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.
+
+import json
+from AlgorithmImports import *
+
+### <summary>
+### Regression test to demonstrate importing and trading on custom data.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="importing data" />
+### <meta name="tag" content="custom data" />
+### <meta name="tag" content="crypto" />
+### <meta name="tag" content="regression test" />
+class CustomDataRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2020,1,5)   # Set Start Date
+        self.set_end_date(2020,1,10)     # Set End Date
+        self.set_cash(100000)           # Set Strategy Cash
+
+        resolution = Resolution.SECOND if self.live_mode else Resolution.DAILY
+        self.add_data(Bitcoin, "BTC", resolution)
+
+        seeder = FuncSecuritySeeder(self.get_last_known_prices)
+        self.set_security_initializer(lambda x: seeder.seed_security(x))
+        self._warmed_up_checked = False
+
+    def on_data(self, data: Slice) -> None:
+        if not self.portfolio.invested:
+            if data['BTC'].close != 0 :
+                self.order('BTC', self.portfolio.margin_remaining/abs(data['BTC'].close + 1))
+
+    def on_securities_changed(self, changes: SecurityChanges) -> None:
+        changes.filter_custom_securities = False
+        for added_security in changes.added_securities:
+            if added_security.symbol.value == "BTC":
+                self._warmed_up_checked = True
+            if not added_security.has_data:
+                raise ValueError(f"Security {added_security.symbol} was not warmed up!")
+
+    def on_end_of_algorithm(self) -> None:
+        if not self._warmed_up_checked:
+            raise ValueError("Security was not warmed up!")
+
+class Bitcoin(PythonData):
+    '''Custom Data Type: Bitcoin data from Quandl - https://data.nasdaq.com/databases/BCHAIN'''
+
+    def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
+        if is_live_mode:
+            return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.REST)
+
+        #return "http://my-ftp-server.com/futures-data-" + date.to_string("Ymd") + ".zip"
+        # OR simply return a fixed small data file. Large files will slow down your backtest
+        subscription = SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/nasdaq/api/v3/datatables/QDL/BITFINEX.csv?code=BTCUSD&api_key=WyAazVXnq7ATy_fefTqm")
+        subscription.sort = True
+        return subscription
+
+    def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> DynamicData:
+        coin = Bitcoin()
+        coin.symbol = config.symbol
+
+        if is_live_mode:
+            # Example Line Format:
+            # {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
+            try:
+                live_btc = json.loads(line)
+
+                # If value is zero, return coin
+                value = live_btc["last"]
+                if value == 0:
+                    return coin
+
+                coin.time = datetime.now()
+                coin.value = value
+                coin["Open"] = float(live_btc["open"])
+                coin["High"] = float(live_btc["high"])
+                coin["Low"] = float(live_btc["low"])
+                coin["Close"] = float(live_btc["last"])
+                coin["Ask"] = float(live_btc["ask"])
+                coin["Bid"] = float(live_btc["bid"])
+                coin["VolumeBTC"] = float(live_btc["volume"])
+                coin["WeightedPrice"] = float(live_btc["vwap"])
+                return coin
+            except ValueError:
+                # Do nothing, possible error in json decoding
+                return coin
+
+        # Example Line Format:
+        # code    date        high     low      mid      last     bid      ask      volume
+        # BTCUSD  2024-10-08  63248.0  61940.0  62246.5  62245.0  62246.0  62247.0  477.91102114
+        if not (line.strip() and line[7].isdigit()): return coin
+
+        try:
+            data = line.split(',')
+            coin.time = datetime.strptime(data[1], "%Y-%m-%d")
+            coin.end_time = coin.time + timedelta(days=1)
+            coin.value = float(data[5])
+            coin["High"] = float(data[2])
+            coin["Low"] = float(data[3])
+            coin["Mid"] = float(data[4])
+            coin["Close"] = float(data[5])
+            coin["Bid"] = float(data[6])
+            coin["Ask"] = float(data[7])
+            coin["VolumeBTC"] = float(data[8])
+            return coin
+
+        except ValueError:
+            # Do nothing, possible error in json decoding
+            return coin