wehub-resource-sync
128 lines
4.9 KiB
Python
128 lines
4.9 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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### Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary
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### </summary>
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class PythonDictionaryFeatureRegressionAlgorithm(QCAlgorithm):
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'''Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary'''
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def initialize(self):
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self.set_start_date(2013,10, 7) #Set Start Date
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self.set_end_date(2013,10,11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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self.spy_symbol = self.add_equity("SPY").symbol
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self.ibm_symbol = self.add_equity("IBM").symbol
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self.aig_symbol = self.add_equity("AIG").symbol
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self.aapl_symbol = Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)
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date_rules = self.date_rules.on(2013, 10, 7)
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self.schedule.on(date_rules, self.time_rules.at(13, 0), self.test_securities_dictionary)
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self.schedule.on(date_rules, self.time_rules.at(14, 0), self.test_portfolio_dictionary)
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self.schedule.on(date_rules, self.time_rules.at(15, 0), self.test_slice_dictionary)
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def test_slice_dictionary(self):
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slice = self.current_slice
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symbols = ', '.join([f'{x}' for x in slice.keys()])
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slice_data = ', '.join([f'{x}' for x in slice.values()])
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slice_bars = ', '.join([f'{x}' for x in slice.bars.values()])
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if "SPY" not in slice:
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raise AssertionError('SPY (string) is not in Slice')
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if self.spy_symbol not in slice:
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raise AssertionError('SPY (Symbol) is not in Slice')
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spy = slice.get(self.spy_symbol)
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if spy is None:
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raise AssertionError('SPY is not in Slice')
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for symbol, bar in slice.bars.items():
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self.plot(symbol, 'Price', bar.close)
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def test_securities_dictionary(self):
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symbols = ', '.join([f'{x}' for x in self.securities.keys()])
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leverages = ', '.join([str(x.get_last_data()) for x in self.securities.values()])
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if "IBM" not in self.securities:
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raise AssertionError('IBM (string) is not in Securities')
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if self.ibm_symbol not in self.securities:
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raise AssertionError('IBM (Symbol) is not in Securities')
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ibm = self.securities.get(self.ibm_symbol)
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if ibm is None:
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raise AssertionError('ibm is None')
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aapl = self.securities.get(self.aapl_symbol)
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if aapl is not None:
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raise AssertionError('aapl is not None')
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for symbol, security in self.securities.items():
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self.plot(symbol, 'Price', security.price)
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def test_portfolio_dictionary(self):
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symbols = ', '.join([f'{x}' for x in self.portfolio.keys()])
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leverages = ', '.join([f'{x.symbol}: {x.leverage}' for x in self.portfolio.values()])
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if "AIG" not in self.securities:
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raise AssertionError('AIG (string) is not in Portfolio')
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if self.aig_symbol not in self.securities:
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raise AssertionError('AIG (Symbol) is not in Portfolio')
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aig = self.portfolio.get(self.aig_symbol)
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if aig is None:
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raise AssertionError('aig is None')
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aapl = self.portfolio.get(self.aapl_symbol)
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if aapl is not None:
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raise AssertionError('aapl is not None')
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for symbol, holdings in self.portfolio.items():
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msg = f'{symbol}: {holdings.leverage}'
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def on_end_of_algorithm(self):
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portfolio_copy = self.portfolio.copy()
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try:
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self.portfolio.clear() # Throws exception
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except Exception as e:
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self.debug(e)
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bar = self.securities.pop("SPY")
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length = len(self.securities)
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if length != 2:
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raise AssertionError(f'After popping SPY, Securities should have 2 elements, {length} found')
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securities_copy = self.securities.copy()
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self.securities.clear() # Does not throw
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def on_data(self, data):
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'''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.portfolio.invested:
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self.set_holdings("SPY", 1/3)
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self.set_holdings("IBM", 1/3)
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self.set_holdings("AIG", 1/3)
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