Martin-Molinero
78647d3a1d
* Update python 3.11 * Update ARM foundation image and minor improvements
93 lines
4.4 KiB
Python
93 lines
4.4 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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from io import StringIO
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class ObjectStoreExampleAlgorithm(QCAlgorithm):
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'''This algorithm showcases some features of the IObjectStore feature.
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One use case is to make consecutive backtests run faster by caching the results of
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potentially time consuming operations. In this example, we save the results of a
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history call. This pattern can be equally applied to a machine learning model being
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trained and then saving the model weights in the object store.
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'''
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SPY_Close_ObjectStore_Key = "spy_close"
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SPY_Close_History = RollingWindow[IndicatorDataPoint](252)
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SPY_Close_EMA10_History = RollingWindow[IndicatorDataPoint](252)
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SPY_Close_EMA50_History = RollingWindow[IndicatorDataPoint](252)
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SPY = self.AddEquity("SPY", Resolution.Minute).Symbol
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self.SPY_Close = self.Identity(self.SPY, Resolution.Daily)
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self.SPY_Close_EMA10 = IndicatorExtensions.EMA(self.SPY_Close, 10)
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self.SPY_Close_EMA50 = IndicatorExtensions.EMA(self.SPY_Close, 50)
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# track last year of close and EMA10/EMA50
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self.SPY_Close.Updated += lambda _, args: self.SPY_Close_History.Add(args)
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self.SPY_Close_EMA10.Updated += lambda _, args: self.SPY_Close_EMA10_History.Add(args)
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self.SPY_Close_EMA50.Updated += lambda _, args: self.SPY_Close_EMA50_History.Add(args)
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if self.ObjectStore.ContainsKey(self.SPY_Close_ObjectStore_Key):
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# our object store has our historical data saved, read the data
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# and push it through the indicators to warm everything up
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values = self.ObjectStore.Read(self.SPY_Close_ObjectStore_Key)
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self.Debug(f'{self.SPY_Close_ObjectStore_Key} key exists in object store.')
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history = pd.read_csv(StringIO(values), header=None, index_col=0, squeeze=True)
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history.index = pd.to_datetime(history.index)
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for time, close in history.items():
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self.SPY_Close.Update(time, close)
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else:
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self.Debug(f'{self.SPY_Close_ObjectStore_Key} key does not exist in object store. Fetching history...')
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# if our object store doesn't have our data, fetch the history to initialize
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# we're pulling the last year's worth of SPY daily trade bars to fee into our indicators
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history = self.History(self.SPY, timedelta(365), Resolution.Daily).close.unstack(0).squeeze()
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for time, close in history.items():
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self.SPY_Close.Update(time, close)
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# save our warm up data so next time we don't need to issue the history request
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self.ObjectStore.Save(self.SPY_Close_ObjectStore_Key,
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'\n'.join(reversed([f'{x.EndTime},{x.Value}' for x in self.SPY_Close_History])))
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# Can also use ObjectStore.SaveBytes(key, byte[])
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# and to read ObjectStore.ReadBytes(key) => byte[]
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# we can also get a file path for our data. some ML libraries require model
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# weights to be loaded directly from a file path. The object store can provide
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# a file path for any key by: ObjectStore.GetFilePath(key) => string (file path)
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def OnData(self, slice):
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close = self.SPY_Close
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ema10 = self.SPY_Close_EMA10
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ema50 = self.SPY_Close_EMA50
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if ema10 > close and ema10 > ema50:
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self.SetHoldings(self.SPY, 1)
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elif ema10 < close and ema10 < ema50:
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self.SetHoldings(self.SPY, -1)
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elif ema10 < ema50 and self.Portfolio[self.SPY].IsLong:
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self.Liquidate(self.SPY)
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elif ema10 > ema50 and self.Portfolio[self.SPY].IsShort:
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self.Liquidate(self.SPY)
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