AlexCatarino
134 lines
5.0 KiB
Python
134 lines
5.0 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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### <summary>
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### Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary
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### </summary>
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class PythonDictionaryFeatureRegressionAlgorithm(QCAlgorithm):
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'''Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary'''
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def Initialize(self):
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self.SetStartDate(2013,10, 7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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self.spySymbol = self.AddEquity("SPY").Symbol
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self.ibmSymbol = self.AddEquity("IBM").Symbol
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self.aigSymbol = self.AddEquity("AIG").Symbol
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self.aaplSymbol = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
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dateRules = self.DateRules.On(2013, 10, 7)
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self.Schedule.On(dateRules, self.TimeRules.At(13, 0), self.TestSecuritiesDictionary)
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self.Schedule.On(dateRules, self.TimeRules.At(14, 0), self.TestPortfolioDictionary)
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self.Schedule.On(dateRules, self.TimeRules.At(15, 0), self.TestSliceDictionary)
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def TestSliceDictionary(self):
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slice = self.CurrentSlice
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symbols = ', '.join([f'{x}' for x in slice.keys()])
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sliceData = ', '.join([f'{x}' for x in slice.values()])
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sliceBars = ', '.join([f'{x}' for x in slice.Bars.values()])
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if "SPY" not in slice:
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raise Exception('SPY (string) is not in Slice')
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if self.spySymbol not in slice:
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raise Exception('SPY (Symbol) is not in Slice')
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spy = slice.get(self.spySymbol)
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if spy is None:
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raise Exception('SPY is not in Slice')
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for symbol, bar in slice.Bars.items():
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self.Plot(symbol, 'Price', bar.Close)
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def TestSecuritiesDictionary(self):
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symbols = ', '.join([f'{x}' for x in self.Securities.keys()])
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leverages = ', '.join([str(x.GetLastData()) for x in self.Securities.values()])
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if "IBM" not in self.Securities:
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raise Exception('IBM (string) is not in Securities')
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if self.ibmSymbol not in self.Securities:
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raise Exception('IBM (Symbol) is not in Securities')
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ibm = self.Securities.get(self.ibmSymbol)
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if ibm is None:
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raise Exception('ibm is None')
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aapl = self.Securities.get(self.aaplSymbol)
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if aapl is not None:
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raise Exception('aapl is not None')
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for symbol, security in self.Securities.items():
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self.Plot(symbol, 'Price', security.Price)
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def TestPortfolioDictionary(self):
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symbols = ', '.join([f'{x}' for x in self.Portfolio.keys()])
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leverages = ', '.join([f'{x.Symbol}: {x.Leverage}' for x in self.Portfolio.values()])
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if "AIG" not in self.Securities:
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raise Exception('AIG (string) is not in Portfolio')
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if self.aigSymbol not in self.Securities:
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raise Exception('AIG (Symbol) is not in Portfolio')
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aig = self.Portfolio.get(self.aigSymbol)
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if aig is None:
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raise Exception('aig is None')
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aapl = self.Portfolio.get(self.aaplSymbol)
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if aapl is not None:
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raise Exception('aapl is not None')
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for symbol, holdings in self.Portfolio.items():
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msg = f'{symbol}: {holdings.Leverage}'
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def OnEndOfAlgorithm(self):
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portfolioCopy = self.Portfolio.copy()
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try:
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self.Portfolio.clear() # Throws exception
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except Exception as e:
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self.Debug(e)
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bar = self.Securities.pop("SPY")
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length = len(self.Securities)
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if length != 2:
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raise Exception(f'After popping SPY, Securities should have 2 elements, {length} found')
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securitiesCopy = self.Securities.copy()
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self.Securities.clear() # Does not throw
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1/3)
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self.SetHoldings("IBM", 1/3)
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self.SetHoldings("AIG", 1/3) |