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