Martin Molinero
085da7c352
- Fixes for C# RegisterIndicator API methods which were ignoring provided type of T - Fixes for Py RegisterIndicator API methods which was not using the provided 'selector' method - Adding C# and Py regression algorithm
117 lines
5.3 KiB
Python
117 lines
5.3 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.Indicators")
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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.Indicators import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.Consolidators import *
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from datetime import timedelta
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from CustomDataRegressionAlgorithm import Bitcoin
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### <summary>
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### Regression algorithm reproducing data type bugs in the RegisterIndicator API. Related to GH 4205.
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### </summary>
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class RegisterIndicatorRegressionAlgorithm(QCAlgorithm):
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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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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetEndDate(2013, 10, 9)
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SP500 = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.USA)
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self._symbol = _symbol = self.FutureChainProvider.GetFutureContractList(SP500, self.StartDate)[0]
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self.AddFutureContract(_symbol)
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self._indicators = []
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self._selectorCalled = [ False, False, False, False, False, False ]
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# QuoteBars
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indicator = CustomIndicator()
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consolidator = self.ResolveConsolidator(_symbol, Resolution.Minute, QuoteBar)
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self.RegisterIndicator(_symbol, indicator, consolidator)
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self._indicators.append(indicator)
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indicator2 = CustomIndicator()
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consolidator = self.ResolveConsolidator(_symbol, timedelta(minutes=1), QuoteBar)
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self.RegisterIndicator(_symbol, indicator2, consolidator, lambda bar: self.SetSelectorCalled(0) and bar)
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self._indicators.append(indicator2);
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indicator3 = SimpleMovingAverage(10)
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consolidator = self.ResolveConsolidator(_symbol, timedelta(minutes=1), QuoteBar)
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self.RegisterIndicator(_symbol, indicator3, consolidator, lambda bar: self.SetSelectorCalled(1) and (bar.Ask.High - bar.Bid.Low))
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self._indicators.append(indicator3);
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# TradeBar - default type
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movingAverage = SimpleMovingAverage(10)
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self.RegisterIndicator(_symbol, movingAverage, Resolution.Minute, lambda bar: self.SetSelectorCalled(2) and bar.Volume)
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self._indicators.append(movingAverage)
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movingAverage2 = SimpleMovingAverage(10);
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self.RegisterIndicator(_symbol, movingAverage2, Resolution.Minute)
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self._indicators.append(movingAverage2)
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movingAverage3 = SimpleMovingAverage(10)
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self.RegisterIndicator(_symbol, movingAverage3, timedelta(minutes=1))
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self._indicators.append(movingAverage3)
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movingAverage4 = SimpleMovingAverage(10)
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self.RegisterIndicator(_symbol, movingAverage4, timedelta(minutes=1), lambda bar: self.SetSelectorCalled(3) and bar.Volume)
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self._indicators.append(movingAverage4)
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# Custom data
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smaCustomData = SimpleMovingAverage(1)
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symbolCustom = self.AddData(Bitcoin, "BTC", Resolution.Minute).Symbol
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self.RegisterIndicator(symbolCustom, smaCustomData, timedelta(minutes=1), lambda bar: self.SetSelectorCalled(4) and bar.Volume)
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self._indicators.append(smaCustomData)
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smaCustomData2 = SimpleMovingAverage(1)
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self.RegisterIndicator(symbolCustom, smaCustomData2, Resolution.Minute)
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self._indicators.append(smaCustomData2)
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smaCustomData3 = SimpleMovingAverage(1)
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consolidator = self.ResolveConsolidator(symbolCustom, timedelta(minutes=1))
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self.RegisterIndicator(symbolCustom, smaCustomData3, consolidator, lambda bar: self.SetSelectorCalled(5) and bar.Volume)
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self._indicators.append(smaCustomData3);
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def SetSelectorCalled(self, position):
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self._selectorCalled[position] = True
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return True
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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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if not self.Portfolio.Invested:
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self.SetHoldings(self._symbol, 0.5)
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def OnEndOfAlgorithm(self):
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if any(not wasCalled for wasCalled in self._selectorCalled):
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raise ValueError("All selectors should of been called")
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if any(not indicator.IsReady for indicator in self._indicators):
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raise ValueError("All indicators should be ready")
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self.Log(f'Total of {len(self._indicators)} are ready')
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class CustomIndicator(PythonIndicator):
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def __init__(self):
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self.Name = "Jose"
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self.Value = 0
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def Update(self, input):
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self.Value = input.Ask.High
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return True;
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