wehub-resource-sync
104 lines
3.9 KiB
Python
104 lines
3.9 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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from custom_data import *
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class SecurityHistoryTest():
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def __init__(self, start_date, security_type, symbol):
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self.qb = QuantBook()
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self.qb.SetStartDate(start_date)
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self.symbol = self.qb.AddSecurity(security_type, symbol).Symbol
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self.column = 'close'
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def __str__(self):
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return "{} on {}".format(self.symbol.ID, self.qb.StartDate)
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def test_period_overload(self, period):
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history = self.qb.History([self.symbol], period)
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return history[self.column].unstack(level=0)
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def test_daterange_overload(self, end):
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start = end - timedelta(1)
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history = self.qb.History([self.symbol], start, end)
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return history[self.column].unstack(level=0)
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class OptionHistoryTest(SecurityHistoryTest):
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def test_daterange_overload(self, end, start = None):
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if start is None:
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start = end - timedelta(1)
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history = self.qb.GetOptionHistory(self.symbol, start, end)
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return history.GetAllData()
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class FutureHistoryTest(SecurityHistoryTest):
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def test_daterange_overload(self, end, start = None, maxFilter = 182):
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if start is None:
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start = end - timedelta(1)
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self.qb.Securities[self.symbol].SetFilter(0, maxFilter) # default is 35 days
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history = self.qb.GetFutureHistory(self.symbol, start, end)
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return history.GetAllData()
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class FutureContractHistoryTest():
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def __init__(self, start_date, security_type, symbol):
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self.qb = QuantBook()
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self.qb.SetStartDate(start_date)
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self.symbol = symbol
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self.column = 'close'
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def test_daterange_overload(self, end):
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start = end - timedelta(1)
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history = self.qb.GetFutureHistory(self.symbol, start, end)
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return history.GetAllData()
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class OptionContractHistoryTest(FutureContractHistoryTest):
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def test_daterange_overload(self, end):
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start = end - timedelta(1)
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history = self.qb.GetOptionHistory(self.symbol, start, end)
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return history.GetAllData()
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class CustomDataHistoryTest(SecurityHistoryTest):
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def __init__(self, start_date, security_type, symbol):
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self.qb = QuantBook()
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self.qb.SetStartDate(start_date)
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if security_type == 'Nifty':
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type = Nifty
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self.column = 'close'
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elif security_type == 'CustomPythonData':
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type = CustomPythonData
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self.column = 'close'
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else:
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raise
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self.symbol = self.qb.AddData(type, symbol, Resolution.Daily).Symbol
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class MultipleSecuritiesHistoryTest(SecurityHistoryTest):
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def __init__(self, start_date, security_type, symbol):
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self.qb = QuantBook()
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self.qb.SetStartDate(start_date)
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self.qb.AddEquity('SPY', Resolution.Daily)
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self.qb.AddForex('EURUSD', Resolution.Daily)
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self.qb.AddCrypto('BTCUSD', Resolution.Daily)
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def test_period_overload(self, period):
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history = self.qb.History(self.qb.Securities.Keys, period)
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return history['close'].unstack(level=0)
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class FundamentalHistoryTest():
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def __init__(self):
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self.qb = QuantBook()
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def getFundamentals(self, ticker, selector, start, end):
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return self.qb.GetFundamental(ticker, selector, start, end)
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