chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+# 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 *
+
+### <summary>
+### This algorithm sends portfolio targets to CrunchDAO API once a week.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="securities and portfolio" />
+class CrunchDAOSignalExportDemonstrationAlgorithm(QCAlgorithm):
+
+    crunch_universe = []
+
+    def initialize(self) -> None:
+        self.set_start_date(2023, 5, 22)
+        self.set_end_date(2023, 5, 26)
+        self.set_cash(1_000_000)
+
+        # Disable automatic exports as we manually set them
+        self.signal_export.automatic_export_time_span = None
+
+        # Connect to CrunchDAO
+        api_key = ""            # Your CrunchDAO API key
+        model = ""              # The Id of your CrunchDAO model
+        submission_name = ""    # A name for the submission to distinguish it from your other submissions
+        comment = ""            # A comment for the submission
+        self.signal_export.add_signal_export_provider(CrunchDAOSignalExport(api_key, model, submission_name, comment))
+
+        self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
+
+        # Add a custom data universe to read the CrunchDAO skeleton
+        self.add_universe(CrunchDaoSkeleton, "CrunchDaoSkeleton", Resolution.DAILY, self.select_symbols)
+
+        # Create a Scheduled Event to submit signals every monday before the market opens
+        self._week = -1
+        self.schedule.on(
+            self.date_rules.every([DayOfWeek.MONDAY, DayOfWeek.TUESDAY, DayOfWeek.WEDNESDAY, DayOfWeek.THURSDAY, DayOfWeek.FRIDAY]),
+            self.time_rules.at(13, 15, TimeZones.UTC),
+            self.submit_signals)
+
+        self.settings.minimum_order_margin_portfolio_percentage = 0
+
+        self.set_warm_up(timedelta(45))
+
+    def select_symbols(self, data: list[CrunchDaoSkeleton]) -> list[Symbol]:
+        return [x.symbol for x in data]
+
+    def on_securities_changed(self, changes: SecurityChanges) -> None:
+        for security in changes.removed_securities:
+            if security in self.crunch_universe:
+                self.crunch_universe.remove(security)
+        self.crunch_universe.extend(changes.added_securities)
+
+    def submit_signals(self) -> None:
+        if self.is_warming_up:
+            return
+
+        # Submit signals once per week
+        week_num = self.time.isocalendar()[1]
+        if self._week == week_num:
+            return
+        self._week = week_num
+
+        symbols = [security.symbol for security in self.crunch_universe if security.price > 0]
+
+        # Get historical price data
+        # close_prices = self.history(symbols, 22, Resolution.DAILY).close.unstack(0)
+
+        # Create portfolio targets
+        weight_by_symbol = {symbol: 1/len(symbols) for symbol in symbols} # Add your logic here
+        targets = [PortfolioTarget(symbol, weight) for symbol, weight in weight_by_symbol.items()]
+
+        # (Optional) Place trades
+        self.set_holdings(targets)
+
+        # Send signals to CrunchDAO
+        success = self.signal_export.set_target_portfolio(targets)
+        if not success:
+            self.debug(f"Couldn't send targets at {self.time}")
+
+
+class CrunchDaoSkeleton(PythonData):
+
+    def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
+        return SubscriptionDataSource("https://tournament.crunchdao.com/data/skeleton.csv", SubscriptionTransportMedium.REMOTE_FILE)
+
+    def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> DynamicData:
+        if not line[0].isdigit():
+            return None
+        skeleton = CrunchDaoSkeleton()
+        skeleton.symbol = config.symbol
+
+        try:
+            csv = line.split(',')
+            skeleton.end_time = datetime.strptime(csv[0], "%Y-%m-%d")
+            skeleton.symbol =  Symbol(SecurityIdentifier.generate_equity(csv[1], Market.USA, mapping_resolve_date=skeleton.time), csv[1])
+            skeleton["Ticker"] = csv[1]
+
+        except ValueError:
+            # Do nothing
+            return None
+
+        return skeleton