Gerardo Salazar
59 lines
2.3 KiB
Python
59 lines
2.3 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 datetime import datetime, timedelta
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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.Data import *
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from QuantConnect.Data.Custom.Robintrack import *
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class RobintrackHoldingsAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.lastValue = 0
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self.SetStartDate(2018, 5, 1)
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self.SetEndDate(2020, 5, 5)
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self.SetCash(100000)
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self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
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self.aaplHoldings = self.AddData(RobintrackHoldings, self.aapl).Symbol
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self.isLong = False
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def OnData(self, data):
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for kvp in data.Get(RobintrackHoldings):
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holdings = kvp.Value
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if self.lastValue != 0:
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percentChange = (holdings.UsersHolding - self.lastValue) / self.lastValue
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holdingInfo = f"There are {holdings.UsersHolding} unique users holding {kvp.Key.Underlying} - users holding % of U.S. equities universe: {holdings.UniverseHoldingPercent * 100.0}%"
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if percentChange >= 0.005 and not self.isLong:
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self.Log(f"{self.UtcTime} - Buying AAPL - {holdingInfo}")
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self.SetHoldings(self.aapl, 0.5)
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self.isLong = True
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elif percentChange <= -0.005 and self.isLong:
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self.Log(f"{self.UtcTime} - Shorting AAPL - {holdingInfo}")
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self.SetHoldings(self.aapl, -0.5)
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self.isLong = False
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self.lastValue = holdings.UsersHolding;
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