AlexCatarino
57 lines
2.6 KiB
Python
57 lines
2.6 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.Python import PythonQuandl
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from datetime import datetime, timedelta
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class QCUQuandlFutures(QCAlgorithm):
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'''QuantConnect University: Futures Example
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QuantConnect allows importing generic data sources! This example demonstrates
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importing a futures data from the popular open data source Quandl.
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QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free.
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If you'd like to download SCF for local backtesting, you can download it through Quandl.com.'''
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def Initialize(self):
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''' Initialize the data and resolution you require for your strategy '''
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self.SetStartDate(2000, 1, 1)
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self.SetEndDate(datetime.now().date() - timedelta(1))
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self.SetCash(25000);
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# Symbol corresponding to the quandl code
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self.crude = "SCF/CME_CL1_ON"
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self.AddData(QuandlFuture, self.crude, Resolution.Daily)
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def OnData(self, data):
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'''Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.'''
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if self.Portfolio.HoldStock: return
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self.SetHoldings(self.crude, 1);
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self.Debug(str(self.Time) + str(" Purchased Crude Oil: ") + self.crude)
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class QuandlFuture(PythonQuandl):
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'''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''
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def __init__(self):
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# Define ValueColumnName: cannot be None, Empty or non-existant column name
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# If ValueColumnName is "Close", do not use PythonQuandl, use Quandl:
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# self.AddData[QuandlFuture](self.crude, Resolution.Daily)
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self.ValueColumnName = "Settle" |