Gerardo Salazar
650ce2e2b5
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
68 lines
3.0 KiB
Python
68 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 AlgorithmImports import *
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from System.Collections.Generic import List
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from QuantConnect.Data.Custom.IconicTypes import *
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### <summary>
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### Provides an example algorithm showcasing the Security.Data features
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### </summary>
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class DynamicSecurityDataRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 10, 22)
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self.SetEndDate(2015, 10, 30)
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self.Ticker = "GOOGL"
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self.Equity = self.AddEquity(self.Ticker, Resolution.Daily)
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customLinkedEquity = self.AddData(LinkedData, self.Ticker, Resolution.Daily)
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firstLinkedData = LinkedData()
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firstLinkedData.Count = 100
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firstLinkedData.Symbol = customLinkedEquity.Symbol
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firstLinkedData.EndTime = self.StartDate
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secondLinkedData = LinkedData()
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secondLinkedData.Count = 100
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secondLinkedData.Symbol = customLinkedEquity.Symbol
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secondLinkedData.EndTime = self.StartDate
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# Adding linked data manually to cache for example purposes, since
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# LinkedData is a type used for testing and doesn't point to any real data.
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customLinkedEquityType = list(customLinkedEquity.Subscriptions)[0].Type
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customLinkedData = List[LinkedData]()
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customLinkedData.Add(firstLinkedData)
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customLinkedData.Add(secondLinkedData)
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self.Equity.Cache.AddDataList(customLinkedData, customLinkedEquityType, False)
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def OnData(self, data):
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# The Security object's Data property provides convenient access
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# to the various types of data related to that security. You can
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# access not only the security's price data, but also any custom
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# data that is mapped to the security, such as our SEC reports.
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# 1. Get the most recent data point of a particular type:
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# 1.a Using the generic method, Get(T): => T
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customLinkedData = self.Equity.Data.Get(LinkedData)
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self.Log("{}: LinkedData: {}".format(self.Time, str(customLinkedData)))
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# 2. Get the list of data points of a particular type for the most recent time step:
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# 2.a Using the generic method, GetAll(T): => IReadOnlyList<T>
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customLinkedDataList = self.Equity.Data.GetAll(LinkedData)
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self.Log("{}: LinkedData: {}".format(self.Time, len(customLinkedDataList)))
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if not self.Portfolio.Invested:
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self.Buy(self.Equity.Symbol, 10)
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