AlexCatarino
114 lines
5.0 KiB
Python
114 lines
5.0 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.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.Orders import *
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from QuantConnect.Algorithm import QCAlgorithm
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from datetime import timedelta, datetime
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from decimal import Decimal
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from Execution.ImmediateExecutionModel import ImmediateExecutionModel
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from Risk.NullRiskManagementModel import NullRiskManagementModel
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from QuantConnect.Data.Custom import DailyFx
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### <summary>
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### This demonstration alpha reads the DailyFx calendar and provides insights based upon
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### the news' outlook for the root currency's(USD) associated pairs
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### </summary>
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class ForexCalendarAlgorithm(QCAlgorithmFramework):
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def Initialize(self):
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self.SetStartDate(2015, 7, 12)
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self.SetEndDate(2018, 7, 27)
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self.SetCash(100000)
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symbols = [Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURGBP", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURAUD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("EURCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDCHF", SecurityType.Forex, Market.Oanda),
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Symbol.Create("USDCAD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("AUDJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("GBPJPY", SecurityType.Forex, Market.Oanda),
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Symbol.Create("GBPUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("NZDUSD", SecurityType.Forex, Market.Oanda)]
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# Initializes the class that provides DailyFx News
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self.AddData(DailyFx, "DFX", Resolution.Minute, TimeZones.Utc)
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# Set Our Universe
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self.UniverseSettings.Resolution = Resolution.Minute
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self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
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# Set to use our FxCalendar Alpha Model
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self.SetAlpha(FxCalendarTrigger())
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# Equally weigh securities in portfolio, based on insights
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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# Set Immediate Execution Model
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self.SetExecution(ImmediateExecutionModel())
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# Set Null Risk Management Model
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self.SetRiskManagement(NullRiskManagementModel())
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class FxCalendarTrigger(AlphaModel):
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def __init__(self):
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self.Name = "FxCalendarTrigger"
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def Update(self, algorithm, data):
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insights = []
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period = TimeSpan.FromMinutes(5)
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magnitude = 0.0005
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# We will create our insights when we recieve news
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if data.ContainsKey("DFX"):
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calendar = data["DFX"]
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# Only act if this is important news.
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if calendar.Importance != FxDailyImportance.High: return insights
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if calendar.Meaning == 0: return insights
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# Create insights for all active currencies in our universe when country matches currency
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for symbol in algorithm.ActiveSecurities.Keys:
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# Only process Fx assets.
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if (symbol.SecurityType != SecurityType.Forex):
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continue
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pair = algorithm.Securities[symbol.Value]
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direction = InsightDirection.Flat
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if pair.BaseCurrencySymbol == calendar.Currency.upper():
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direction = InsightDirection.Up if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Down
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elif pair.QuoteCurrency.Symbol == calendar.Currency.upper():
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direction = InsightDirection.Down if calendar.Meaning == FxDailyMeaning.Better else InsightDirection.Up
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if (direction != InsightDirection.Flat):
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insights.append(Insight.Price(symbol, period, direction, magnitude))
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return insights
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def OnSecuritiesChanged(self, algorithm, changes):
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pass |