Address self review and mchandschuh's review

This commit is contained in:
Gerardo Salazar
2019-07-08 13:41:47 -07:00
committed by Martin Molinero
parent 1494603cf8
commit c25bdc6a07
4 changed files with 63 additions and 52 deletions
@@ -22,6 +22,7 @@ from QuantConnect.Algorithm import *
from QuantConnect.Data.Custom.SEC import *
from datetime import datetime
import json
### <summary>
### Demonstration algorithm showing how to use and access SEC data
@@ -42,8 +43,7 @@ class CustomDataUsingMapFileRegressionAlgorithm(QCAlgorithm):
self.SetEndDate(2003, 12, 31)
self.SetCash(100000)
self.proper_symbol_before_rename = False
self.proper_symbol_after_rename = False
self.tickers = {}
self.ticker = "TWX"
self.symbol = self.AddData(SECReport8K, self.ticker).Symbol
@@ -53,30 +53,37 @@ class CustomDataUsingMapFileRegressionAlgorithm(QCAlgorithm):
if slice.SymbolChangedEvents.ContainsKey(self.symbol):
self.changed_symbol = True
self.Log("{0} - Ticker changed from: {1} to {2}".format(str(self.Time), slice.SymbolChangedEvents[self.symbol].OldSymbol, slice.SymbolChangedEvents[self.symbol].NewSymbol))
if not slice.ContainsKey(self.symbol):
return
data = slice[self.symbol]
if not isinstance(data, SECReport8K):
return
report = data.Report
ticker = data.Symbol.Value
date = self.Time.date()
if not self.proper_symbol_before_rename:
self.proper_symbol_before_rename = data.Symbol.Value == "AOL" and self.Time < datetime(2003, 10, 16)
if not self.proper_symbol_after_rename:
self.proper_symbol_after_rename = data.Symbol.Value == "TWX" and self.Time >= datetime(2003, 10, 16)
if date == datetime(2001, 1, 26).date() or date == datetime(2003, 10, 22).date():
self.tickers[str(date)] = ticker
self.Log(f"{str(self.Time)} - Received 8-K report for {data.Symbol.Value}")
def OnEndOfAlgorithm(self):
if not self.changed_symbol:
raise Exception("The ticker did not rename throughout the course of its life even though it should have")
if not self.proper_symbol_before_rename:
raise Exception("The SEC report data never renamed to its old ticker")
if not self.proper_symbol_after_rename:
raise Exception("The SEC report data never renamed to its present-day ticker")
expected_tickers = {}
expected_tickers[str(datetime(2001, 1, 26).date())] = "AOL"
expected_tickers[str(datetime(2003, 10, 22).date())] = "TWX"
# Check for dict equality: https://stackoverflow.com/a/4527978
if not all([k in self.tickers and expected_tickers[k] == self.tickers[k] for k in expected_tickers]):
self.Log(f"Found: {json.dumps(self.tickers)}")
self.Log(f"Expected: {json.dumps(expected_tickers)}")
raise Exception("SEC data event tickers do not match test case")