Gerardo Salazar
050089a3ae
* Updates TradingEconomics algorithms to use new event definition * Separated Calendar and Indicator definitions into partial class * Refactors portions of TradingEconomicsCalendar * Makes TradingEconomicsCalendar.GetSource return RemoteFile for live * Fixes bugs in TradingEconomicsEventFilter * Fixes bugs in StreamReaderExtensions (thanks Martin :)) * Adds new unit tests to cover changes
65 lines
2.6 KiB
Python
65 lines
2.6 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.Data.Custom.TradingEconomics import *
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### <summary>
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### Trades on interest rate announcements from data provided by Trading Economics
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### </summary>
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class TradingEconomicsAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 11, 1)
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self.SetEndDate(2019, 10, 3);
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self.SetCash(100000)
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self.AddEquity("AGG", Resolution.Hour)
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self.AddEquity("SPY", Resolution.Hour)
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self.interestRate = self.AddData(TradingEconomicsCalendar, TradingEconomics.Calendar.UnitedStates.InterestRate).Symbol
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# Request 365 days of interest rate history with the TradingEconomicsCalendar custom data Symbol.
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# We should expect no historical data because 2013-11-01 is before the absolute first point of data
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history = self.History(TradingEconomicsCalendar, self.interestRate, 365, Resolution.Daily)
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# Count the amount of items we get from our history request (should be zero)
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self.Debug(f"We got {len(history)} items from our history request")
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def OnData(self, data):
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# Make sure we have an interest rate calendar event
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if not data.ContainsKey(self.interestRate):
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return
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announcement = data[self.interestRate]
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# Confirm its a FED Rate Decision
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if announcement.Event != TradingEconomics.Event.UnitedStates.FedInterestRateDecision:
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return
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# In the event of a rate increase, rebalance 50% to Bonds.
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interestRateDecreased = announcement.Actual <= announcement.Previous
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if interestRateDecreased:
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self.SetHoldings("SPY", 1)
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self.SetHoldings("AGG", 0)
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else:
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self.SetHoldings("SPY", 0.5)
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self.SetHoldings("AGG", 0.5)
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