AlexCatarino
77 lines
3.0 KiB
Python
77 lines
3.0 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.Indicators")
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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.Indicators import *
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from QCAlgorithm import QCAlgorithm
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from collections import deque
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from datetime import datetime, timedelta
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from numpy import sum
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### <summary>
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### Demonstrates how to create a custom indicator and register it for automatic updated
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### </summary>
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="custom indicator" />
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class CustomIndicatorAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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self.AddEquity("SPY", Resolution.Second)
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# Create a QuantConnect indicator and a python custom indicator for comparison
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self.sma = self.SMA("SPY", 60, Resolution.Minute)
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self.custom = CustomSimpleMovingAverage('custom', 60)
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self.RegisterIndicator("SPY", self.custom, Resolution.Minute)
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def OnData(self, data):
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)
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if self.Time.second == 0:
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self.Log(" sma -> IsReady: {0}. Time: {1}. Value: {2}".format(self.sma.IsReady, self.sma.Current.Time, self.sma.Current.Value))
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self.Log(str(self.custom))
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# Regression test: test fails with an early quit
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diff = abs(self.custom.Value - self.sma.Current.Value)
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if diff > 1e-25:
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self.Quit("Quit: indicators difference is {0}".format(diff))
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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA).
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class CustomSimpleMovingAverage:
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def __init__(self, name, period):
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self.Name = name
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self.Time = datetime.min
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self.Value = 0
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self.IsReady = False
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self.queue = deque(maxlen=period)
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def __repr__(self):
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return "{0} -> IsReady: {1}. Time: {2}. Value: {3}".format(self.Name, self.IsReady, self.Time, self.Value)
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# Update method is mandatory
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def Update(self, input):
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self.queue.appendleft(input.Close)
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count = len(self.queue)
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self.Time = input.EndTime
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self.Value = sum(self.queue) / count
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self.IsReady = count == self.queue.maxlen |