Martin Molinero
cce87c992d
- Increase time lenght of SmartInsider benchmarks. Adding history requests
58 lines
2.5 KiB
Python
58 lines
2.5 KiB
Python
# 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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data.Custom.SmartInsider import *
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class SmartInsiderEventBenchmarkAlgorithm(QCAlgorithm):
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def Initialize(self):
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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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self.SetStartDate(2010, 1, 1)
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self.SetEndDate(2019, 1, 1)
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tickers = {"AAPL", "AMZN", "MSFT", "IBM", "FB", "QQQ", "IWM", "BAC", "BNO", "AIG", "UW", "WM" }
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self.securities = []
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self.customSymbols = []
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for ticker in tickers:
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security = self.AddEquity(ticker, Resolution.Hour)
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self.securities.append(security)
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intetion = self.AddData(SmartInsiderIntention, security.Symbol, Resolution.Daily)
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transaction = self.AddData(SmartInsiderTransaction, security.Symbol, Resolution.Daily)
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self.customSymbols.append(intetion.Symbol)
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self.customSymbols.append(transaction.Symbol)
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self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(16, 0), self.DailyRebalance)
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def OnData(self, slice):
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intentions = slice.Get(SmartInsiderIntention)
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transactions = slice.Get(SmartInsiderTransaction)
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def DailyRebalance(self):
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history = self.History(self.customSymbols, timedelta(5))
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historySymbolCount = len(history.index)
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for security in self.securities:
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intention = security.Data.Get(SmartInsiderIntention)
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transaction = security.Data.Get(SmartInsiderTransaction)
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if not security.HoldStock and intention != None and transaction != None:
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self.SetHoldings(security.Symbol, 1 / len(self.securities)) |