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
85 lines
3.4 KiB
C#
85 lines
3.4 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.SEC;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm showing how to use and access SEC data
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/// </summary>
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/// <meta name="tag" content="fundamental" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="SEC" />
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public class SECReportDataAlgorithm : QCAlgorithm
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{
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private Symbol _symbol;
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public const string Ticker = "AAPL";
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2019, 1, 1);
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SetEndDate(2019, 1, 31);
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SetCash(100000);
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_symbol = AddData<SECReport10Q>(Ticker, Resolution.Daily).Symbol;
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AddData<SECReport8K>(Ticker, Resolution.Daily);
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}
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public override void OnData(Slice slice)
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{
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var data = slice.Get<ISECReport>();
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foreach (var submission in data.Values)
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{
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Log($"Form Type {submission.Report.FormType}");
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Log($"Filing Date: {submission.Report.FilingDate:yyyy-MM-dd}");
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foreach (var filer in submission.Report.Filers)
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{
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Log($"Filing company name: {filer.CompanyData.ConformedName}");
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Log($"Filing company CIK: {filer.CompanyData.Cik}");
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Log($"Filing company EIN: {filer.CompanyData.IrsNumber}");
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foreach (var formerCompany in filer.FormerCompanies)
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{
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Log($"Former company name of {filer.CompanyData.ConformedName}: {formerCompany.FormerConformedName}");
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Log($"Date of company name change: {formerCompany.Changed:yyyy-MM-dd}");
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}
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}
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// SEC documents can come in multiple documents.
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// For multi-document reports, sometimes the document contents after the first document
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// are files that have a binary format, such as JPG and PDF files
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foreach (var document in submission.Report.Documents)
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{
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Log($"Filename: {document.Filename}");
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Log($"Document description: {document.Description}");
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// Print sample of contents contained within the document
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Log(document.Text.Substring(0, 100));
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Log("=================");
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}
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}
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}
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}
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}
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