AlexCatarino
62 lines
3.0 KiB
Python
62 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 QuantConnect.Data.Custom import *
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from QuantConnect.Python import PythonQuandl
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from QCAlgorithm import QCAlgorithm
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from datetime import datetime, timedelta
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### <summary>
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### Using the underlying dynamic data class "Quandl" QuantConnect take care of the data
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### importing and definition for you. Simply point QuantConnect to the Quandl Short Code.
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### The Quandl object has properties which match the spreadsheet headers.
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### If you have multiple quandl streams look at data.Symbol to distinguish them.
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### </summary>
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="quandl" />
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class QuandlImporterAlgorithm(QCAlgorithm):
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def Initialize(self):
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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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self.quandlCode = "SSE/YHO"
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Quandl.SetAuthCode("JjAt5_5Ggmmoe5zUKipm")
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self.SetStartDate(2014,4,1) #Set Start Date
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self.SetEndDate(datetime.today() - timedelta(1)) #Set End Date
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self.SetCash(25000) #Set Strategy Cash
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self.AddData(QuandlCustomColumns, self.quandlCode, Resolution.Daily, TimeZones.NewYork)
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self.sma = self.SMA(self.quandlCode, 14)
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def OnData(self, data):
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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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if not self.Portfolio.HoldStock:
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self.SetHoldings(self.quandlCode, 1)
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self.Debug("Purchased {0} >> {1}".format(self.quandlCode, self.Time))
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self.Plot(self.quandlCode, "PriceSMA", self.sma.Current.Value)
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# Quandl often doesn't use close columns so need to tell LEAN which is the "value" column.
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class QuandlCustomColumns(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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self.ValueColumnName = "last"
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