AlexCatarino
46ead54f79
Implements Quandl support for Python. It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary. It is now possible to select the column. See example QuandFuturesDataAlgorithm.py
53 lines
2.3 KiB
Python
53 lines
2.3 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.Algorithm import *
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from QuantConnect.Python import PythonQuandl
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from datetime import datetime, timedelta
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class QCUQuandlFutures(QCAlgorithm):
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'''QuantConnect University: Futures Example
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QuantConnect allows importing generic data sources! This example demonstrates
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importing a futures data from the popular open data source Quandl.
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QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free.
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If you'd like to download SCF for local backtesting, you can download it through Quandl.com.'''
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def Initialize(self):
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''' Initialize the data and resolution you require for your strategy '''
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self.SetStartDate(2000, 1, 1)
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self.SetEndDate(datetime.now().date() - timedelta(1))
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self.SetCash(25000);
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self.crude = "SCF/CME_CL1_ON"
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self.AddData(QuandlFuture, self.crude, Resolution.Daily)
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def OnData(self, data):
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'''Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.'''
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if self.Portfolio.HoldStock: return
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self.SetHoldings(self.crude, 1);
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self.Debug(str(self.Time) + str(" Purchased Crude Oil: ") + self.crude)
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class QuandlFuture(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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self.ValueColumnName = "Settle" |