Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
71 lines
3.1 KiB
Python
71 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 AlgorithmImports import *
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### <summary>
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### The algorithm creates new indicator value with the existing indicator method by Indicator Extensions
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### Demonstration of using the external custom datasource Quandl to request the VIX and VXV daily data
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="plotting indicators" />
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### <meta name="tag" content="charting" />
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class CustomDataIndicatorExtensionsAlgorithm(QCAlgorithm):
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# Initialize the data and resolution you require for your strategy
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def Initialize(self):
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self.SetStartDate(2014,1,1)
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self.SetEndDate(2018,1,1)
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self.SetCash(25000)
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self.vix = 'CBOE/VIX'
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self.vxv = 'CBOE/VXV'
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# Define the symbol and "type" of our generic data
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self.AddData(QuandlVix, self.vix, Resolution.Daily)
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self.AddData(Quandl, self.vxv, Resolution.Daily)
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# Set up default Indicators, these are just 'identities' of the closing price
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self.vix_sma = self.SMA(self.vix, 1, Resolution.Daily)
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self.vxv_sma = self.SMA(self.vxv, 1, Resolution.Daily)
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# This will create a new indicator whose value is smaVXV / smaVIX
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self.ratio = IndicatorExtensions.Over(self.vxv_sma, self.vix_sma)
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# Plot indicators each time they update using the PlotIndicator function
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self.PlotIndicator("Ratio", self.ratio)
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self.PlotIndicator("Data", self.vix_sma, self.vxv_sma)
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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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def OnData(self, data):
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# Wait for all indicators to fully initialize
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if not (self.vix_sma.IsReady and self.vxv_sma.IsReady and self.ratio.IsReady): return
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if not self.Portfolio.Invested and self.ratio.Current.Value > 1:
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self.MarketOrder(self.vix, 100)
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elif self.ratio.Current.Value < 1:
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self.Liquidate()
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# In CBOE/VIX data, there is a "vix close" column instead of "close" which is the
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# default column namein LEAN Quandl custom data implementation.
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# This class assigns new column name to match the the external datasource setting.
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class QuandlVix(PythonQuandl):
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def __init__(self):
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self.ValueColumnName = "VIX Close"
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