Ricardo Andrés Marino Rojas
e47b4e63ab
* Removed platformId support from C2. Modernized C2 API calls to APIv4. Added C2 rate limiters (RateGate). Added response logging so users can easily debug their code. Added a few symbols for the demo. * Address requested changes * Address requested changes --------- Co-authored-by: Francis Gingras <francis@collective2.com>
99 lines
4.9 KiB
Python
99 lines
4.9 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 AlgorithmImports import *
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### <summary>
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### This algorithm sends a list of portfolio targets to Collective2 API every time the ema indicators crosses between themselves.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="securities and portfolio" />
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class Collective2SignalExportDemonstrationAlgorithm(QCAlgorithm):
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def Initialize(self):
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''' Initialize the date and add all equity symbols present in list _symbols '''
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self.SetStartDate(2013, 10, 7) #Set Start Date
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self.SetEndDate(2013, 10, 11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Symbols accepted by Collective2. Collective2 accepts stock, future, forex and US stock option symbols
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self.AddEquity("GOOG")
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self.symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA, None, None), Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda, None, None), Symbol.CreateFuture("ES", Market.CME, datetime(2023, 12, 15), None), Symbol.CreateOption("GOOG", Market.USA, OptionStyle.American, OptionRight.Call, 130, datetime(2023, 9, 1))]
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self.targets = []
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# Create a new PortfolioTarget for each symbol, assign it an initial amount of 0.05 and save it in self.targets list
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for item in self.symbols:
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symbol = self.AddSecurity(item).Symbol
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if symbol.SecurityType == SecurityType.Equity or symbol.SecurityType == SecurityType.Forex:
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self.targets.append(PortfolioTarget(symbol, 0.05))
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else:
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self.targets.append(PortfolioTarget(symbol, 1))
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self.fast = self.EMA("SPY", 10)
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self.slow = self.EMA("SPY", 100)
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# Initialize these flags, to check when the ema indicators crosses between themselves
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self.emaFastIsNotSet = True;
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self.emaFastWasAbove = False;
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# Set Collective2 export provider
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# Collective2 APIv4 KEY: This value is provided by Collective2 in your account section (See https://collective2.com/account-info)
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# See API documentation at https://trade.collective2.com/c2-api
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self.collective2Apikey = "YOUR APIV4 KEY"
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# Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
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self.collective2SystemId = 0
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self.SignalExport.AddSignalExportProviders(Collective2SignalExport(self.collective2Apikey, self.collective2SystemId))
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self.first_call = True
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self.SetWarmUp(100)
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def OnData(self, data):
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''' Reduce the quantity of holdings for one security and increase the holdings to the another
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one when the EMA's indicators crosses between themselves, then send a signal to Collective2 API '''
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if self.IsWarmingUp: return
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# Place an order as soon as possible to send a signal.
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if self.first_call:
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self.SetHoldings("SPY", 0.1)
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self.targets[0] = PortfolioTarget(self.Portfolio["SPY"].Symbol, 0.1)
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self.SignalExport.SetTargetPortfolio(self.targets)
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self.first_call = False
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fast = self.fast.Current.Value
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slow = self.slow.Current.Value
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# Set the value of flag _emaFastWasAbove, to know when the ema indicators crosses between themselves
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if self.emaFastIsNotSet == True:
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if fast > slow *1.001:
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self.emaFastWasAbove = True
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else:
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self.emaFastWasAbove = False
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self.emaFastIsNotSet = False;
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# Check whether ema fast and ema slow crosses. If they do, set holdings to SPY
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# or reduce its holdings, change its value in self.targets list and send signals
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# to Collective2 API from self.targets
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if fast > slow * 1.001 and (not self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.1)
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self.targets[0] = PortfolioTarget(self.Portfolio["SPY"].Symbol, 0.1)
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self.SignalExport.SetTargetPortfolio(self.targets)
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elif fast < slow * 0.999 and (self.emaFastWasAbove):
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self.SetHoldings("SPY", 0.01)
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self.targets[0] = PortfolioTarget(self.Portfolio["SPY"].Symbol, 0.01)
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self.SignalExport.SetTargetPortfolio(self.targets)
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