Ryan Russell
052e20cbf4
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* refactor(Algorithm): Correct `Intrinino` -> `Intrinio` references Signed-off-by: Ryan Russell <git@ryanrussell.org> * refactor(Algorithm): Update `evemts` -> `events` Signed-off-by: Ryan Russell <git@ryanrussell.org> * refactor(BubbleAlgorithm): readability improvements Signed-off-by: Ryan Russell <git@ryanrussell.org> * refactor(OrderTicketDemoAlgorithm): readability improvements Signed-off-by: Ryan Russell <git@ryanrussell.org> Signed-off-by: Ryan Russell <git@ryanrussell.org>
60 lines
2.8 KiB
Python
60 lines
2.8 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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class BasicTemplateIntrinioEconomicData(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.SetStartDate(2010, 1, 1) #Set Start Date
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self.SetEndDate(2013, 12, 31) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Set your Intrinio user and password.
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IntrinioConfig.SetUserAndPassword("intrinio-username", "intrinio-password")
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# The Intrinio user and password can be also defined in the config.json file for local backtest.
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# Set Intrinio config to make 1 call each minute, default is 1 call each 5 seconds.
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#(1 call each minute is the free account limit for historical_data endpoint)
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IntrinioConfig.SetTimeIntervalBetweenCalls(timedelta(minutes = 1))
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# United States Oil Fund LP
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self.uso = self.AddEquity("USO", Resolution.Daily).Symbol
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self.Securities[self.uso].SetLeverage(2)
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# United States Brent Oil Fund LP
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self.bno = self.AddEquity("BNO", Resolution.Daily).Symbol
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self.Securities[self.bno].SetLeverage(2)
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self.AddData(IntrinioEconomicData, "$DCOILWTICO", Resolution.Daily)
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self.AddData(IntrinioEconomicData, "$DCOILBRENTEU", Resolution.Daily)
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self.emaWti = self.EMA("$DCOILWTICO", 10)
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def OnData(self, slice):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if (slice.ContainsKey("$DCOILBRENTEU") or slice.ContainsKey("$DCOILWTICO")):
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spread = slice["$DCOILBRENTEU"].Value - slice["$DCOILWTICO"].Value
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else:
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return
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if ((spread > 0 and not self.Portfolio[self.bno].IsLong) or
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(spread < 0 and not self.Portfolio[self.uso].IsShort)):
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self.SetHoldings(self.bno, 0.25 * sign(spread))
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self.SetHoldings(self.uso, -0.25 * sign(spread))
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