Colton Sellers
b8674731a5
* DataConsolidator Wrapper for Python Consolidators * Regression Unit Test * Refactor Regression test * Bad test fix * pre review * self review * Add RegisterIndicator for Python Consolidator * Python base class for consolidators * Modify regression algo to register indicator * unit test - attach event * Test fix * Fix test python imports * Add license header file and null check Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
80 lines
3.1 KiB
Python
80 lines
3.1 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.Algorithm.Framework")
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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.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Risk import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from QuantConnect.Data import *
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from QuantConnect.Python import *
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from datetime import datetime
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import decimal
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class Test_CustomDataAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.AddData(Nifty, "NIFTY")
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self.AddData(QuandlFuture, "SCF/CME_CL1_ON", Resolution.Daily)
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class QuandlFuture(PythonQuandl):
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'''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''
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def __init__(self):
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# Define ValueColumnName: cannot be None, Empty or non-existant column name
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# If ValueColumnName is "Close", do not use PythonQuandl, use Quandl:
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# self.AddData[QuandlFuture](self.crude, Resolution.Daily)
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self.ValueColumnName = "Settle"
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class Nifty(PythonData):
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'''NIFTY Custom Data Class'''
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def GetSource(self, config, date, isLiveMode):
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return SubscriptionDataSource("https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
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def Reader(self, config, line, date, isLiveMode):
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if not (line.strip() and line[0].isdigit()): return None
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# New Nifty object
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index = Nifty();
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index.Symbol = config.Symbol
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try:
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# Example File Format:
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# Date, Open High Low Close Volume Turnover
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# 2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
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data = line.split(',')
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index.Time = datetime.strptime(data[0], "%Y-%m-%d")
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index.Value = decimal.Decimal(data[4])
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index["Open"] = float(data[1])
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index["High"] = float(data[2])
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index["Low"] = float(data[3])
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index["Close"] = float(data[4])
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except ValueError:
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# Do nothing
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return None
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return index |