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