Martin-Molinero
fa9f10bebf
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* Add support for auxiliary data history request - Add support for split/dividends/margin interest history requests. Adding regression algorithms * Expand auxiliary history regression tests
102 lines
5.5 KiB
Python
102 lines
5.5 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 AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting the behavior of auxiliary data history requests
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### </summary>
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class HistoryAuxiliaryDataRegressionAlgorithm(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(2021, 1, 1)
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self.SetEndDate(2021, 1, 5)
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aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
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# multi symbol request
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spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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multiSymbolRequest = self.History(Dividend, [ aapl, spy ], 360, Resolution.Daily)
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if len(multiSymbolRequest) != 12:
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raise ValueError(f"Unexpected multi symbol dividend count: {len(multiSymbolRequest)}")
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# continuous future mapping requests
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sp500 = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)
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continuousFutureOpenInterestMapping = self.History(SymbolChangedEvent, sp500, datetime(2007, 1, 1), datetime(2012, 1, 1), dataMappingMode = DataMappingMode.OpenInterest)
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if len(continuousFutureOpenInterestMapping) != 9:
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raise ValueError(f"Unexpected continuous future mapping event count: {len(continuousFutureOpenInterestMapping)}")
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continuousFutureLastTradingDayMapping = self.History(SymbolChangedEvent, sp500, datetime(2007, 1, 1), datetime(2012, 1, 1), dataMappingMode = DataMappingMode.LastTradingDay)
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if len(continuousFutureLastTradingDayMapping) != 9:
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raise ValueError(f"Unexpected continuous future mapping event count: {len(continuousFutureLastTradingDayMapping)}")
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dividend = self.History(Dividend, aapl, 360)
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self.Debug(str(dividend))
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if len(dividend) != 6:
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raise ValueError(f"Unexpected dividend count: {len(dividend)}")
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for distribution in dividend.distribution:
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if distribution == 0:
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raise ValueError(f"Unexpected distribution: {distribution}")
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split = self.History(Split, aapl, 360)
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self.Debug(str(split))
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if len(split) != 2:
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raise ValueError(f"Unexpected split count: {len(split)}")
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for splitfactor in split.splitfactor:
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if splitfactor == 0:
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raise ValueError(f"Unexpected splitfactor: {splitfactor}")
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symbol = Symbol.Create("BTCUSD", SecurityType.CryptoFuture, Market.Binance)
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marginInterest = self.History(MarginInterestRate, symbol, 24 * 3, Resolution.Hour)
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self.Debug(str(marginInterest))
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if len(marginInterest) != 8:
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raise ValueError(f"Unexpected margin interest count: {len(marginInterest)}")
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for interestrate in marginInterest.interestrate:
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if interestrate == 0:
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raise ValueError(f"Unexpected interestrate: {interestrate}")
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# last trading date on 2007-05-18
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delistedSymbol = Symbol.Create("AAA.1", SecurityType.Equity, Market.USA)
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delistings = self.History(Delisting, delistedSymbol, datetime(2007, 5, 15), datetime(2007, 5, 21))
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self.Debug(str(delistings))
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if len(delistings) != 2:
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raise ValueError(f"Unexpected delistings count: {len(delistings)}")
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if delistings.iloc[0].type != DelistingType.Warning:
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raise ValueError(f"Unexpected delisting: {delistings.iloc[0]}")
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if delistings.iloc[1].type != DelistingType.Delisted:
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raise ValueError(f"Unexpected delisting: {delistings.iloc[1]}")
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# get's remapped:
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# 2008-09-30 spwr -> spwra
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# 2011-11-17 spwra -> spwr
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remappedSymbol = Symbol.Create("SPWR", SecurityType.Equity, Market.USA)
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symbolChangedEvents = self.History(SymbolChangedEvent, remappedSymbol, datetime(2007, 1, 1), datetime(2012, 1, 1))
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self.Debug(str(symbolChangedEvents))
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if len(symbolChangedEvents) != 2:
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raise ValueError(f"Unexpected SymbolChangedEvents count: {len(symbolChangedEvents)}")
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firstEvent = symbolChangedEvents.iloc[0]
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if firstEvent.oldsymbol != "SPWR" or firstEvent.newsymbol != "SPWRA" or symbolChangedEvents.index[0][1] != datetime(2008, 9, 30):
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raise ValueError(f"Unexpected SymbolChangedEvents: {firstEvent}")
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secondEvent = symbolChangedEvents.iloc[1]
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if secondEvent.newsymbol != "SPWR" or secondEvent.oldsymbol != "SPWRA" or symbolChangedEvents.index[1][1] != datetime(2011, 11, 17):
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raise ValueError(f"Unexpected SymbolChangedEvents: {secondEvent}")
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def OnData(self, data):
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.Invested:
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self.SetHoldings("AAPL", 1)
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