Gerardo Salazar
58 lines
2.4 KiB
Python
58 lines
2.4 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 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 datetime import datetime, timedelta
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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.Data import *
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from QuantConnect.Data.Custom.CBOE import *
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from QuantConnect.Data.Custom.Fred import *
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from QuantConnect.Data.Custom.USEnergy import *
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class CachedAlternativeDataAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2003, 1, 1)
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self.SetEndDate(2019, 10, 11)
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self.SetCash(100000)
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# QuantConnect caches a small subset of alternative data for easy consumption for the community.
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# You can use this in your algorithm as demonstrated below:
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self.cboeVix = self.AddData(CBOE, "VIX").Symbol
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# United States EIA data: https://eia.gov/
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self.usEnergy = self.AddData(USEnergy, USEnergy.Petroleum.UnitedStates.WeeklyGrossInputsIntoRefineries).Symbol
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# FRED data
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self.fredPeakToTrough = self.AddData(Fred, Fred.OECDRecessionIndicators.UnitedStatesFromPeakThroughTheTrough).Symbol
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def OnData(self, data):
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if data.ContainsKey(self.cboeVix):
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vix = data.Get(CBOE, self.cboeVix)
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self.Log(f"VIX: {vix}")
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if data.ContainsKey(self.usEnergy):
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inputIntoRefineries = data.Get(USEnergy, self.usEnergy)
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self.Log(f"U.S. Input Into Refineries: {inputIntoRefineries}")
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if data.ContainsKey(self.fredPeakToTrough):
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peakToTrough = data.Get(Fred, self.fredPeakToTrough)
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self.Log(f"OECD based Recession Indicator for the United States from the Peak through the Trough: {peakToTrough}")
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