Gerardo Salazar
90 lines
3.4 KiB
Python
90 lines
3.4 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data.Custom.SEC import *
|
|
|
|
from datetime import datetime
|
|
import json
|
|
|
|
### <summary>
|
|
### Demonstration algorithm showing how to use and access SEC data
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="custom data" />
|
|
### <meta name="tag" content="regression test" />
|
|
### <meta name="tag" content="SEC" />
|
|
### <meta name="tag" content="rename event" />
|
|
### <meta name="tag" content="map" />
|
|
### <meta name="tag" content="mapping" />
|
|
### <meta name="tag" content="map files" />
|
|
class CustomDataUsingMapFileRegressionAlgorithm(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(2001, 1, 1)
|
|
self.SetEndDate(2003, 12, 31)
|
|
self.SetCash(100000)
|
|
|
|
self.tickers = {}
|
|
|
|
self.ticker = "TWX"
|
|
self.symbol = self.AddData(SECReport8K, self.ticker).Symbol
|
|
self.AddEquity(self.ticker, Resolution.Daily)
|
|
|
|
def OnData(self, slice):
|
|
if slice.SymbolChangedEvents.ContainsKey(self.symbol):
|
|
self.changed_symbol = True
|
|
self.Log("{0} - Ticker changed from: {1} to {2}".format(str(self.Time), slice.SymbolChangedEvents[self.symbol].OldSymbol, slice.SymbolChangedEvents[self.symbol].NewSymbol))
|
|
|
|
if not slice.ContainsKey(self.symbol):
|
|
return
|
|
|
|
data = slice[self.symbol]
|
|
|
|
if not isinstance(data, SECReport8K):
|
|
return
|
|
|
|
report = data.Report
|
|
ticker = data.Symbol.Value
|
|
date = self.Time.date()
|
|
|
|
if date == datetime(2001, 1, 26).date() or date == datetime(2003, 10, 22).date():
|
|
self.tickers[str(date)] = ticker
|
|
|
|
self.Log(f"{str(self.Time)} - Received 8-K report for {data.Symbol.Value}")
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if not self.changed_symbol:
|
|
raise Exception("The ticker did not rename throughout the course of its life even though it should have")
|
|
|
|
expected_tickers = {}
|
|
expected_tickers[str(datetime(2001, 1, 26).date())] = "AOL"
|
|
expected_tickers[str(datetime(2003, 10, 22).date())] = "TWX"
|
|
|
|
# Check for dict equality: https://stackoverflow.com/a/4527978
|
|
if not all([k in self.tickers and expected_tickers[k] == self.tickers[k] for k in expected_tickers]):
|
|
self.Log(f"Found: {json.dumps(self.tickers)}")
|
|
self.Log(f"Expected: {json.dumps(expected_tickers)}")
|
|
raise Exception("SEC data event tickers do not match test case")
|
|
|
|
|
|
|