Martin Molinero
1d43dcd601
- Adding `BaseData.AdjustResolution()` that should return a valid resolution for the given data and security type. This allows us to set a limitation which is useful to avoid invalid data requests or unnecessary fill forward situations. The user will be notified through a console message. - Adding unit and regression test - Updating example algorithms custom data resolution - Some performance improvements. Wont change console color if `SelectedOptimization` is defined
100 lines
3.8 KiB
C#
100 lines
3.8 KiB
C#
/*
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* 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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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.SEC;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class SECReport8KAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2019, 1, 1);
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SetEndDate(2019, 8, 21);
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SetCash(100000);
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UniverseSettings.Resolution = Resolution.Minute;
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AddUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseSelector));
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// Request underlying equity data.
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var ibm = AddEquity("IBM", Resolution.Minute).Symbol;
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// Add SEC report 10-Q data for the underlying IBM asset
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var earningsFiling = AddData<SECReport10Q>(ibm, Resolution.Daily).Symbol;
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// Request 120 days of history with the SECReport10Q IBM custom data Symbol.
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var history = History<SECReport10Q>(earningsFiling, 120, Resolution.Daily);
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// Count the number of items we get from our history request
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Debug($"We got {history.Count()} items from our history request");
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}
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public IEnumerable<Symbol> CoarseSelector(IEnumerable<CoarseFundamental> coarse)
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{
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// Add SEC data from the filtered coarse selection
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var symbols = coarse.Where(x => x.HasFundamentalData && x.DollarVolume > 50000000)
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.Select(x => x.Symbol)
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.Take(10);
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foreach (var symbol in symbols)
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{
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AddData<SECReport8K>(symbol);
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}
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return symbols;
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}
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public override void OnData(Slice data)
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{
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// Store the symbols we want to long in a list
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// so that we can have an equal-weighted portfolio
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var longEquitySymbols = new List<Symbol>();
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// Get all SEC data and loop over it
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foreach (var report in data.Get<SECReport8K>().Values)
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{
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// Get the length of all contents contained within the report
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var reportTextLength = report.Report.Documents.Select(x => x.Text.Length).Sum();
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if (reportTextLength > 20000)
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{
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longEquitySymbols.Add(report.Symbol.Underlying);
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}
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}
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foreach (var equitySymbol in longEquitySymbols)
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{
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SetHoldings(equitySymbol, 1m / longEquitySymbols.Count);
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var r in changes.RemovedSecurities)
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{
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// If removed from the universe, liquidate and remove the custom data from the algorithm
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Liquidate(r.Symbol);
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RemoveSecurity(QuantConnect.Symbol.CreateBase(typeof(SECReport8K), r.Symbol, Market.USA));
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}
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}
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}
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}
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