AlexCatarino
109 lines
4.8 KiB
Python
109 lines
4.8 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Orders import *
|
|
from datetime import timedelta, datetime
|
|
from decimal import Decimal
|
|
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
|
|
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
|
|
from Risk.NullRiskManagementModel import NullRiskManagementModel
|
|
from QuantConnect.Data.Custom import DailyFx
|
|
from QCAlgorithm import QCAlgorithm
|
|
|
|
### <summary>
|
|
### This demonstration alpha reads the DailyFx calendar and provides insights based upon
|
|
### the news' outlook for the root currency's(USD) associated pairs
|
|
### </summary>
|
|
class ForexCalendarAlgorithm(QCAlgorithmFramework):
|
|
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2015, 7, 12)
|
|
self.SetEndDate(2018, 7, 27)
|
|
self.SetCash(100000)
|
|
|
|
symbols = [Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("EURGBP", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("EURAUD", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("EURJPY", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("USDJPY", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("USDCHF", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("USDCAD", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("AUDJPY", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("GBPJPY", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("GBPUSD", SecurityType.Forex, Market.Oanda),
|
|
Symbol.Create("NZDUSD", SecurityType.Forex, Market.Oanda)]
|
|
|
|
# Initializes the class that provides DailyFx News
|
|
self.AddData(DailyFx, "DFX", Resolution.Minute, TimeZones.Utc)
|
|
|
|
# Set Our Universe
|
|
self.UniverseSettings.Resolution = Resolution.Minute
|
|
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
|
|
|
|
# Set to use our FxCalendar Alpha Model
|
|
self.SetAlpha(FxCalendarTrigger())
|
|
|
|
# Default Models For Other Framework Settings
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
self.SetRiskManagement(NullRiskManagementModel())
|
|
|
|
class FxCalendarTrigger(AlphaModel):
|
|
|
|
def __init__(self):
|
|
self.Name = "FxCalendarTrigger"
|
|
|
|
def Update(self, algorithm, data):
|
|
insights = []
|
|
period = TimeSpan.FromMinutes(5)
|
|
magnitude = 0.0005
|
|
|
|
# We will create our insights when we recieve news
|
|
if data.ContainsKey("DFX"):
|
|
calendar = data["DFX"]
|
|
|
|
# Only act if this is important news.
|
|
if calendar.Importance != FxDailyImportance.High: return insights
|
|
if calendar.Meaning == 0: return insights
|
|
|
|
# Create insights for all active currencies in our universe when country matches currency
|
|
for symbol in algorithm.ActiveSecurities.Keys:
|
|
|
|
# Only process Fx assets.
|
|
if (symbol.SecurityType != SecurityType.Forex):
|
|
continue
|
|
|
|
pair = algorithm.Securities[symbol.Value]
|
|
direction = InsightDirection.Flat
|
|
|
|
if pair.BaseCurrencySymbol == calendar.Currency.upper():
|
|
direction = InsightDirection.Up if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Down
|
|
elif pair.QuoteCurrency.Symbol == calendar.Currency.upper():
|
|
direction = InsightDirection.Down if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Up
|
|
|
|
if (direction != InsightDirection.Flat):
|
|
insights.append(Insight.Price(symbol, period, direction, magnitude))
|
|
return insights
|
|
|
|
def OnSecuritiesChanged(self, algorithm, changes):
|
|
pass |