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Custom Data for Python Support

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This commit is contained in:
AlexCatarino
2017-02-09 17:48:50 -02:00
parent 914475e26d
commit 9774af9adc
30 changed files with 1225 additions and 205 deletions
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Algorithm.Python/AddRemoveSecurityRegressionAlgorithm.py
+21 -23
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@@ -11,24 +11,19 @@
# See the License for the specific language governing permissions and
# limitations under the License.
import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Common")
clr.AddReference("QuantConnect.Algorithm")
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.Market import *
import QuantConnect.Orders as Orders
clr.ImportExtensions(Orders.OrderExtensions)
from QuantConnect.Orders import OrderStatus
from QuantConnect.Algorithm import QCAlgorithm
class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
def __init__(self):
self._lastAction = None
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.'''
@@ -36,7 +31,10 @@ class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddSecurity(SecurityType.Equity, "SPY")
self.spy = self.AddSecurity(SecurityType.Equity, "SPY")
self._lastAction = None
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
@@ -48,26 +46,26 @@ class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):
return
if not self.Portfolio.Invested:
self.SetHoldings("SPY", .5)
self.SetHoldings(self.spy.Symbol, .5)
self._lastAction = self.Time
if self.Time.DayOfWeek == DayOfWeek.Tuesday:
self.AddSecurity(SecurityType.Equity, "AIG")
self.AddSecurity(SecurityType.Equity, "BAC")
self.aig = self.AddSecurity(SecurityType.Equity, "AIG")
self.bac = self.AddSecurity(SecurityType.Equity, "BAC")
self._lastAction = self.Time
if self.Time.DayOfWeek == DayOfWeek.Wednesday:
self.SetHoldings("AIG", .25)
self.SetHoldings("BAC", .25)
self.SetHoldings(self.aig.Symbol, .25)
self.SetHoldings(self.bac.Symbol, .25)
self._lastAction = self.Time
if self.Time.DayOfWeek == DayOfWeek.Thursday:
self.RemoveSecurity("AIG")
self.RemoveSecurity("BAC")
self.RemoveSecurity(self.aig.Symbol)
self.RemoveSecurity(self.bac.Symbol)
self._lastAction = self.Time
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == Orders.OrderStatus.Submitted:
print "{0}: Submitted: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))
if orderEvent.Status.IsFill():
print "{0}: Filled: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))
if orderEvent.Status == OrderStatus.Submitted:
self.Debug("{0}: Submitted: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId)))
if orderEvent.Status == OrderStatus.Filled:
self.Debug("{0}: Filled: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId)))