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
65 lines
2.7 KiB
Python
65 lines
2.7 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 AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Example algorithm demonstrating usage of SmartInsider data
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="custom data" />
|
|
### <meta name="tag" content="smart insider" />
|
|
### <meta name="tag" content="form 4" />
|
|
### <meta name="tag" content="insider trading" />
|
|
class SmartInsiderDataAlgoritm(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(2019, 7, 25)
|
|
self.SetEndDate(2019, 8, 2)
|
|
self.SetCash(100000)
|
|
|
|
self.symbol = self.AddEquity("KO", Resolution.Daily).Symbol
|
|
self.AddData(SmartInsiderTransaction, "KO")
|
|
self.AddData(SmartInsiderIntention, "KO")
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
|
|
if not data.ContainsKey(self.symbol.Value):
|
|
return
|
|
|
|
has_open_orders = len(self.Transactions.GetOpenOrders()) != 0
|
|
ko_data = data[self.symbol.Value]
|
|
|
|
if isinstance(ko_data, SmartInsiderTransaction):
|
|
if not self.Portfolio.Invested and not has_open_orders:
|
|
if ko_data.BuybackPercentage > 0.0001 and ko_data.VolumePercentage > 0.001:
|
|
self.Log(f"Buying {self.symbol.Value} due to stock transaction")
|
|
self.SetHoldings(self.symbol, 0.50)
|
|
|
|
elif isinstance(ko_data, SmartInsiderIntention):
|
|
if not self.Portfolio.Invested and not has_open_orders:
|
|
if ko_data.Percentage > 0.0001:
|
|
self.Log(f"Buying {self.symbol.Value} due to intention to purchase stock")
|
|
self.SetHoldings(self.symbol, 0.50)
|
|
|
|
elif self.Portfolio.Invested and not has_open_orders:
|
|
if ko_data.Percentage < 0.0:
|
|
self.Log(f"Liquidating {self.symbol.Value}")
|
|
self.Liquidate(self.symbol)
|
|
|
|
|
|
|
|
|
|
|