Custom Data for Python Support

2017-02-09 17:48:50 -02:00
parent 914475e26d
commit 9774af9adc
30 changed files with 1225 additions and 205 deletions
@@ -0,0 +1,127 @@
+# 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 date, timedelta
+import decimal
+import numpy as np
+import json
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data import SubscriptionDataSource
+from QuantConnect.Python import PythonData
+
+
+class CustomDataBitcoinAlgorithm(QCAlgorithm):
+    '''3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc).
+    The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source. 
+    This includes any data source which has a TIME and VALUE. These are the *only* requirements.
+    To demonstrate this we're loading in "Bitcoin" data.'''
+
+    def Initialize(self):
+        self.SetStartDate(2011, 9, 13)
+        self.SetEndDate(DateTime.Now.Date.AddDays(-1))
+        self.SetCash(100000)
+
+        # Define the symbol and "type" of our generic data:
+        self.AddData(Bitcoin, "BTC")
+        self.btc = self.Securities["BTC"].Symbol
+
+
+    def OnData(self, data):
+        if self.btc not in data: return
+
+        close = data[self.btc].Close
+        
+        # If we don't have any weather "SHARES" -- invest"
+        if not self.Portfolio.Invested:
+            # Weather used as a tradable asset, like stocks, futures etc. 
+            self.SetHoldings(self.btc, 1)
+            self.Debug("Buying BTC 'Shares': BTC: {0}".format(close))
+        
+        self.Debug("Time: {0} {1} {2}".format(DateTime.Now.ToLongDateString(), DateTime.Now.ToLongTimeString(), close))
+
+
+class Bitcoin(PythonData):
+    '''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
+ 
+    def GetSource(self, config, date, isLiveMode):
+        if isLiveMode:
+            return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
+            
+        #return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
+        # OR simply return a fixed small data file. Large files will slow down your backtest
+        return SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);
+
+
+    def Reader(self, config, line, date, isLiveMode):
+        coin = Bitcoin()
+        coin.Symbol = config.Symbol
+            
+        if isLiveMode:
+            # Example Line Format:
+            # {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
+            try:
+                liveBTC = json.loads(line)
+                
+                # If value is zero, return None
+                value = decimal.Decimal(liveBTC["last"])
+                if value == 0: return None
+
+                coin.Time = DateTime.Now
+                coin.Value = value                
+                coin["Open"] = float(liveBTC["open"])
+                coin["High"] = float(liveBTC["high"])
+                coin["Low"] = float(liveBTC["low"])
+                coin["Close"] = float(liveBTC["last"])
+                coin["Ask"] = float(liveBTC["ask"])
+                coin["Bid"] = float(liveBTC["bid"])
+                coin["VolumeBTC"] = float(liveBTC["volume"])
+                coin["WeightedPrice"] = float(liveBTC["vwap"])
+                return coin
+            except ValueError:
+                # Do nothing, possible error in json decoding
+                return None
+
+        # Example Line Format:
+        # Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
+        # 2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
+        if not (line.strip() and line[0].isdigit()): return None
+        
+        try:
+            data = line.split(',')
+            
+            # If value is zero, return None
+            value = decimal.Decimal(data[4])
+            if value == 0: return None
+
+            coin.Time = DateTime.Now #DateTime.Parse(data[0], None)
+            coin.Value = value
+            coin["Open"] = float(data[1])
+            coin["High"] = float(data[2])
+            coin["Low"] = float(data[3])
+            coin["Close"] = float(data[4])
+            coin["VolumeBTC"] = float(data[5])
+            coin["VolumeUSD"] = float(data[6])
+            coin["WeightedPrice"] = float(data[7])
+            return coin;
+            
+        except ValueError:
+            # Do nothing, possible error in json decoding
+            return None