Gerardo Salazar
4b0ed03b4f
* Deleted regression algorithms because they tested behavior similar to other existing regression algorithms * Fixed new bug in regression algorithm due to AddData changes * Added unit tests for wrapt version and package existence * Fix issue where data would be set to raw normalization mode
89 lines
4.0 KiB
Python
89 lines
4.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Python import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data.Market import *
|
|
from datetime import datetime
|
|
|
|
### <summary>
|
|
### Regression algorithm demonstrating use of map files with custom data
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="custom data" />
|
|
### <meta name="tag" content="regression test" />
|
|
### <meta name="tag" content="rename event" />
|
|
### <meta name="tag" content="map" />
|
|
### <meta name="tag" content="mapping" />
|
|
### <meta name="tag" content="map files" />
|
|
class CustomDataUsingMapFileRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
self.SetStartDate(2013, 6, 27)
|
|
self.SetEndDate(2013, 7, 2)
|
|
|
|
self.initialMapping = False
|
|
self.executionMapping = False
|
|
self.foxa = Symbol.Create("FOXA", SecurityType.Equity, Market.USA)
|
|
self.symbol = self.AddData(CustomDataUsingMapping, self.foxa).Symbol
|
|
|
|
def OnData(self, slice):
|
|
date = self.Time.date()
|
|
if slice.SymbolChangedEvents.ContainsKey(self.symbol):
|
|
mappingEvent = slice.SymbolChangedEvents[self.symbol]
|
|
self.Log("{0} - Ticker changed from: {1} to {2}".format(str(self.Time), mappingEvent.OldSymbol, mappingEvent.NewSymbol))
|
|
|
|
if date == datetime(2013, 6, 27).date():
|
|
# initial mapping event since we added FOXA and it's currently NWSA - GH issue 3327
|
|
if mappingEvent.NewSymbol != "NWSA" or mappingEvent.OldSymbol != "FOXA":
|
|
raise Exception("Unexpected mapping event mappingEvent")
|
|
self.initialMapping = True
|
|
|
|
if date == datetime(2013, 6, 29).date():
|
|
if mappingEvent.NewSymbol != "FOXA" or mappingEvent.OldSymbol != "NWSA":
|
|
raise Exception("Unexpected mapping event mappingEvent")
|
|
self.SetHoldings(self.symbol, 1)
|
|
self.executionMapping = True
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if not self.initialMapping:
|
|
raise Exception("The ticker did not generate the initial rename event")
|
|
if not self.executionMapping:
|
|
raise Exception("The ticker did not rename throughout the course of its life even though it should have")
|
|
|
|
class CustomDataUsingMapping(PythonData):
|
|
'''Test example custom data showing how to enable the use of mapping.
|
|
Implemented as a wrapper of existing NWSA->FOXA equity'''
|
|
|
|
def GetSource(self, config, date, isLiveMode):
|
|
return TradeBar().GetSource(SubscriptionDataConfig(config, CustomDataUsingMapping,
|
|
# create a new symbol as equity so we find the existing data files
|
|
Symbol.Create(config.MappedSymbol, SecurityType.Equity, config.Market)),
|
|
date,
|
|
isLiveMode);
|
|
|
|
def Reader(self, config, line, date, isLiveMode):
|
|
return TradeBar.ParseEquity(config, line, date)
|
|
|
|
def RequiresMapping(self):
|
|
'''True indicates mapping should be done'''
|
|
return True |