Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
166 lines
7.3 KiB
Python
166 lines
7.3 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 AlgorithmImports import *
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class CustomConsolidatorRegressionAlgorithm(QCAlgorithm):
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'''Custom Consolidator Regression Algorithm shows some examples of how to build custom
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consolidators in Python.'''
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def Initialize(self):
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self.SetStartDate(2013,10,4)
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self.SetEndDate(2013,10,11)
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self.SetCash(100000)
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self.AddEquity("SPY", Resolution.Minute)
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#Create 5 day QuoteBarConsolidator; set consolidated function; add to subscription manager
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fiveDayConsolidator = QuoteBarConsolidator(timedelta(days=5))
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fiveDayConsolidator.DataConsolidated += self.OnQuoteBarDataConsolidated
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self.SubscriptionManager.AddConsolidator("SPY", fiveDayConsolidator)
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#Create a 3:10PM custom quote bar consolidator
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timedConsolidator = DailyTimeQuoteBarConsolidator(time(hour=15, minute=10))
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timedConsolidator.DataConsolidated += self.OnQuoteBarDataConsolidated
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self.SubscriptionManager.AddConsolidator("SPY", timedConsolidator)
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#Create our entirely custom 2 day quote bar consolidator
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self.customConsolidator = CustomQuoteBarConsolidator(timedelta(days=2))
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self.customConsolidator.DataConsolidated += (self.OnQuoteBarDataConsolidated)
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self.SubscriptionManager.AddConsolidator("SPY", self.customConsolidator)
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#Create an indicator and register a consolidator to it
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self.movingAverage = SimpleMovingAverage(5)
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self.customConsolidator2 = CustomQuoteBarConsolidator(timedelta(hours=1))
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self.RegisterIndicator("SPY", self.movingAverage, self.customConsolidator2)
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def OnQuoteBarDataConsolidated(self, sender, bar):
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'''Function assigned to be triggered by consolidators.
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Designed to post debug messages to show how the examples work, including
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which consolidator is posting, as well as its values.
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If using an inherited class and not overwriting OnDataConsolidated
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we expect to see the super C# class as the sender type.
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Using sender.Period only works when all consolidators have a Period value.
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'''
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consolidatorInfo = str(type(sender)) + str(sender.Period)
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self.Debug("Bar Type: " + consolidatorInfo)
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self.Debug("Bar Range: " + bar.Time.ctime() + " - " + bar.EndTime.ctime())
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self.Debug("Bar value: " + str(bar.Close))
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def OnData(self, slice):
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test = slice.get_Values()
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if self.customConsolidator.Consolidated and slice.ContainsKey("SPY"):
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data = slice['SPY']
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if self.movingAverage.IsReady:
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if data.Value > self.movingAverage.Current.Price:
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self.SetHoldings("SPY", .5)
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else :
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self.SetHoldings("SPY", 0)
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class DailyTimeQuoteBarConsolidator(QuoteBarConsolidator):
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'''A custom QuoteBar consolidator that inherits from C# class QuoteBarConsolidator.
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This class shows an example of building on top of an existing consolidator class, it is important
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to note that this class can leverage the functions of QuoteBarConsolidator but its private fields
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(_period, _workingbar, etc.) are separate from this Python. For that reason if we want Scan() to work
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we must overwrite the function with our desired Scan function and trigger OnDataConsolidated().
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For this particular example we implemented the scan method to trigger a consolidated bar
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at closeTime everyday'''
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def __init__(self, closeTime):
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self.closeTime = closeTime
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self.workingBar = None
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def Update(self, data):
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'''Updates this consolidator with the specified data'''
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#If we don't have bar yet, create one
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if self.workingBar is None:
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self.workingBar = QuoteBar(data.Time,data.Symbol,data.Bid,data.LastBidSize,
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data.Ask,data.LastAskSize)
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#Update bar using QuoteBarConsolidator's AggregateBar()
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self.AggregateBar(self.workingBar, data)
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def Scan(self, time):
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'''Scans this consolidator to see if it should emit a bar due yet'''
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#If its our desired bar end time take the steps to
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if time.hour == self.closeTime.hour and time.minute == self.closeTime.minute:
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#Set end time
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self.workingBar.EndTime = time
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#Emit event using QuoteBarConsolidator's OnDataConsolidated()
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self.OnDataConsolidated(self.workingBar)
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#Reset the working bar to None
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self.workingBar = None
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class CustomQuoteBarConsolidator(PythonConsolidator):
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'''A custom quote bar consolidator that inherits from PythonConsolidator and implements
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the IDataConsolidator interface, it must implement all of IDataConsolidator. Reference
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PythonConsolidator.cs and DataConsolidatorPythonWrapper.py for more information.
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This class shows how to implement a consolidator from scratch in Python, this gives us more
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freedom to determine the behavior of the consolidator but can't leverage any of the built in
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functions of an inherited class.
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For this example we implemented a Quotebar from scratch'''
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def __init__(self, period):
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#IDataConsolidator required vars for all consolidators
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self.Consolidated = None #Most recently consolidated piece of data.
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self.WorkingData = None #Data being currently consolidated
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self.InputType = QuoteBar #The type consumed by this consolidator
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self.OutputType = QuoteBar #The type produced by this consolidator
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#Consolidator Variables
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self.Period = period
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def Update(self, data):
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'''Updates this consolidator with the specified data'''
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#If we don't have bar yet, create one
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if self.WorkingData is None:
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self.WorkingData = QuoteBar(data.Time,data.Symbol,data.Bid,data.LastBidSize,
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data.Ask,data.LastAskSize,self.Period)
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#Update bar using QuoteBar's update()
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self.WorkingData.Update(data.Value, data.Bid.Close, data.Ask.Close, 0,
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data.LastBidSize, data.LastAskSize)
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def Scan(self, time):
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'''Scans this consolidator to see if it should emit a bar due to time passing'''
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if self.Period is not None and self.WorkingData is not None:
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if time - self.WorkingData.Time >= self.Period:
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#Trigger the event handler with a copy of self and the data
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self.OnDataConsolidated(self, self.WorkingData)
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#Set the most recent consolidated piece of data and then clear the workingData
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self.Consolidated = self.WorkingData
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self.WorkingData = None
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