Gerardo Salazar
8c16ffde8d
* Write files by `UpdatedAt` date instead of the `CreatedAt` date * Added ability to append to compressed files if file does not exist * Cleaned up code as per review * misc. documentation changes
102 lines
4.0 KiB
Python
102 lines
4.0 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.Algorithm.Framework")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data.Custom.Benzinga import *
|
|
|
|
from datetime import datetime, timedelta
|
|
|
|
### <summary>
|
|
### Benzinga is a provider of news data. Their news is made in-house
|
|
### and covers stock related news such as corporate events.
|
|
### </summary>
|
|
class BenzingaNewsAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.words = {
|
|
"bad": -0.5, "good": 0.5,
|
|
"negative": -0.5, "great": 0.5,
|
|
"growth": 0.5, "fail": -0.5,
|
|
"failed": -0.5, "success": 0.5,
|
|
"nailed": 0.5, "beat": 0.5,
|
|
"missed": -0.5
|
|
}
|
|
|
|
self.lastTrade = datetime(1, 1, 1)
|
|
|
|
self.SetStartDate(2018, 6, 5)
|
|
self.SetEndDate(2018, 8, 4)
|
|
self.SetCash(100000)
|
|
|
|
aapl = self.AddEquity("AAPL", Resolution.Hour).Symbol
|
|
ibm = self.AddEquity("IBM", Resolution.Hour).Symbol
|
|
|
|
self.AddData(BenzingaNews, aapl)
|
|
self.AddData(BenzingaNews, ibm)
|
|
|
|
def OnData(self, data):
|
|
if (self.Time - self.lastTrade) < timedelta(days=5):
|
|
return
|
|
|
|
# Get rid of our holdings after 5 days, and start fresh
|
|
self.Liquidate()
|
|
|
|
# Get all Benzinga data and loop over it
|
|
for article in data.Get(BenzingaNews).Values:
|
|
selectedSymbol = None
|
|
|
|
# Use loop instead of list comprehension for clarity purposes
|
|
|
|
# Select the same Symbol we're getting a data point for
|
|
# from the articles list so that we can get the sentiment of the article
|
|
# We use the underlying Symbol because the Symbols included in the `Symbols` property
|
|
# are equity Symbols.
|
|
for symbol in article.Symbols:
|
|
if symbol == article.Symbol.Underlying:
|
|
selectedSymbol = symbol
|
|
break
|
|
|
|
if selectedSymbol is None:
|
|
raise Exception(f"Could not find current Symbol {article.Symbol.Underlying} even though it should exist")
|
|
|
|
# The intersection of the article contents and the pre-defined words are the words that are included in both collections
|
|
intersection = set(article.Contents.lower().split(" ")).intersection(list(self.words.keys()))
|
|
# Get the words, then get the aggregate sentiment
|
|
sentimentSum = sum([self.words[i] for i in intersection])
|
|
|
|
if sentimentSum >= 0.5:
|
|
self.Log(f"Longing {article.Symbol.Underlying} with sentiment score of {sentimentSum}")
|
|
self.SetHoldings(article.Symbol.Underlying, sentimentSum / 5)
|
|
|
|
self.lastTrade = self.Time
|
|
|
|
if sentimentSum <= -0.5:
|
|
self.Log(f"Shorting {article.Symbol.Underlying} with sentiment score of {sentimentSum}")
|
|
self.SetHoldings(article.Symbol.Underlying, sentimentSum / 5)
|
|
|
|
self.lastTrade = self.Time
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
for r in changes.RemovedSecurities:
|
|
# If removed from the universe, liquidate and remove the custom data from the algorithm
|
|
self.Liquidate(r.Symbol)
|
|
self.RemoveSecurity(Symbol.CreateBase(BenzingaNews, r.Symbol, Market.USA))
|