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
128 lines
5.3 KiB
Python
128 lines
5.3 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 AlgorithmImports import *
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from System.Globalization import *
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### <summary>
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### Live Trading Functionality Demonstration algorithm including SMS, Email and Web hook notifications.
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### </summary>
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### <meta name="tag" content="live trading" />
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### <meta name="tag" content="alerts" />
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### <meta name="tag" content="sms alerts" />
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### <meta name="tag" content="web hooks" />
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### <meta name="tag" content="email alerts" />
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### <meta name="tag" content="runtime statistics" />
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class LiveTradingFeaturesAlgorithm(QCAlgorithm):
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### Initialize the Algorithm and Prepare Required Data
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(25000)
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##Equity Data for US Markets
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self.AddSecurity(SecurityType.Equity, 'IBM', Resolution.Second)
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##FOREX Data for Weekends: 24/6
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self.AddSecurity(SecurityType.Forex, 'EURUSD', Resolution.Minute)
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##Custom/Bitcoin Live Data: 24/7
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self.AddData(Bitcoin, 'BTC', Resolution.Second, TimeZones.Utc)
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### New Bitcoin Data Event
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def OnData(Bitcoin, data):
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if self.LiveMode:
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self.SetRuntimeStatistic('BTC', str(data.Close))
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if not self.Portfolio.HoldStock:
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self.MarketOrder('BTC', 100)
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##Send a notification email/SMS/web request on events:
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self.Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment")
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self.Notify.Sms("+11233456789", str(data.Time) + ">> Test message from live BTC server.")
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self.Notify.Web("http://api.quantconnect.com", str(data.Time) + ">> Test data packet posted from live BTC server.")
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### Raises the data event
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def OnData(self, data):
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if (not self.Portfolio['IBM'].HoldStock) and data.ContainsKey('IBM'):
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quantity = int(np.floor(self.Portfolio.MarginRemaining / data['IBM'].Close))
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self.MarketOrder('IBM',quantity)
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self.Debug('Purchased IBM on ' + str(self.Time.strftime("%m/%d/%Y")))
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self.Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment")
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###Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
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class Bitcoin(PythonData):
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def GetSource(self, config, date, isLiveMode):
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if isLiveMode:
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return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest)
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return SubscriptionDataSource("https://www.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc", SubscriptionTransportMedium.RemoteFile)
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def Reader(self, config, line, date, isLiveMode):
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coin = Bitcoin()
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coin.Symbol = config.Symbol
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if isLiveMode:
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# Example Line Format:
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# {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
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try:
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liveBTC = json.loads(line)
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# If value is zero, return None
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value = liveBTC["last"]
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if value == 0: return None
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coin.Time = datetime.now()
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coin.Value = value
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coin["Open"] = float(liveBTC["open"])
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coin["High"] = float(liveBTC["high"])
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coin["Low"] = float(liveBTC["low"])
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coin["Close"] = float(liveBTC["last"])
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coin["Ask"] = float(liveBTC["ask"])
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coin["Bid"] = float(liveBTC["bid"])
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coin["VolumeBTC"] = float(liveBTC["volume"])
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coin["WeightedPrice"] = float(liveBTC["vwap"])
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return None
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# Example Line Format:
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# Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
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# 2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
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if not (line.strip() and line[0].isdigit()): return None
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try:
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data = line.split(',')
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coin.Time = datetime.strptime(data[0], "%Y-%m-%d")
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coin.Value = float(data[4])
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coin["Open"] = float(data[1])
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coin["High"] = float(data[2])
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coin["Low"] = float(data[3])
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coin["Close"] = float(data[4])
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coin["VolumeBTC"] = float(data[5])
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coin["VolumeUSD"] = float(data[6])
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coin["WeightedPrice"] = float(data[7])
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return None
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