Derek Melchin
111 lines
4.5 KiB
Python
111 lines
4.5 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>
|
|
### This algorithm sends portfolio targets to CrunchDAO API once a week.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="securities and portfolio" />
|
|
class CrunchDAOSignalExportDemonstrationAlgorithm(QCAlgorithm):
|
|
|
|
crunch_universe = []
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2023, 5, 22)
|
|
self.SetEndDate(2023, 5, 26)
|
|
self.SetCash(1_000_000)
|
|
|
|
# Connect to CrunchDAO
|
|
api_key = "" # Your CrunchDAO API key
|
|
model = "" # The Id of your CrunchDAO model
|
|
submission_name = "" # A name for the submission to distinguish it from your other submissions
|
|
comment = "" # A comment for the submission
|
|
self.SignalExport.AddSignalExportProviders(CrunchDAOSignalExport(api_key, model, submission_name, comment))
|
|
|
|
self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices)))
|
|
|
|
# Add a custom data universe to read the CrunchDAO skeleton
|
|
self.AddUniverse(CrunchDaoSkeleton, "CrunchDaoSkeleton", Resolution.Daily, self.select_symbols)
|
|
|
|
# Create a Scheduled Event to submit signals every monday before the market opens
|
|
self.week = -1
|
|
self.Schedule.On(
|
|
self.DateRules.Every([DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday]),
|
|
self.TimeRules.At(13, 15, TimeZones.Utc),
|
|
self.submit_signals)
|
|
|
|
self.Settings.MinimumOrderMarginPortfolioPercentage = 0
|
|
|
|
self.SetWarmUp(timedelta(45))
|
|
|
|
def select_symbols(self, data: List[CrunchDaoSkeleton]) -> List[Symbol]:
|
|
return [x.Symbol for x in data]
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
for security in changes.RemovedSecurities:
|
|
if security in self.crunch_universe:
|
|
self.crunch_universe.remove(security)
|
|
self.crunch_universe.extend(changes.AddedSecurities)
|
|
|
|
def submit_signals(self):
|
|
if self.IsWarmingUp:
|
|
return
|
|
|
|
# Submit signals once per week
|
|
week_num = self.Time.isocalendar()[1]
|
|
if self.week == week_num:
|
|
return
|
|
self.week = week_num
|
|
|
|
symbols = [security.Symbol for security in self.crunch_universe if security.Price > 0]
|
|
|
|
# Get historical price data
|
|
# close_prices = self.History(symbols, 22, Resolution.Daily).close.unstack(0)
|
|
|
|
# Create portfolio targets
|
|
weight_by_symbol = {symbol: 1/len(symbols) for symbol in symbols} # Add your logic here
|
|
targets = [PortfolioTarget(symbol, weight) for symbol, weight in weight_by_symbol.items()]
|
|
|
|
# (Optional) Place trades
|
|
self.SetHoldings(targets)
|
|
|
|
# Send signals to CrunchDAO
|
|
success = self.SignalExport.SetTargetPortfolio(targets)
|
|
if not success:
|
|
self.Debug(f"Couldn't send targets at {self.Time}")
|
|
|
|
|
|
class CrunchDaoSkeleton(PythonData):
|
|
|
|
def GetSource(self, config, date, isLive):
|
|
return SubscriptionDataSource("https://tournament.crunchdao.com/data/skeleton.csv", SubscriptionTransportMedium.RemoteFile)
|
|
|
|
def Reader(self, config, line, date, isLive):
|
|
if not line[0].isdigit(): return None
|
|
skeleton = CrunchDaoSkeleton()
|
|
skeleton.Symbol = config.Symbol
|
|
|
|
try:
|
|
csv = line.split(',')
|
|
skeleton.EndTime = (datetime.strptime(csv[0], "%Y-%m-%d")).date()
|
|
skeleton.Symbol = Symbol(SecurityIdentifier.GenerateEquity(csv[1], Market.USA, mappingResolveDate=skeleton.Time), csv[1])
|
|
skeleton["Ticker"] = csv[1]
|
|
|
|
except ValueError:
|
|
# Do nothing
|
|
return None
|
|
|
|
return skeleton |