Gerardo Salazar
436a72f435
Implements Smart Insider data converter ToolBox application Includes example algorithms demonstrating use of data
74 lines
3.0 KiB
Python
74 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.Algorithm")
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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.Data import *
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from QuantConnect.Data.Custom.SmartInsider import *
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from QuantConnect.Algorithm import *
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### <summary>
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### Example algorithm demonstrating usage of SmartInsider data
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="smart insider" />
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### <meta name="tag" content="form 4" />
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### <meta name="tag" content="insider trading" />
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class SmartInsiderDataAlgoritm(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(2019, 7, 25)
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self.SetEndDate(2019, 8, 2)
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self.SetCash(100000)
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self.symbol = self.AddEquity("KO", Resolution.Daily).Symbol
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self.AddData(SmartInsiderTransaction, "KO")
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self.AddData(SmartInsiderIntention, "KO")
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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 data.ContainsKey(self.symbol.Value):
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return
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has_open_orders = len(self.Transactions.GetOpenOrders()) != 0
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ko_data = data[self.symbol.Value]
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if isinstance(ko_data, SmartInsiderTransaction):
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if not self.Portfolio.Invested and not has_open_orders:
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if ko_data.BuybackPercentage > 0.0001 and ko_data.VolumePercentage > 0.001:
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self.Log(f"Buying {self.symbol.Value} due to stock transaction")
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self.SetHoldings(self.symbol, 0.50)
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elif isinstance(ko_data, SmartInsiderIntention):
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if not self.Portfolio.Invested and not has_open_orders:
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if ko_data.IntentionPercentage > 0.0001:
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self.Log(f"Buying {self.symbol.Value} due to intention to purchase stock")
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self.SetHoldings(self.symbol, 0.50)
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elif self.Portfolio.Invested and not has_open_orders:
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if ko_data.IntentionPercentage < 0.0:
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self.Log(f"Liquidating {self.symbol.Value}")
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self.Liquidate(self.symbol)
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