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 +1,78 @@
+# 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")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data.Custom.SEC import *
+
+from datetime import datetime
+
+### <summary>
+### Demonstration algorithm showing how to use and access SEC 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" />
+class CustomDataUsingMapFileRegressionAlgorithm(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(2001, 1, 1)
+        self.SetEndDate(2003, 12, 31)
+        self.SetCash(100000)
+
+        self.proper_symbol_before_rename = False
+        self.proper_symbol_after_rename = False
+
+        self.ticker = "TWX"
+        self.symbol = self.AddData(SECReport8K, self.ticker).Symbol
+        self.AddEquity(self.ticker, Resolution.Daily)
+
+    def OnData(self, slice):
+        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
+
+        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)
+
+        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")
+
+