wehub-resource-sync
114 lines
4.3 KiB
C#
114 lines
4.3 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 Newtonsoft.Json;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
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using QuantConnect.Api;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System;
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using System.Linq;
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using System.Net.Http;
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using System.Net.Http.Json;
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using System.Text;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm sends a list of portfolio targets to custom endpoint
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="securities and portfolio" />
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public class CustomSignalExportDemonstrationAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialize the date and add all equity symbols present
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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/// Our custom signal export accepts all asset types
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AddEquity("SPY", Resolution.Second);
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AddCrypto("BTCUSD", Resolution.Second);
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AddForex("EURUSD", Resolution.Second);
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AddFutureContract(QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null));
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AddOptionContract(QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)));
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// Set CustomSignalExport signal export provider.
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SignalExport.AddSignalExportProvider(new CustomSignalExport());
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}
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/// <summary>
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/// Buy and hold EURUSD and SPY
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/// </summary>
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/// <param name="slice"></param>
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public override void OnData(Slice slice)
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{
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foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
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{
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if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
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{
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SetHoldings(ticker, 0.5m);
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}
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}
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}
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}
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internal class CustomSignalExport : ISignalExportTarget
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{
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private readonly Uri _requestUri = new ("http://localhost:5000/");
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private readonly HttpClient _httpClient = new();
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public bool Send(SignalExportTargetParameters parameters)
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{
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object SimplePayload(PortfolioTarget target)
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{
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var newTarget = PortfolioTarget.Percent(parameters.Algorithm, target.Symbol, target.Quantity);
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return new { symbol = newTarget.Symbol.Value, quantity = newTarget.Quantity };
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};
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var message = JsonConvert.SerializeObject(parameters.Targets.Select(SimplePayload));
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using var httpMessage = new StringContent(message, Encoding.UTF8, "application/json");
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using HttpResponseMessage response = _httpClient.PostAsync(_requestUri, httpMessage).Result;
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var result = response.Content.ReadFromJsonAsync<RestResponse>().Result;
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parameters.Algorithm.Log($"Send #{parameters.Targets.Count} targets. Success: {result.Success}");
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return result.Success;
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}
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public void Dispose() => _httpClient.Dispose();
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}
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}
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/*
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# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
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# $ flask --app app run
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# app.py:
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from flask import Flask, request, jsonify
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from json import loads
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app = Flask(__name__)
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@app.post('/')
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def handle_positions():
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result = loads(request.data)
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print(result)
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return jsonify({'success': True,'message': f'{len(result)} positions received'})
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if __name__ == '__main__':
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app.run(debug=True)
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*/
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