Martin Molinero
b6b7720a1e
- Moving mapper from C# to Python since some cases did not work when implemented in C# - Small changes to `PandasDataFrameHistoryAlgorithm` which runs till the end with no errors - Adding more backwards compatible unit tests
164 lines
7.7 KiB
Python
164 lines
7.7 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.Indicators")
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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.Indicators import *
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from QuantConnect.Python import PythonQuandl
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from QuantConnect.Securities.Equity import EquityExchange
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from QuantConnect.Data.UniverseSelection import Universe
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from datetime import datetime, timedelta
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### <summary>
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### This algorithm demonstrates the various ways to handle History pandas DataFrame
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="history and warm up" />
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### <meta name="tag" content="history" />
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### <meta name="tag" content="warm up" />
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class PandasDataFrameHistoryAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 6, 9) # Set Start Date
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self.SetEndDate(2014, 6, 9) # Set End Date
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self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
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self.eur = self.AddForex("EURUSD", Resolution.Daily).Symbol
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aapl = self.AddEquity("AAPL", Resolution.Minute).Symbol
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self.option = Symbol.CreateOption(aapl, Market.USA, OptionStyle.American, OptionRight.Call, 750, datetime(2014, 10, 18))
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self.AddOptionContract(self.option)
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sp1 = self.AddData(QuandlFuture,"CHRIS/CME_SP1", Resolution.Daily)
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sp1.Exchange = EquityExchange()
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self.sp1 = sp1.Symbol
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self.AddUniverse(self.CoarseSelection)
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def CoarseSelection(self, coarse):
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if self.Portfolio.Invested:
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return Universe.Unchanged
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selected = [x.Symbol for x in coarse if x.Symbol.Value in ["AAA", "AIG", "BAC"]]
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if len(selected) == 0:
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return Universe.Unchanged
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universeHistory = self.History(selected, 10, Resolution.Daily)
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for symbol in selected:
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self.AssertHistoryIndex(universeHistory, "close", 10, "", symbol)
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return selected
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def OnData(self, data):
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if self.Portfolio.Invested:
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return
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# we can get history in initialize to set up indicators and such
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self.spyDailySma = SimpleMovingAverage(14)
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# get the last calendar year's worth of SPY data at the configured resolution (daily)
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tradeBarHistory = self.History(["SPY"], timedelta(365))
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self.AssertHistoryIndex(tradeBarHistory, "close", 251, "SPY", self.spy)
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# get the last calendar year's worth of EURUSD data at the configured resolution (daily)
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quoteBarHistory = self.History(["EURUSD"], timedelta(298))
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self.AssertHistoryIndex(quoteBarHistory, "bidclose", 251, "EURUSD", self.eur)
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optionHistory = self.History([self.option], timedelta(3))
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optionHistory.index = optionHistory.index.droplevel(level=[0,1,2])
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self.AssertHistoryIndex(optionHistory, "bidclose", 390, "", self.option)
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# get the last calendar year's worth of quandl data at the configured resolution (daily)
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quandlHistory = self.History(QuandlFuture, "CHRIS/CME_SP1", timedelta(365))
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self.AssertHistoryIndex(quandlHistory, "settle", 251, "CHRIS/CME_SP1", self.sp1)
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# we can loop over the return value from these functions and we get TradeBars
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# we can use these TradeBars to initialize indicators or perform other math
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self.spyDailySma.Reset()
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for index, tradeBar in tradeBarHistory.loc["SPY"].iterrows():
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self.spyDailySma.Update(index, tradeBar["close"])
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# we can loop over the return values from these functions and we'll get Quandl data
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# this can be used in much the same way as the tradeBarHistory above
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self.spyDailySma.Reset()
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for index, quandl in quandlHistory.loc["CHRIS/CME_SP1"].iterrows():
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self.spyDailySma.Update(index, quandl["settle"])
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self.SetHoldings(self.eur, 1)
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def AssertHistoryIndex(self, df, column, expected, ticker, symbol):
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if df.empty:
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raise Exception(f"Empty history data frame for {symbol}")
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if column not in df:
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raise Exception(f"Could not unstack df. Columns: {', '.join(df.columns)} | {column}")
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value = df.iat[0,0]
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df2 = df.xs(df.index.get_level_values('time')[0], level='time')
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df3 = df[column].unstack(level=0)
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try:
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# str(Symbol.ID)
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self.AssertHistoryCount(f"df.iloc[0]", df.iloc[0], len(df.columns))
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self.AssertHistoryCount(f"df.loc[str({symbol.ID})]", df.loc[str(symbol.ID)], expected)
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self.AssertHistoryCount(f"df.xs(str({symbol.ID}))", df.xs(str(symbol.ID)), expected)
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self.AssertHistoryCount(f"df.at[(str({symbol.ID}),), '{column}']", list(df.at[(str(symbol.ID),), column]), expected)
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self.AssertHistoryCount(f"df2.loc[str({symbol.ID})]", df2.loc[str(symbol.ID)], len(df2.columns))
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self.AssertHistoryCount(f"df3[str({symbol.ID})]", df3[str(symbol.ID)], expected)
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self.AssertHistoryCount(f"df3.get(str({symbol.ID}))", df3.get(str(symbol.ID)), expected)
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# str(Symbol)
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self.AssertHistoryCount(f"df.loc[str({symbol})]", df.loc[str(symbol)], expected)
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self.AssertHistoryCount(f"df.xs(str({symbol}))", df.xs(str(symbol)), expected)
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self.AssertHistoryCount(f"df.at[(str({symbol}),), '{column}']", list(df.at[(str(symbol),), column]), expected)
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self.AssertHistoryCount(f"df2.loc[str({symbol})]", df2.loc[str(symbol)], len(df2.columns))
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self.AssertHistoryCount(f"df3[str({symbol})]", df3[str(symbol)], expected)
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self.AssertHistoryCount(f"df3.get(str({symbol}))", df3.get(str(symbol)), expected)
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# str : Symbol.Value
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if len(ticker) == 0:
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return
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self.AssertHistoryCount(f"df.loc[{ticker}]", df.loc[ticker], expected)
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self.AssertHistoryCount(f"df.xs({ticker})", df.xs(ticker), expected)
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self.AssertHistoryCount(f"df.at[(ticker,), '{column}']", list(df.at[(ticker,), column]), expected)
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self.AssertHistoryCount(f"df2.loc[{ticker}]", df2.loc[ticker], len(df2.columns))
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self.AssertHistoryCount(f"df3[{ticker}]", df3[ticker], expected)
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self.AssertHistoryCount(f"df3.get({ticker})", df3.get(ticker), expected)
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except Exception as e:
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symbols = set(df.index.get_level_values(level='symbol'))
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raise Exception(f"{symbols}, {symbol.ID}, {symbol}, {ticker}. {e}")
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def AssertHistoryCount(self, methodCall, tradeBarHistory, expected):
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if isinstance(tradeBarHistory, list):
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count = len(tradeBarHistory)
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else:
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count = len(tradeBarHistory.index)
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if count != expected:
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raise Exception(f"{methodCall} expected {expected}, but received {count}")
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class QuandlFuture(PythonQuandl):
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'''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''
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def __init__(self):
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self.ValueColumnName = "Settle" |