AlexCatarino
61 lines
2.6 KiB
Python
61 lines
2.6 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 datetime import date, timedelta
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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.Indicators")
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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.Algorithm import *
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from QuantConnect.Indicators import *
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from QuantConnect.Data.Custom import *
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class QuandlImporterAlgorithm(QCAlgorithm):
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'''QuantConnect University: Generic Quandl Data Importer
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Using the underlying dynamic data class "Quandl" we take care of the data
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importing and definition for you. Simply point QuantConnect to the Quandl Short Code.
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The Quandl object has properties which match the spreadsheet headers.
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If you have multiple quandl streams look at data.Symbol to distinguish them.'''
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def __init__(self):
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self.__sma = None
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self.__quandlCode = "YAHOO/INDEX_SPY"
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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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yesterday = date.today() - timedelta(1)
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self.SetStartDate(2013,1,1) #Set Start Date
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self.SetEndDate(yesterday.year, yesterday.month, yesterday.day) #Set End Date
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self.SetCash(25000) #Set Strategy Cash
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self.AddData[Quandl](self.__quandlCode, Resolution.Daily)
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self.__sma = self.SMA(self.__quandlCode, 14)
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.HoldStock:
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self.SetHoldings(self.__quandlCode, 1)
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self.Debug("Purchased {0} >> {1}".format(self.__quandlCode, self.Time))
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self.Plot("SPY", self.__sma) |