Martin Molinero
d1abefc1fe
- Add `TiingoNews.HistoricalCrawlOffset`, timespan to add for backtesting - Rename: remove `Data` from `TiingoNewsData` and rename `TiingoDailyData` to `TiingoPrice`
65 lines
2.5 KiB
Python
65 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.Tiingo import *
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### <summary>
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### This example algorithm shows how to import and use Tiingo daily prices data.
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### </summary>
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### <meta name="tag" content="strategy example" />
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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="tiingo" />
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class TiingoPriceAlgorithm(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(2017, 1, 1)
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self.SetEndDate(2017, 12, 31)
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self.SetCash(100000)
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# Set your Tiingo API Token here
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Tiingo.SetAuthCode("my-tiingo-api-token")
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self.ticker = "AAPL"
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self.symbol = self.AddData(TiingoPrice, self.ticker, Resolution.Daily).Symbol
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self.emaFast = self.EMA(self.symbol, 5)
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self.emaSlow = self.EMA(self.symbol, 10)
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def OnData(self, slice):
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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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if not slice.ContainsKey(self.ticker): return
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# Extract Tiingo data from the slice
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row = slice[self.ticker]
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self.Log(f"{self.Time} - {row.Symbol.Value} - {row.Close} {row.Value} {row.Price} - EmaFast:{self.emaFast} - EmaSlow:{self.emaSlow}")
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# Simple EMA cross
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if not self.Portfolio.Invested and self.emaFast > self.emaSlow:
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self.SetHoldings(self.symbol, 1)
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elif self.Portfolio.Invested and self.emaFast < self.emaSlow:
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self.Liquidate(self.symbol)
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