Gerardo Salazar
47 lines
1.9 KiB
Python
47 lines
1.9 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.USTreasury import *
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### <summary>
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### Demonstration algorithm showing how to use and access U.S. Treasury yield curve data
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="yield curve" />
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class USTreasuryYieldCurveDataAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2017, 1, 1)
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self.SetEndDate(2019, 6, 30)
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self.SetCash(100000)
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# Define the symbol and "type" of our generic data:
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self.symbol = self.AddData(USTreasuryYieldCurveRate, "USTYC").Symbol
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def OnData(self, slice):
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if not slice.ContainsKey(self.symbol):
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return
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curve = slice[self.symbol]
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self.Log(f"{self.Time} - 1M: {curve.OneMonth}, 2M: {curve.TwoMonth}, 3M: {curve.ThreeMonth}, 6M: {curve.SixMonth}, 1Y: {curve.OneYear}, 2Y: {curve.TwoYear}, 3Y: {curve.ThreeYear}, 5Y: {curve.FiveYear}, 10Y: {curve.TenYear}, 20Y: {curve.TwentyYear}, 30Y: {curve.ThirtyYear}")
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