github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

Added tags to python algorithms

Browse Source
This commit is contained in:
Jared Broad
2017-09-21 08:27:41 -04:00
parent 98d77fab45
commit dc27c4e3d6
37 changed files with 590 additions and 429 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/CustomDataBitcoinAlgorithm.py
+23 -20
View File
@@ -1,10 +1,10 @@
# 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");
#
# 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.
@@ -27,12 +27,15 @@ import decimal
import numpy as np
import json
### <summary>
### Demonstration of using an external custom datasource. LEAN Engine is incredibly flexible and allows you to define your own data source.
### This includes any data source which has a TIME and VALUE. These are the *only* requirements. To demonstrate this we're loading in "Bitcoin" data.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="custom data" />
### <meta name="tag" content="importing data" />
### <meta name="tag" content="crypto" />
class CustomDataBitcoinAlgorithm(QCAlgorithm):
'''3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc).
The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source.
This includes any data source which has a TIME and VALUE. These are the *only* requirements.
To demonstrate this we're loading in "Bitcoin" data.'''
def Initialize(self):
self.SetStartDate(2011, 9, 13)
@@ -41,29 +44,29 @@ class CustomDataBitcoinAlgorithm(QCAlgorithm):
# Define the symbol and "type" of our generic data:
self.AddData(Bitcoin, "BTC")
def OnData(self, data):
if "BTC" not in data: return
close = data["BTC"].Close
# If we don't have any weather "SHARES" -- invest"
if not self.Portfolio.Invested:
# Weather used as a tradable asset, like stocks, futures etc.
# Weather used as a tradable asset, like stocks, futures etc.
self.SetHoldings("BTC", 1)
self.Debug("Buying BTC 'Shares': BTC: {0}".format(close))
self.Debug("Time: {0} {1}".format(datetime.now(), close))
class Bitcoin(PythonData):
'''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
def GetSource(self, config, date, isLiveMode):
if isLiveMode:
return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
#return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
# OR simply return a fixed small data file. Large files will slow down your backtest
return SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);
@@ -72,19 +75,19 @@ class Bitcoin(PythonData):
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.Value = value
coin["Open"] = float(liveBTC["open"])
coin["High"] = float(liveBTC["high"])
coin["Low"] = float(liveBTC["low"])
@@ -102,10 +105,10 @@ class Bitcoin(PythonData):
# 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(',')
# If value is zero, return None
value = decimal.Decimal(data[4])
if value == 0: return None
@@ -120,7 +123,7 @@ class Bitcoin(PythonData):
coin["VolumeUSD"] = float(data[6])
coin["WeightedPrice"] = float(data[7])
return coin;
except ValueError:
# Do nothing, possible error in json decoding
return None