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Pandas and CustomData mapping fixes

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- Add Pandas backwards compatibility shim
- Adding `MappingExtensions` which will remove data type from the
`Symbol.ID.Symbol` value to resolve the `MapFile`
- `SecurityIdentifier.TryParse()` will throw when given an invalid
`SecurityType`
This commit is contained in:
Martin Molinero
2019-08-28 11:07:02 -03:00
parent 50d9188c16
commit 8dbbbb618f
14 changed files with 145 additions and 47 deletions
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Algorithm.Python/HistoryAlgorithm.py
+12 -12
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@@ -44,7 +44,7 @@ class HistoryAlgorithm(QCAlgorithm):
self.AddEquity("SPY", Resolution.Daily)
self.AddData(QuandlFuture,"CHRIS/CME_SP1", Resolution.Daily)
# specifying the exchange will allow the history methods that accept a number of bars to return to work properly
self.Securities["CHRIS/CME_SP1.QuandlFuture"].Exchange = EquityExchange()
self.Securities["CHRIS/CME_SP1"].Exchange = EquityExchange()
# we can get history in initialize to set up indicators and such
self.spyDailySma = SimpleMovingAverage(14)
@@ -71,17 +71,17 @@ class HistoryAlgorithm(QCAlgorithm):
self.spyDailySma.Update(index, tradeBar["close"])
# get the last calendar year's worth of quandl data at the configured resolution (daily)
quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1.QuandlFuture", timedelta(365))
self.AssertHistoryCount("History(QuandlFuture, \"CHRIS/CME_SP1.QuandlFuture\", timedelta(365))", quandlHistory, 250)
quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1", timedelta(365))
self.AssertHistoryCount("History(QuandlFuture, \"CHRIS/CME_SP1\", timedelta(365))", quandlHistory, 250)
# get the last 14 bars of SPY at the configured resolution (daily)
quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1.QuandlFuture", 14)
self.AssertHistoryCount("History(QuandlFuture, \"CHRIS/CME_SP1.QuandlFuture\", 14)", quandlHistory, 14)
quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1", 14)
self.AssertHistoryCount("History(QuandlFuture, \"CHRIS/CME_SP1\", 14)", quandlHistory, 14)
# we can loop over the return values from these functions and we'll get Quandl data
# this can be used in much the same way as the tradeBarHistory above
self.spyDailySma.Reset()
for index, quandl in quandlHistory.loc["CHRIS/CME_SP1.QuandlFuture"].iterrows():
for index, quandl in quandlHistory.loc["CHRIS/CME_SP1"].iterrows():
self.spyDailySma.Update(index, quandl["settle"])
# get the last year's worth of all configured Quandl data at the configured resolution (daily)
@@ -95,8 +95,8 @@ class HistoryAlgorithm(QCAlgorithm):
# NOTE: using different resolutions require that they are properly implemented in your data type, since
# Quandl doesn't support minute data, this won't actually work, but if your custom data source has
# different resolutions, it would need to be implemented in the GetSource and Reader methods properly
#quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1.QuandlFuture", timedelta(7), Resolution.Minute)
#quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1.QuandlFuture", 14, Resolution.Minute)
#quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1", timedelta(7), Resolution.Minute)
#quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1", 14, Resolution.Minute)
#allQuandlData = self.History(QuandlFuture, timedelta(365), Resolution.Minute)
#allQuandlData = self.History(QuandlFuture, self.Securities.Keys, 14, Resolution.Minute)
#allQuandlData = self.History(QuandlFuture, self.Securities.Keys, timedelta(1), Resolution.Minute)
@@ -108,14 +108,14 @@ class HistoryAlgorithm(QCAlgorithm):
# we can also access the return value from the multiple symbol functions to request a single
# symbol and then loop over it
singleSymbolQuandl = allQuandlData.loc["CHRIS/CME_SP1.QuandlFuture"]
self.AssertHistoryCount("allQuandlData.loc[\"CHRIS/CME_SP1.QuandlFuture\"]", singleSymbolQuandl, 250)
singleSymbolQuandl = allQuandlData.loc["CHRIS/CME_SP1"]
self.AssertHistoryCount("allQuandlData.loc[\"CHRIS/CME_SP1\"]", singleSymbolQuandl, 250)
for quandl in singleSymbolQuandl:
# do something with 'CHRIS/CME_SP1.QuandlFuture' quandl data
pass
quandlSpyLows = allQuandlData.loc["CHRIS/CME_SP1.QuandlFuture"]["low"]
self.AssertHistoryCount("allQuandlData.loc[\"CHRIS/CME_SP1.QuandlFuture\"][\"low\"]", quandlSpyLows, 250)
quandlSpyLows = allQuandlData.loc["CHRIS/CME_SP1"]["low"]
self.AssertHistoryCount("allQuandlData.loc[\"CHRIS/CME_SP1\"][\"low\"]", quandlSpyLows, 250)
for low in quandlSpyLows:
# do something with 'CHRIS/CME_SP1.QuandlFuture' quandl data
pass