Louis Szeto
5eb236834f
* pep8 conversions * Address review. Fix PythonIndicator * Minor CSharp algo fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
95 lines
3.6 KiB
Python
95 lines
3.6 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 *
|
|
from System.Collections.Generic import List
|
|
|
|
### <summary>
|
|
### In this algorithm we show how you can easily use the universe selection feature to fetch symbols
|
|
### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
|
|
### AddUniverse{T} requires a function that will return the symbols to be traded.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="universes" />
|
|
### <meta name="tag" content="custom universes" />
|
|
class DropboxBaseDataUniverseSelectionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
|
|
self.universe_settings.resolution = Resolution.DAILY
|
|
|
|
# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
|
|
# Commented so regression algorithm is more sensitive
|
|
#self.settings.minimum_order_margin_portfolio_percentage = 0.005
|
|
|
|
self.set_start_date(2017, 7, 6)
|
|
self.set_end_date(2018, 7, 4)
|
|
|
|
universe = self.add_universe(StockDataSource, self.stock_data_source)
|
|
|
|
historical_selection_data = self.history(universe, 3)
|
|
if len(historical_selection_data) != 3:
|
|
raise ValueError(f"Unexpected universe data count {len(historical_selection_data)}")
|
|
|
|
for universe_data in historical_selection_data["symbols"]:
|
|
if len(universe_data) != 5:
|
|
raise ValueError(f"Unexpected universe data receieved")
|
|
|
|
def stock_data_source(self, data):
|
|
list = []
|
|
for item in data:
|
|
for symbol in item["Symbols"]:
|
|
list.append(symbol)
|
|
return list
|
|
|
|
def on_data(self, slice):
|
|
|
|
if slice.bars.count == 0: return
|
|
if self._changes is None: return
|
|
|
|
# start fresh
|
|
self.liquidate()
|
|
|
|
percentage = 1 / slice.bars.count
|
|
for trade_bar in slice.bars.values():
|
|
self.set_holdings(trade_bar.symbol, percentage)
|
|
|
|
# reset changes
|
|
self._changes = None
|
|
|
|
def on_securities_changed(self, changes):
|
|
self._changes = changes
|
|
|
|
class StockDataSource(PythonData):
|
|
|
|
def get_source(self, config, date, is_live_mode):
|
|
url = "https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1" if is_live_mode else \
|
|
"https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1"
|
|
|
|
return SubscriptionDataSource(url, SubscriptionTransportMedium.REMOTE_FILE)
|
|
|
|
def reader(self, config, line, date, is_live_mode):
|
|
if not (line.strip() and line[0].isdigit()): return None
|
|
|
|
stocks = StockDataSource()
|
|
stocks.symbol = config.symbol
|
|
|
|
csv = line.split(',')
|
|
if is_live_mode:
|
|
stocks.time = date
|
|
stocks["Symbols"] = csv
|
|
else:
|
|
stocks.time = datetime.strptime(csv[0], "%Y%m%d")
|
|
stocks["Symbols"] = csv[1:]
|
|
return stocks
|