
'''Defines the futures chain universe filter'''
return (filter.FrontMonth()
.OnlyApplyFilterAtMarketOpen())
return (filter.front_month()
.only_apply_filter_at_market_open())
class ConstantFutureContractAlphaModel(ConstantAlphaModel):
'''Implementation of a constant alpha model that only emits insights for future symbols'''
def __init__(self, type, direction, period):
super().__init__(type, direction, period)
def __init__(self, _type, direction, period):
super().__init__(_type, direction, period)
def ShouldEmitInsight(self, utcTime, symbol):
def should_emit_insight(self, utc_time, symbol):
# only emit alpha for future symbols and not underlying equity symbols
if symbol.SecurityType != SecurityType.Future:
if symbol.security_type != SecurityType.FUTURE:
return False
return super().ShouldEmitInsight(utcTime, symbol)
return super().should_emit_insight(utc_time, symbol)
class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
'''Portfolio construction model that sets target quantities to 1 for up insights and -1 for down insights'''
def CreateTargets(self, algorithm, insights):
def create_targets(self, algorithm, insights):
targets = []
for insight in insights:
targets.append(PortfolioTarget(insight.Symbol, insight.Direction))
targets.append(PortfolioTarget(insight.symbol, insight.direction))
return targets