Martin Molinero
73d780daae
- Custom data types will know whether or not Lean should use map files - Updating regression test with sample custom data using map files, which can run locally - Adding unit tests for the `SubscriptionDataReaderHistoryProvider`, checking it mappes equities and options correctly
84 lines
3.7 KiB
Python
84 lines
3.7 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.Data import *
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from QuantConnect.Python import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data.Market import *
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from datetime import datetime
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### <summary>
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### Regression algorithm demonstrating use of map files with custom data
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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 CustomDataUsingMapFileRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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self.SetStartDate(2013, 6, 27)
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self.SetEndDate(2013, 7, 2)
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self.initialMapping = False
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self.executionMapping = False
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self.symbol = self.AddData(CustomDataUsingMapping, "FOXA").Symbol
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def OnData(self, slice):
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date = self.Time.date()
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if slice.SymbolChangedEvents.ContainsKey(self.symbol):
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mappingEvent = slice.SymbolChangedEvents[self.symbol]
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self.Log("{0} - Ticker changed from: {1} to {2}".format(str(self.Time), mappingEvent.OldSymbol, mappingEvent.NewSymbol))
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if date == datetime(2013, 6, 27).date():
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# initial mapping event since we added FOXA and it's currently NWSA - GH issue 3327
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if mappingEvent.NewSymbol != "NWSA" or mappingEvent.OldSymbol != "FOXA":
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raise Exception("Unexpected mapping event mappingEvent")
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self.initialMapping = True
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if date == datetime(2013, 6, 29).date():
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if mappingEvent.NewSymbol != "FOXA" or mappingEvent.OldSymbol != "NWSA":
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raise Exception("Unexpected mapping event mappingEvent")
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self.SetHoldings(self.symbol, 1)
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self.executionMapping = True
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def OnEndOfAlgorithm(self):
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if not self.initialMapping:
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raise Exception("The ticker did not generate the initial rename event")
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if not self.executionMapping:
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raise Exception("The ticker did not rename throughout the course of its life even though it should have")
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class CustomDataUsingMapping(PythonData):
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def GetSource(self, config, date, isLiveMode):
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return TradeBar().GetSource(SubscriptionDataConfig(config, CustomDataUsingMapping,
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# create a new symbol as equity so we find the existing data files
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Symbol.Create(config.MappedSymbol, SecurityType.Equity, config.Market)),
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date,
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isLiveMode);
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def Reader(self, config, line, date, isLiveMode):
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return TradeBar.ParseEquity(config, line, date)
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def UsesMapFiles(self):
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return True |