Martin Molinero
98 lines
4.1 KiB
Python
98 lines
4.1 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 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.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 CustomDataRegressionAlgorithm import Bitcoin
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from datetime import timedelta
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### <summary>
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### Regression algorithm reproducing data type bugs in the Consolidate API. Related to GH 4205.
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### </summary>
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class ConsolidateRegressionAlgorithm(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._consolidationCount = [0, 0, 0, 0, 0, 0]
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sma = SimpleMovingAverage(10)
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self.Consolidate(_symbol, Calendar.Monthly, lambda bar: self.UpdateTradeBar(sma, bar, -1)) # shouldn't consolidate
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sma2 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, Resolution.Daily, lambda bar: self.UpdateTradeBar(sma2, bar, 0))
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sma3 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, Resolution.Daily, TickType.Quote, lambda bar: self.UpdateQuoteBar(sma3, bar, 1))
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sma4 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, timedelta(1), lambda bar: self.UpdateTradeBar(sma4, bar, 2))
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sma5 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, timedelta(1), TickType.Quote, lambda bar: self.UpdateQuoteBar(sma5, bar, 3))
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# sending None tick type
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sma6 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, timedelta(1), None, lambda bar: self.UpdateTradeBar(sma6, bar, 4))
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sma7 = SimpleMovingAverage(10)
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self.Consolidate(_symbol, Resolution.Daily, None, lambda bar: self.UpdateTradeBar(sma7, bar, 5))
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# custom data
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self._customDataConsolidator = 0
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customSymbol = self.AddData(Bitcoin, "BTC", Resolution.Minute).Symbol
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self.Consolidate(customSymbol, timedelta(1), lambda bar: self.IncrementCounter(1))
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self._customDataConsolidator2 = 0
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self.Consolidate(customSymbol, Resolution.Daily, lambda bar: self.IncrementCounter(2))
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def IncrementCounter(self, id):
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if id == 1:
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self._customDataConsolidator += 1
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if id == 2:
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self._customDataConsolidator2 += 1
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def UpdateTradeBar(self, sma, bar, position):
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sma.Update(bar.EndTime, bar.Volume)
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self._consolidationCount[position] += 1
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def UpdateQuoteBar(self, sma, bar, position):
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sma.Update(bar.EndTime, bar.Ask.High)
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self._consolidationCount[position] += 1
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def OnEndOfAlgorithm(self):
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if any(i != 3 for i in self._consolidationCount) or self._customDataConsolidator == 0 or self._customDataConsolidator2 == 0:
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raise ValueError("Unexpected consolidation count")
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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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