wehub-resource-sync
81 lines
3.3 KiB
Python
81 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 datetime import timedelta
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from AlgorithmImports import *
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### <summary>
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### Adds a universe with a custom data type and retrieves historical data
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### while preserving the custom data type.
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### </summary>
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class PersistentCustomDataUniverseRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.set_start_date(2018, 6, 1)
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self.set_end_date(2018, 6, 19)
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universe = self.add_universe(StockDataSource, "my-stock-data-source", Resolution.DAILY, self.universe_selector)
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self._universe_symbol = universe.symbol
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self.retrieve_historical_data()
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self._data_received = False
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def universe_selector(self, data):
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return [x.symbol for x in data]
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def retrieve_historical_data(self):
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history = list(self.history[StockDataSource](self._universe_symbol, datetime(2018, 1, 1), datetime(2018, 6, 1), Resolution.DAILY))
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if (len(history) == 0):
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raise AssertionError(f"No historical data received for symbol {self._universe_symbol}.")
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# Ensure all values are of type StockDataSource
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for item in history:
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if not isinstance(item, StockDataSource):
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raise AssertionError(f"Unexpected data type in history. Expected StockDataSource but received {type(item).__name__}.")
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def OnData(self, slice: Slice):
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if self._universe_symbol not in slice:
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raise AssertionError(f"No data received for the universe symbol: {self._universe_symbol}.")
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if (not self._data_received):
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self.retrieve_historical_data()
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self._data_received = True
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def OnEndOfAlgorithm(self) -> None:
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if not self._data_received:
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raise AssertionError("No data was received after the universe selection.")
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class StockDataSource(PythonData):
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def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live: bool) -> SubscriptionDataSource:
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source = "../../../Tests/TestData/daily-stock-picker-backtest.csv"
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return SubscriptionDataSource(source)
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def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live: bool) -> BaseData:
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if not (line.strip() and line[0].isdigit()): return None
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stocks = StockDataSource()
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stocks.symbol = config.symbol
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try:
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csv = line.split(',')
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stocks.time = datetime.strptime(csv[0], "%Y%m%d")
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stocks.end_time = stocks.time + self.period
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stocks["Symbols"] = csv[1:]
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except ValueError:
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return None
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return stocks
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@property
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def period(self) -> timedelta:
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return timedelta(days=1)
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