Add Feature Signal Exports feature (#7145)
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* Add Collective2SignalExportClass Add SignalExportTarget interface * Collective2SignalExport test working Add SignalExportManager Add draft of CrunchDAOSignalExport * Modify SignalExportManager Instantiate SignalExportManager in QCAlgorithm constructor Draft of CrunchDAOSignalExport * Improve SignalExportManager - Add regression tests SignalExportDemonstrationAlgorithm in C# and Python * Improve SignalExportDemonstrationAlgorithm Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs * Add CrunchDAOSignalExport.cs Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs * Add NumeraiSignalExport.cs Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport Add unit test in SignalExportTargetTests to test NumeraiSignalExport * Address required changes - Add BaseSignalExport.cs - Add SignalExportParameters.cs - Add PortfolioSignalExportDemonstrationAlgorithm.cs/py - Improve Error handling in SignalExport provider classes - Collective2SignalExport now gets the correct number of shares for each holding - SignalExportManager now computes the correct holding percentage of each portfolio target - SignalExportManager now takes into account if the algorithm is in live mode - Demonstration algorithms now are more simple * Address last required changes - PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py - Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding - Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise - Nit changes * Remove exceptions thrown - Add more unit tests and more test cases - Enhance BaseSignalExport.Dispose() method * Add Collective2SignalExportClass Add SignalExportTarget interface * Collective2SignalExport test working Add SignalExportManager Add draft of CrunchDAOSignalExport * Modify SignalExportManager Instantiate SignalExportManager in QCAlgorithm constructor Draft of CrunchDAOSignalExport * Improve SignalExportManager - Add regression tests SignalExportDemonstrationAlgorithm in C# and Python * Improve SignalExportDemonstrationAlgorithm Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs * Add CrunchDAOSignalExport.cs Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs * Add NumeraiSignalExport.cs Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport Add unit test in SignalExportTargetTests to test NumeraiSignalExport * Address required changes - Add BaseSignalExport.cs - Add SignalExportParameters.cs - Add PortfolioSignalExportDemonstrationAlgorithm.cs/py - Improve Error handling in SignalExport provider classes - Collective2SignalExport now gets the correct number of shares for each holding - SignalExportManager now computes the correct holding percentage of each portfolio target - SignalExportManager now takes into account if the algorithm is in live mode - Demonstration algorithms now are more simple * Address last required changes - PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py - Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding - Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise - Nit changes * Remove exceptions thrown - Add more unit tests and more test cases - Enhance BaseSignalExport.Dispose() method * Fix failing regression tests * Fix failing unit tests * Nit changes * Nit change * Nit change * Fix failing unit tests * Changes required - Break regression algos `SignalExportDemonstrationAlgorithm.cs/py` nad `PortfolioSignalExportDemonstrationAlgorithm.cs/`y` into three ones, one for each signal export provider - Change SignalExportManager constructor to receive current algorithm as a parameter - Fix bug in `SignalExportManager.GetPortfolioTargets()`, now it computes the correct percentage for each holding - Make `BaseSignalExport.DefaultAllowedSecurityTypes` overrdible - Handle case were `Collective2SignalExport.ConvertPercentageToQuantity()` returns null - Clean unnecessary code in `Collective2SignalExport()`, `CrunchDAOSignalExport()` and `NumeraiSignalExport()` * Nit change * Nit change * Minor tweaks after review * Remove indexes from signal exports * Required changes - Change EMA indicators period from 200, 300 to 10,100 in regression algorithms - Remove Indices from regression algorithms - Add more XML documentation to regression algorithms - Change `Log.Error` to `_algorithm.Error` in Signal export providers. Besides, fix error message format - Change default value for `platformId` parameter in `Collective2SignalExport.cs` constructor - Solve small bugs in SignalExportProvider when verificating the amount of porfolio targets is greater than zero and each portfolio target is allowed - Handle case when `PortfolioTarget.Percent()` returns null in `Collective2SignalExport.ConvertPercentageToQuantity()` - Handle error format message from Collective2 API - Check every ticker signal is between 0 and 1 (inclusive) in `CrunchDAOSignalExport.cs` - Modifiy `NumeraiSignalExport.cs` constructor to take into account filename given in the arguments - Fix small bug with the return value of `ConvertTargetsToNumerai()` method in `NumeraiSignalExport.cs` - Modify `SignalExportManager.cs` to return true when the algorithm being ran is not in live mode - Remove indices from CrunchDAO unit tests * Enhance ´CrunchDAOSignalExport.cs´ implementation --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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Ricardo Andrés Marino Rojas
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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### <summary>
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### This algorithm sends a list of current portfolio targets to Numerai API every time
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### the ema indicators crosses between themselves.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="securities and portfolio" />
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class NumeraiSignalExportDemonstrationAlgorithm(QCAlgorithm):
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def Initialize(self):
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''' Initialize the date and add all equity symbols present in list _symbols '''
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self.SetStartDate(2013, 10, 7) #Set Start Date
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self.SetEndDate(2013, 10, 11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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self.symbols = ["SPY", "AIG", "GOOGL", "AAPL", "AMZN", "TSLA", "NFLX", "INTC", "MSFT", "KO", "WMT", "IBM", "AMGN", "CAT"] # Numerai accepts minimum 10 signals
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self.targets = []
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# Create a new PortfolioTarget for each symbol in self.symbols, assign it an initial quantity of 0.05 and save it self.targets
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for ticker in self.symbols:
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symbol = self.AddEquity(ticker).Symbol
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self.targets.append(PortfolioTarget(symbol, 0.05)) # Numerai only accepts signals between 0 and 1 (exclusive)
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self.fast = self.EMA("SPY", 10)
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self.slow = self.EMA("SPY", 100)
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# Initialize these flags, to check when the ema indicators crosses between themselves
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self.emaFastIsNotSet = True;
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self.emaFastWasAbove = False;
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# Set Numerai signal export provider
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# Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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self.numeraiPublicId = ""
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# Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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self.numeraiSecretId = ""
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# Numerai Model ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a model. See (https://signals.numer.ai/models)
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self.numeraiModelId = ""
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self.numeraiFilename = "" # Replace this values with your submission filename (Optional)
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self.SignalExport.AddSignalExportProviders(NumeraiSignalExport(self.numeraiPublicId, self.numeraiSecretId, self.numeraiModelId, self.numeraiFilename))
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def OnData(self, data):
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''' Reduce the quantity of holdings for one security and increase the holdings to the another
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one when the EMA's indicators crosses between themselves, then send a signal to Numerai API '''
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# Wait for our indicators to be ready
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if not self.fast.IsReady or not self.slow.IsReady:
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return
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fast = self.fast.Current.Value
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slow = self.slow.Current.Value
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# Set the value of flag _emaFastWasAbove, to know when the ema indicators crosses between themselves
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if self.emaFastIsNotSet == True:
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if fast > slow *1.001:
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self.emaFastWasAbove = True
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else:
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self.emaFastWasAbove = False
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self.emaFastIsNotSet = False;
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# Check whether ema fast and ema slow crosses. If they do, set holdings to SPY
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# or reduce its holdings, update its value in self.targets and send signals to
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# Numerai API from self.targets
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if fast > slow * 1.001 and (not self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.1)
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self.targets[0] = PortfolioTarget(self.Portfolio["SPY"].Symbol, 0.1)
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self.SignalExport.SetTargetPortfolio(self.targets)
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elif fast < slow * 0.999 and (self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.01)
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self.targets[0] = PortfolioTarget(self.Portfolio["SPY"].Symbol, 0.01)
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self.SignalExport.SetTargetPortfolio(self.targets)
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