Jhonathan Abreu
e9edb8ac29
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* Fix using python custom indicators with extensions * Minor changes to the algorithm * Address PR comments
89 lines
3.5 KiB
Python
89 lines
3.5 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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from collections import deque
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from math import isclose
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class CustomIndicatorWithExtensionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 9)
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self.SetEndDate(2013, 10, 9)
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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self.sma_values = []
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self.period = 10
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self.sma = self.SMA(self.spy, self.period, Resolution.Minute)
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self.sma.Updated += self.OnSMAUpdated
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self.custom_sma = CustomSimpleMovingAverage("My SMA", self.period)
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self.ext = IndicatorExtensions.Of(self.custom_sma, self.sma)
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self.ext.Updated += self.OnIndicatorExtensionUpdated
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self.sma_minus_custom = IndicatorExtensions.Minus(self.sma, self.custom_sma)
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self.sma_minus_custom.Updated += self.OnMinusUpdated
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self.sma_was_updated = False
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self.custom_sma_was_updated = False
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self.sma_minus_custom_was_updated = False
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def OnSMAUpdated(self, sender, updated):
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self.sma_was_updated = True
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if self.sma.IsReady:
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self.sma_values.append(self.sma.Current.Value)
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def OnIndicatorExtensionUpdated(self, sender, updated):
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self.custom_sma_was_updated = True
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sma_last_values = self.sma_values[-self.period:]
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expected = sum(sma_last_values) / len(sma_last_values)
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if not isclose(expected, self.custom_sma.Value):
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raise Exception(f"Expected the custom SMA to calculate the moving average of the last {self.period} values of the SMA. "
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f"Current expected: {expected}. Actual {self.custom_sma.Value}.")
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self.Debug(f"{self.sma.Current.Value} :: {self.custom_sma.Value} :: {updated}")
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def OnMinusUpdated(self, sender, updated):
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self.sma_minus_custom_was_updated = True
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expected = self.sma.Current.Value - self.custom_sma.Value
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if not isclose(expected, self.sma_minus_custom.Current.Value):
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raise Exception(f"Expected the composite minus indicator to calculate the difference between the SMA and custom SMA indicators. "
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f"Expected: {expected}. Actual {self.sma_minus_custom.Current.Value}.")
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def OnEndOfAlgorithm(self):
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if not (self.sma_was_updated and self.custom_sma_was_updated and self.sma_minus_custom_was_updated):
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raise Exception("Expected all indicators to have been updated.")
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# Custom indicator
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class CustomSimpleMovingAverage(PythonIndicator):
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def __init__(self, name, period):
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self.Name = name
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self.Value = 0
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self.WarmUpPeriod = period
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self.queue = deque(maxlen=period)
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def Update(self, input: BaseData) -> bool:
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self.queue.appendleft(input.Value)
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count = len(self.queue)
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self.Value = sum(self.queue) / count
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return count == self.queue.maxlen
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