wehub-resource-sync
68 lines
3.3 KiB
Python
68 lines
3.3 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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from AlgorithmImports import *
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### <summary>
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### Regression test illustrating how history from custom data sources can be requested. The <see cref="QCAlgorithm.history"/> method used in this
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### example also allows to specify other parameters than just the resolution, such as the data normalization mode, the data mapping mode, etc.
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### </summary>
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class HistoryWithCustomDataSourceRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2014, 6, 5)
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self.set_end_date(2014, 6, 6)
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self.aapl = self.add_data(CustomData, "AAPL", Resolution.MINUTE).symbol
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self.spy = self.add_data(CustomData, "SPY", Resolution.MINUTE).symbol
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def on_end_of_algorithm(self):
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aapl_history = self.history(CustomData, self.aapl, self.start_date, self.end_date, Resolution.MINUTE,
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fill_forward=False, extended_market_hours=False, data_normalization_mode=DataNormalizationMode.RAW).droplevel(0, axis=0)
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spy_history = self.history(CustomData, self.spy, self.start_date, self.end_date, Resolution.MINUTE,
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fill_forward=False, extended_market_hours=False, data_normalization_mode=DataNormalizationMode.RAW).droplevel(0, axis=0)
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if aapl_history.size == 0 or spy_history.size == 0:
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raise AssertionError("At least one of the history results is empty")
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# Check that both resutls contain the same data, since CustomData fetches APPL data regardless of the symbol
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if not aapl_history.equals(spy_history):
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raise AssertionError("Histories are not equal")
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class CustomData(PythonData):
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'''Custom data source for the regression test algorithm, which returns AAPL equity data regardless of the symbol requested.'''
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def get_source(self, config, date, is_live_mode):
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return TradeBar().get_source(
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SubscriptionDataConfig(
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config,
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CustomData,
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# Create a new symbol as equity so we find the existing data files
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# Symbol.create(config.mapped_symbol, SecurityType.EQUITY, config.market)),
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Symbol.create("AAPL", SecurityType.EQUITY, config.market)),
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date,
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is_live_mode)
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def reader(self, config, line, date, is_live_mode):
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trade_bar = TradeBar.parse_equity(config, line, date)
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data = CustomData()
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data.Symbol = config.symbol
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data.time = trade_bar.time
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data.value = trade_bar.value
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data.close = trade_bar.close
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data.open = trade_bar.open
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data.high = trade_bar.high
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data.low = trade_bar.low
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data.volume = trade_bar.volume
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return data
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