Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
52 lines
2.4 KiB
Python
52 lines
2.4 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 AlgorithmImports import *
|
|
from QuantConnect.Data.Custom.SmartInsider import *
|
|
|
|
class SmartInsiderEventBenchmarkAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
self.SetStartDate(2010, 1, 1)
|
|
self.SetEndDate(2019, 1, 1)
|
|
|
|
tickers = {"AAPL", "AMZN", "MSFT", "IBM", "FB", "QQQ", "IWM", "BAC", "BNO", "AIG", "UW", "WM" }
|
|
self.securities = []
|
|
self.customSymbols = []
|
|
for ticker in tickers:
|
|
security = self.AddEquity(ticker, Resolution.Hour)
|
|
self.securities.append(security)
|
|
|
|
intetion = self.AddData(SmartInsiderIntention, security.Symbol, Resolution.Daily)
|
|
transaction = self.AddData(SmartInsiderTransaction, security.Symbol, Resolution.Daily)
|
|
self.customSymbols.append(intetion.Symbol)
|
|
self.customSymbols.append(transaction.Symbol)
|
|
|
|
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(16, 0), self.DailyRebalance)
|
|
|
|
def OnData(self, slice):
|
|
intentions = slice.Get(SmartInsiderIntention)
|
|
transactions = slice.Get(SmartInsiderTransaction)
|
|
|
|
def DailyRebalance(self):
|
|
history = self.History(self.customSymbols, timedelta(5))
|
|
historySymbolCount = len(history.index)
|
|
|
|
for security in self.securities:
|
|
intention = security.Data.Get(SmartInsiderIntention)
|
|
transaction = security.Data.Get(SmartInsiderTransaction)
|
|
|
|
if not security.HoldStock and intention != None and transaction != None:
|
|
self.SetHoldings(security.Symbol, 1 / len(self.securities))
|