Martin Molinero
1d43dcd601
- Adding `BaseData.AdjustResolution()` that should return a valid resolution for the given data and security type. This allows us to set a limitation which is useful to avoid invalid data requests or unnecessary fill forward situations. The user will be notified through a console message. - Adding unit and regression test - Updating example algorithms custom data resolution - Some performance improvements. Wont change console color if `SelectedOptimization` is defined
67 lines
2.5 KiB
C#
67 lines
2.5 KiB
C#
/*
|
|
* 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 QuantConnect.Data;
|
|
using QuantConnect.Data.Custom.CBOE;
|
|
using QuantConnect.Data.Custom.Fred;
|
|
using QuantConnect.Data.Custom.USEnergy;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp.AltData
|
|
{
|
|
public class CachedAlternativeDataAlgorithm : QCAlgorithm
|
|
{
|
|
private Symbol _cboeVix;
|
|
private Symbol _usEnergy;
|
|
private Symbol _fredPeakToTrough;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2003, 1, 1);
|
|
SetEndDate(2019, 10, 11);
|
|
SetCash(100000);
|
|
|
|
// QuantConnect caches a small subset of alternative data for easy consumption for the community.
|
|
// You can use this in your algorithm as demonstrated below:
|
|
|
|
_cboeVix = AddData<CBOE>("VIX", Resolution.Daily).Symbol;
|
|
// United States EIA data: https://eia.gov/
|
|
_usEnergy = AddData<USEnergy>(USEnergy.Petroleum.UnitedStates.WeeklyGrossInputsIntoRefineries, Resolution.Daily).Symbol;
|
|
// FRED data
|
|
_fredPeakToTrough = AddData<Fred>(Fred.OECDRecessionIndicators.UnitedStatesFromPeakThroughTheTrough, Resolution.Daily).Symbol;
|
|
}
|
|
|
|
public override void OnData(Slice data)
|
|
{
|
|
if (data.ContainsKey(_cboeVix))
|
|
{
|
|
var vix = data.Get<CBOE>(_cboeVix);
|
|
Log($"VIX: {vix}");
|
|
}
|
|
|
|
if (data.ContainsKey(_usEnergy))
|
|
{
|
|
var inputIntoRefineries = data.Get<USEnergy>(_usEnergy);
|
|
Log($"U.S. Input Into Refineries: {Time}, {inputIntoRefineries.Value}");
|
|
}
|
|
|
|
if (data.ContainsKey(_fredPeakToTrough))
|
|
{
|
|
var peakToTrough = data.Get<Fred>(_fredPeakToTrough);
|
|
Log($"OECD based Recession Indicator for the United States from the Peak through the Trough: {peakToTrough}");
|
|
}
|
|
}
|
|
}
|
|
}
|