Gerardo Salazar
103 lines
5.2 KiB
Python
103 lines
5.2 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.Core")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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# Store the Exception type so that we can handle all python-related failures with the Exception base class
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Exception = Exception
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.SEC import *
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from datetime import datetime
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### <summary>
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### Regression algorithm ensures that mapping is also applied to the underlying symbol(s) for custom data subscriptions
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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="regression test" />
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### <meta name="tag" content="rename event" />
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### <meta name="tag" content="map" />
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### <meta name="tag" content="mapping" />
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### <meta name="tag" content="map files" />
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class CustomDataUnderlyingSymbolMappingRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 3, 1)
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self.SetEndDate(2014, 4, 9)
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self.SetCash(100000)
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self.initialSymbolChangedEvent = False
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QuantConnect.SymbolCache.Clear()
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self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelector))
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def CoarseSelector(self, coarse):
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return [
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QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("GOOGL", SecurityType.Equity, Market.USA)
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]
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def OnData(self, data):
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if len(data.SymbolChangedEvents) != 0 and not self.initialSymbolChangedEvent:
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self.initialSymbolChangedEvent = True
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return
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if len(data.SymbolChangedEvents) != 0:
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if data.SymbolChangedEvents.ContainsKey(self.customDataSymbol) and data.SymbolChangedEvents.ContainsKey(self.equitySymbol):
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expectedUnderlying = "GOOGL"
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underlying = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Base and i == self.customDataSymbol][0].Underlying
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symbol = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Equity and i == self.equitySymbol][0]
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if len([i for i in self.SubscriptionManager.Subscriptions if (i.SecurityType == SecurityType.Base or i.SecurityType == SecurityType.Equity) and i.MappedSymbol == expectedUnderlying]) != 2:
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raise Exception(f"Subscription mapped symbols were not updated to {expectedUnderlying}")
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if underlying is None:
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raise Exception("Custom data Symbol for GOOGL has no underlying")
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if underlying != symbol:
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raise Exception(f"Underlying custom data Symbol does not match equity Symbol after rename event. Expected {symbol.Value} - got {underlying.Value}")
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if underlying.Value != expectedUnderlying:
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raise Exception(f"Underlying equity symbol value from chained custom data does not match expected value. Expected {symbol.Underlying.Value}, found {underlying.Underlying.Value}")
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self.SetHoldings(symbol, 0.5)
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elif data.SymbolChangedEvents.ContainsKey(self.badCustomDataSymbol) and data.SymbolChangedEvents.ContainsKey(self.badEquitySymbol):
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underlying = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Base and i == self.badCustomDataSymbol][0].Underlying
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symbol = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Equity and i == self.badEquitySymbol][0]
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if underlying is None:
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raise Exception("Bad custom data symbol does not have underlying")
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if underlying == symbol:
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raise Exception("Underlying custom data Symbol is equal to bad Symbol")
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else:
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raise Exception("Received unknown symbol changed event")
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def OnSecuritiesChanged(self, changes):
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for added in [i for i in changes.AddedSecurities if i.Symbol.SecurityType == SecurityType.Equity]:
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# It is in fact "GOOGL" we're catching here, and we're adding it as "GOOG" with the ticker,
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# which will resolve to GOOCV in the past if we use the ticker and not the symbol
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if added.Symbol.ID.Symbol == "GOOG":
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self.badEquitySymbol = added.Symbol
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self.badCustomDataSymbol = self.AddData(SECReport10K, "GOOG").Symbol
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self.equitySymbol = added.Symbol
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self.customDataSymbol = self.AddData(SECReport10K, added.Symbol).Symbol
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