Adds BaseDictionary That Implements Python Dict Methods

`BaseDictionary` is an abstract implementation of `IExtendedDictionary` keyed by `Symbol` that implements Python `dict` methods. `Slice`, `DataDictionary`, `SecurityManager`, and `SecurityPortfolioManager` derives from it in order to behave like Python `dict`.
2020-03-26 14:37:11 +00:00
parent 07a4285baf
commit a59bd17fb9
11 changed files with 409 additions and 38 deletions
@@ -0,0 +1,125 @@
+# 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 clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+
+### <summary>
+### Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary
+### </summary>
+class PythonDictionaryFeatureRegressionAlgorithm(QCAlgorithm):
+    '''Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary'''
+
+    def Initialize(self):
+
+        self.SetStartDate(2013,10, 7)  #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+
+        self.spySymbol = self.AddEquity("SPY").Symbol
+        self.ibmSymbol = self.AddEquity("IBM").Symbol
+        self.aigSymbol = self.AddEquity("AIG").Symbol
+        self.aaplSymbol = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
+
+        dateRules = self.DateRules.On(2013, 10, 7)
+        self.Schedule.On(dateRules, self.TimeRules.At(13, 0), self.TestSecuritiesDictionary)
+        self.Schedule.On(dateRules, self.TimeRules.At(14, 0), self.TestPortfolioDictionary)
+        self.Schedule.On(dateRules, self.TimeRules.At(15, 0), self.TestSliceDictionary)
+
+    def TestSliceDictionary(self):
+        slice = self.CurrentSlice
+
+        symbols = ', '.join([f'{x}' for x in slice.keys()])
+        sliceData = ', '.join([f'{x}' for x in slice.values()])
+        sliceBars = ', '.join([f'{x}' for x in slice.Bars.values()])
+
+        if self.spySymbol not in slice:
+            raise Exception('SPY is not in Slice')
+
+        spy = slice.get(self.spySymbol)
+        if spy is None:
+            raise Exception('SPY is not in Slice')
+
+        for symbol, bar in slice.Bars.items():
+            self.Plot(symbol, 'Price', bar.Close)
+
+
+    def TestSecuritiesDictionary(self):
+        symbols = ', '.join([f'{x}' for x in self.Securities.keys()])
+        leverages = ', '.join([str(x.GetLastData()) for x in self.Securities.values()])
+
+        if "IBM" not in self.Securities:
+            raise Exception('IBM is not in Securities')
+
+        ibm = self.Securities.get(self.ibmSymbol)
+        if ibm is None:
+            raise Exception('ibm is None')
+
+        aapl = self.Securities.get(self.aaplSymbol)
+        if aapl is not None:
+            raise Exception('aapl is not None')
+
+        for symbol, security in self.Securities.items():
+            self.Plot(symbol, 'Price', security.Price)
+
+    def TestPortfolioDictionary(self):
+        symbols = ', '.join([f'{x}' for x in self.Portfolio.keys()])
+        leverages = ', '.join([f'{x.Symbol}: {x.Leverage}' for x in self.Portfolio.values()])
+
+        if "AIG" not in self.Securities:
+            raise Exception('AIG is not in Portfolio')
+
+        aig = self.Portfolio.get(self.aigSymbol)
+        if aig is None:
+            raise Exception('aig is None')
+
+        aapl = self.Portfolio.get(self.aaplSymbol)
+        if aapl is not None:
+            raise Exception('aapl is not None')
+
+        for symbol, holdings in self.Portfolio.items():
+            msg = f'{symbol}: {holdings.Leverage}'
+
+    def OnEndOfAlgorithm(self):
+
+        portfolioCopy = self.Portfolio.copy()
+        try:
+            self.Portfolio.clear()  # Throws exception
+        except Exception as e:
+            self.Debug(e)
+
+        bar = self.Securities.pop("SPY")
+        length = len(self.Securities)
+        if length != 2:
+            raise Exception(f'After popping SPY, Securities should have 2 elements, {length} found')
+
+        securitiesCopy = self.Securities.copy()
+        self.Securities.clear()    # Does not throw
+
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if not self.Portfolio.Invested:
+            self.SetHoldings("SPY", 1/3)
+            self.SetHoldings("IBM", 1/3)
+            self.SetHoldings("AIG", 1/3)