Gerardo Salazar
66 lines
2.7 KiB
Python
66 lines
2.7 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.Algorithm import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.SEC import *
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from QuantConnect.Data.UniverseSelection import *
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class CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 3, 24)
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self.SetEndDate(2014, 4, 7)
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self.SetCash(100000)
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self.UniverseSettings.Resolution = Resolution.Daily
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self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelector))
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def CoarseSelector(self, coarse):
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return [
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Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
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Symbol.Create("BAC", SecurityType.Equity, Market.USA),
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Symbol.Create("FB", SecurityType.Equity, Market.USA),
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Symbol.Create("GOOGL", SecurityType.Equity, Market.USA),
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Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
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Symbol.Create("IBM", SecurityType.Equity, Market.USA),
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]
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def OnData(self, data):
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if not self.Portfolio.Invested and len(self.Transactions.GetOpenOrders()) == 0:
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aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
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self.SetHoldings(aapl, 0.5)
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for customSymbol in self.customSymbols:
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if not self.ActiveSecurities.ContainsKey(customSymbol.Underlying):
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raise Exception(f"Custom data undelrying ({customSymbol.Underlying}) Symbol was not found in active securities")
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def OnSecuritiesChanged(self, changes):
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iterated = False
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for added in [i for i in changes.AddedSecurities if i.Symbol.SecurityType == SecurityType.Equity]:
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if not iterated:
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self.customSymbols = []
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iterated = True
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self.customSymbols.append(self.AddData(SECReport8K, added.Symbol, Resolution.Daily).Symbol)
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