Merge pull request #1773 from Jay-Jay-D/bug-1772-Intrinio-error-too-many-requests

Intrinio error fixed, Python port and regression test added

Algorithm.Python/BasicTemplateIntrinioEconomicData.py

@@ -0,0 +1,66 @@
+# 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")
+AddReference("QuantConnect.Indicators")
+ 
+ 
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Indicators import *
+from QuantConnect.Data.Custom import *
+from QuantConnect.Data.Custom.Intrinio import *
+from numpy import sign
+ 
+class BasicTemplateIntrinioEconomicData(QCAlgorithm):
+ 
+    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.'''
+        
+        self.SetStartDate(2013, 1, 1)  #Set Start Date
+        self.SetEndDate(2014, 12, 31)    #Set End Date
+        self.SetCash(25000)           #Set Strategy Cash
+        
+        # Set your Intrinino user and password.
+        IntrinioConfig.SetUserAndPassword(self.GetParameter("intrinio-username"), self.GetParameter("intrinio-password"))
+        # The Intrinio user and password can be also defined in the config.json file for local backtest.
+        
+        # United States Oil Fund LP
+        self.uso = self.AddEquity("USO", Resolution.Daily).Symbol 
+        self.Securities[self.uso].SetLeverage(2)
+        # United States Brent Oil Fund LP
+        self.bno = self.AddEquity("BNO", Resolution.Daily).Symbol
+        self.Securities[self.bno].SetLeverage(2)        
+
+        self.AddData(IntrinioEconomicData, "$DCOILWTICO", Resolution.Daily)
+        self.AddData(IntrinioEconomicData, "$DCOILBRENTEU", Resolution.Daily)
+        
+
+    def OnData(self, slice):
+        '''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 (slice.ContainsKey("$DCOILBRENTEU") or slice.ContainsKey("$DCOILWTICO")):
+            spread = slice["$DCOILBRENTEU"].Value - slice["$DCOILWTICO"].Value
+        else:
+            return 
+
+        if ((spread > 0 and not self.Portfolio[self.bno].IsLong) or
+            (spread < 0 and not self.Portfolio[self.uso].IsShort)):
+            self.SetHoldings(self.bno, 0.25 * sign(spread))
+            self.SetHoldings(self.uso, -0.25 * sign(spread))        

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -43,6 +43,7 @@
     <None Include="app.config">
       <SubType>Designer</SubType>
     </None>
+    <None Include="BasicTemplateIntrinioEconomicData.py" />
     <None Include="IndicatorSuiteAlgorithm.py" />
     <None Include="BasicTemplateAlgorithm.py" />
     <None Include="BasicTemplateDailyAlgorithm.py" />