AlexCatarino
64 lines
2.5 KiB
Python
64 lines
2.5 KiB
Python
# 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.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Data import SubscriptionDataSource
|
|
from QuantConnect.Python import PythonData, PythonQuandl
|
|
from datetime import datetime
|
|
import decimal
|
|
|
|
class QuandlFuture(PythonQuandl):
|
|
'''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''
|
|
def __init__(self):
|
|
# Define ValueColumnName: cannot be None, Empty or non-existant column name
|
|
# If ValueColumnName is "Close", do not use PythonQuandl, use Quandl:
|
|
# self.AddData[QuandlFuture](self.crude, Resolution.Daily)
|
|
self.ValueColumnName = "Settle"
|
|
|
|
|
|
class Nifty(PythonData):
|
|
'''NIFTY Custom Data Class'''
|
|
def GetSource(self, config, date, isLiveMode):
|
|
return SubscriptionDataSource("https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
|
|
|
|
|
|
def Reader(self, config, line, date, isLiveMode):
|
|
if not (line.strip() and line[0].isdigit()): return None
|
|
|
|
# New Nifty object
|
|
index = Nifty();
|
|
index.Symbol = config.Symbol
|
|
|
|
try:
|
|
# Example File Format:
|
|
# Date, Open High Low Close Volume Turnover
|
|
# 2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
|
|
data = line.split(',')
|
|
index.Time = datetime.strptime(data[0], "%Y-%m-%d")
|
|
index.Value = decimal.Decimal(data[4])
|
|
index["Open"] = float(data[1])
|
|
index["High"] = float(data[2])
|
|
index["Low"] = float(data[3])
|
|
index["Close"] = float(data[4])
|
|
|
|
|
|
except ValueError:
|
|
# Do nothing
|
|
return None
|
|
|
|
return index |