Martin Molinero
39e56ea7c0
- Removing the need to call MHDB.SetEntry, this will be handled by the data manager
77 lines
3.4 KiB
Python
77 lines
3.4 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.Core")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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from QuantConnect.Data.Custom.Tiingo import *
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### <summary>
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### Example algorithm of a custom universe selection using coarse data and adding TiingoNews
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### If conditions are met will add the underlying and trade it
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### </summary>
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class CoarseTiingoNewsUniverseSelectionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2014,3,24)
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self.SetEndDate(2014,4,7)
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self.UniverseSettings.FillForward = False;
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self.__numberOfSymbols = 3
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self.AddUniverse(CustomDataCoarseFundamentalUniverse(self.UniverseSettings, self.SecurityInitializer, self.CoarseSelectionFunction));
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self._symbols = []
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# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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def CoarseSelectionFunction(self, coarse):
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# sort descending by daily dollar volume
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sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
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# return the symbol objects of the top entries from our sorted collection
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return [ Symbol.CreateBase(TiingoNews, x.Symbol, x.Symbol.ID.Market) for x in sortedByDollarVolume[:self.__numberOfSymbols] ]
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def OnData(self, data):
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articles = data.Get(TiingoNews)
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for kvp in articles:
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news = kvp.Value
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if "stocks drop" in news.Title.lower():
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if not self.Securities.ContainsKey(kvp.Key.Underlying):
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# add underlying we want to trade
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self.AddSecurity(kvp.Key.Underlying)
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self._symbols.append(kvp.Key.Underlying)
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for symbol in self._symbols:
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if self.Securities[symbol].HasData:
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self.SetHoldings(symbol, 1.0 / len(self._symbols))
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def OnSecuritiesChanged(self, changes):
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changes.FilterCustomSecurities = False
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self.Log(f"{self.Time} {changes}")
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class CustomDataCoarseFundamentalUniverse(CoarseFundamentalUniverse):
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def GetSubscriptionRequests(self, security, currentTimeUtc, maximumEndTimeUtc, subscriptionService):
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us = self.UniverseSettings
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config = subscriptionService.Add(TiingoNews, security.Symbol, us.Resolution, us.FillForward, us.ExtendedMarketHours, True, False, False, us.DataNormalizationMode)
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return [ SubscriptionRequest(False, self, security, config, currentTimeUtc, maximumEndTimeUtc) ]
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