Add Mapfile support for custom data sources

2019-06-13 18:37:50 -07:00
parent 2637695f9d
commit e6a510d803
15 changed files with 365 additions and 79 deletions
@@ -0,0 +1,146 @@
+/*
+ * 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.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Custom.SEC;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders.Fees;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm demonstrating use of map files with custom data
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="custom data" />
+    /// <meta name="tag" content="regression test" />
+    /// <meta name="tag" content="SEC" />
+    /// <meta name="tag" content="rename event" />
+    /// <meta name="tag" content="map" />
+    /// <meta name="tag" content="mapping" />
+    /// <meta name="tag" content="map files" />
+    public class CustomDataUsingMapFileRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+        private bool _changedSymbol;
+        private bool _properSymbolBeforeRename;
+        private bool _properSymbolAfterRename;
+
+        /// <summary>
+        /// Ticker we use for testing
+        /// </summary>
+        public const string Ticker = "TWX";
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2001, 1, 1);
+            SetEndDate(2003, 12, 31);
+            SetCash(100000);
+
+            // AOL renames to TWX in 2003
+            _symbol = AddData<SECReport8K>(Ticker, Resolution.Daily).Symbol;
+            AddEquity(Ticker, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// Checks to see if the stock has been renamed, and places an order once the symbol has changed
+        /// </summary>
+        /// <param name="slice"></param>
+        public override void OnData(Slice slice)
+        {
+            if (slice.SymbolChangedEvents.ContainsKey(_symbol))
+            {
+                // Check to see if it was renamed on the 16th
+                _changedSymbol = Time.Date == new DateTime(2003, 10, 16);
+                Log($"{Time} - Ticker changed from: {slice.SymbolChangedEvents[_symbol].OldSymbol} to {slice.SymbolChangedEvents[_symbol].NewSymbol}");
+            }
+
+            foreach (var report in slice.Get<SECReport8K>())
+            {
+                if (!_properSymbolBeforeRename)
+                {
+                    _properSymbolBeforeRename = report.Key.Value == "AOL" && Time < new DateTime(2003, 10, 16);
+                }
+                if (!_properSymbolAfterRename)
+                {
+                    _properSymbolAfterRename = report.Key.Value == "TWX" && Time >= new DateTime(2003, 10, 16);
+                }
+
+                Log($"{Time} - Received 8-K report for {report.Key.Value}");
+            }
+        }
+        
+        /// <summary>
+        /// Final step of the algorithm
+        /// </summary>
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_changedSymbol)
+            {
+                throw new Exception("The ticker did not rename throughout the course of its life even though it should have");
+            }
+            if (!_properSymbolBeforeRename)
+            {
+                throw new Exception("The SEC report data never renamed to its old ticker");
+            }
+            if (!_properSymbolAfterRename)
+            {
+                throw new Exception("The SEC report data never renamed back to its present-day ticker");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = false;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+        };
+    }
+}