Create LiveFeaturesAlgorithm.py
Write Python version of LiveFeaturesAlgorithm.cs
This commit is contained in:
Jack Simonson
@@ -0,0 +1,142 @@
|
||||
# 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("System.Globalization")
|
||||
AddReference("QuantConnect.Algorithm")
|
||||
AddReference("QuantConnect.Common")
|
||||
AddReference("Quantconnect.Data")
|
||||
AddReference("Quantconnect.Data.Market")
|
||||
|
||||
from System import *
|
||||
from System.Globalization import *
|
||||
from QuantConnect import *
|
||||
from QuantConnect.Algorithm import *
|
||||
from QuantConnect.Data import *
|
||||
from QuantConnect.Data.Market import *
|
||||
import numpy as np
|
||||
import json
|
||||
|
||||
|
||||
### <summary>
|
||||
### Live Trading Functionality Demonstration algorithm including SMS, Email and Web hook notifications.
|
||||
### </summary>
|
||||
### <meta name="tag" content="live trading" />
|
||||
### <meta name="tag" content="alerts" />
|
||||
### <meta name="tag" content="sms alerts" />
|
||||
### <meta name="tag" content="web hooks" />
|
||||
### <meta name="tag" content="email alerts" />
|
||||
### <meta name="tag" content="runtime statistics" />
|
||||
|
||||
class LiveTradingFeaturesAlgorithm(QCAlgorithm):
|
||||
|
||||
### Initialize the Algorithm and Prepare Required Data
|
||||
def Initialize(self):
|
||||
|
||||
self.SetStartDate(2013, 10, 7)
|
||||
self.SetEndDate(2013, 10, 11)
|
||||
self.SetCash(25000)
|
||||
|
||||
##Equity Data for US Markets
|
||||
self.AddSecurity(SecurityType.Equity, 'IBM', Resolution.Second)
|
||||
|
||||
##FOREX Data for Weekends: 24/6
|
||||
self.AddSecurity(SecurityType.Forex, 'EURUSD', Resolution.Minute)
|
||||
|
||||
##Custom/Bitcoin Live Data: 24/7
|
||||
self.AddData(Bitcoin, 'BTC', Resolution.Second, TimeZones.Utc)
|
||||
|
||||
|
||||
### New Bitcoin Data Event
|
||||
def OnData(self, Bitcoin, data):
|
||||
if self.LiveMode:
|
||||
self.SetRuntimeStatistic('BTC', str(data.Close))
|
||||
|
||||
if not self.Portfolio.HoldStock:
|
||||
self.MarketOrder('BTC', 100)
|
||||
|
||||
##Send a notification email/SMS/web request on events:
|
||||
self.Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment")
|
||||
self.Notify.Sms("+11233456789", str(self.Time.date) + ">> Test message from live BTC server.")
|
||||
self.Notify.Web("http://api.quantconnect.com", str(self.Time.date) + ">> Test data packet posted from live BTC server.")
|
||||
|
||||
|
||||
### Raises the data event
|
||||
def OnData(self, data):
|
||||
if (not self.Portfolio['IBM'].HoldStock) and data.ContainsKey('IBM'):
|
||||
quantity = int(np.floor(self.Portfolio.MarginRemaining / data['IBM'].Close))
|
||||
self.MarketOrder('IBM',quantity)
|
||||
self.Debug('Purchased IBM on ' + str(self.Time.date))
|
||||
self.Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment")
|
||||
|
||||
###Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
|
||||
class Bitcoin(PythonData):
|
||||
|
||||
def GetSource(self, config, date, isLiveMode):
|
||||
if isLiveMode:
|
||||
return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest)
|
||||
|
||||
return SubscriptionDataSource("https://www.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?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(',')
|
||||
coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
|
||||
coin.Value = float(data[4])
|
||||
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
|
||||
Reference in New Issue
Block a user