Gerardo Salazar
44 lines
1.6 KiB
Python
44 lines
1.6 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from datetime import datetime, timedelta
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Data.Custom.CBOE import *
|
|
|
|
class CachedAlternativeDataAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2003, 1, 1)
|
|
self.SetEndDate(2019, 10, 11)
|
|
self.SetCash(100000)
|
|
|
|
# QuantConnect caches a small subset of alternative data for easy consumption for the community.
|
|
# You can use this in your algorithm as demonstrated below:
|
|
|
|
# CBOE VIX: http://cache.quantconnect.com/alternative/cboe/vix.csv
|
|
self.AddData(CBOE, "VIX")
|
|
|
|
def OnData(self, data):
|
|
vix = data.Get(CBOE, "VIX")
|
|
self.Log(f"VIX: {self.Time}, {vix.Open}, {vix.High}, {vix.Low}, {vix.Close}")
|
|
|