wehub-resource-sync
169 lines
7.4 KiB
Python
169 lines
7.4 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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class CustomConsolidatorRegressionAlgorithm(QCAlgorithm):
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'''Custom Consolidator Regression Algorithm shows some examples of how to build custom
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consolidators in Python.'''
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def initialize(self):
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self.set_start_date(2013,10,4)
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self.set_end_date(2013,10,11)
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self.set_cash(100000)
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self.add_equity("SPY", Resolution.MINUTE)
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#Create 5 day QuoteBarConsolidator; set consolidated function; add to subscription manager
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five_day_consolidator = QuoteBarConsolidator(timedelta(days=5))
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five_day_consolidator.data_consolidated += self.on_quote_bar_data_consolidated
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self.subscription_manager.add_consolidator("SPY", five_day_consolidator)
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#Create a 3:10PM custom quote bar consolidator
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timed_consolidator = DailyTimeQuoteBarConsolidator(time(hour=15, minute=10))
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timed_consolidator.data_consolidated += self.on_quote_bar_data_consolidated
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self.subscription_manager.add_consolidator("SPY", timed_consolidator)
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#Create our entirely custom 2 day quote bar consolidator
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self.custom_consolidator = CustomQuoteBarConsolidator(timedelta(days=2))
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self.custom_consolidator.data_consolidated += (self.on_quote_bar_data_consolidated)
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self.subscription_manager.add_consolidator("SPY", self.custom_consolidator)
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#Create an indicator and register a consolidator to it
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self.moving_average = SimpleMovingAverage(5)
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self.custom_consolidator2 = CustomQuoteBarConsolidator(timedelta(hours=1))
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self.register_indicator("SPY", self.moving_average, self.custom_consolidator2)
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def on_quote_bar_data_consolidated(self, sender, bar):
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'''Function assigned to be triggered by consolidators.
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Designed to post debug messages to show how the examples work, including
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which consolidator is posting, as well as its values.
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If using an inherited class and not overwriting OnDataConsolidated
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we expect to see the super C# class as the sender type.
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Using sender.period only works when all consolidators have a Period value.
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'''
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consolidator_info = str(type(sender)) + str(sender.period)
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self.debug("Bar Type: " + consolidator_info)
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self.debug("Bar Range: " + bar.time.ctime() + " - " + bar.end_time.ctime())
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self.debug("Bar value: " + str(bar.close))
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def on_data(self, slice):
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test = slice.get_values()
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if self.custom_consolidator.consolidated and slice.contains_key("SPY"):
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data = slice['SPY']
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if self.moving_average.is_ready:
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if data.value > self.moving_average.current.price:
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self.set_holdings("SPY", .5)
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else :
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self.set_holdings("SPY", 0)
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class DailyTimeQuoteBarConsolidator(QuoteBarConsolidator):
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'''A custom QuoteBar consolidator that inherits from C# class QuoteBarConsolidator.
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This class shows an example of building on top of an existing consolidator class, it is important
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to note that this class can leverage the functions of QuoteBarConsolidator but its private fields
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(_period, _workingbar, etc.) are separate from this Python. For that reason if we want Scan() to work
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we must overwrite the function with our desired Scan function and trigger OnDataConsolidated().
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For this particular example we implemented the scan method to trigger a consolidated bar
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at close_time everyday'''
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def __init__(self, close_time):
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self.close_time = close_time
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self.working_bar = None
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def update(self, data):
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'''Updates this consolidator with the specified data'''
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#If we don't have bar yet, create one
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if self.working_bar is None:
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self.working_bar = QuoteBar(data.time,data.symbol,data.bid,data.last_bid_size,
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data.ask,data.last_ask_size)
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#Update bar using QuoteBarConsolidator's AggregateBar()
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self.aggregate_bar(self.working_bar, data)
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def scan(self, time):
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'''Scans this consolidator to see if it should emit a bar due yet'''
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if self.working_bar is None:
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return
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#If its our desired bar end time take the steps to
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if time.hour == self.close_time.hour and time.minute == self.close_time.minute:
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#Set end time
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self.working_bar.end_time = time
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#Emit event using QuoteBarConsolidator's OnDataConsolidated()
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self.on_data_consolidated(self.working_bar)
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#Reset the working bar to None
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self.working_bar = None
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class CustomQuoteBarConsolidator(PythonConsolidator):
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'''A custom quote bar consolidator that inherits from PythonConsolidator and implements
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the IDataConsolidator interface, it must implement all of IDataConsolidator. Reference
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PythonConsolidator.cs and DataConsolidatorPythonWrapper.PY for more information.
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This class shows how to implement a consolidator from scratch in Python, this gives us more
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freedom to determine the behavior of the consolidator but can't leverage any of the built in
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functions of an inherited class.
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For this example we implemented a Quotebar from scratch'''
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def __init__(self, period):
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#IDataConsolidator required vars for all consolidators
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self.consolidated = None #Most recently consolidated piece of data.
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self.working_data = None #Data being currently consolidated
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self.input_type = QuoteBar #The type consumed by this consolidator
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self.output_type = QuoteBar #The type produced by this consolidator
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#Consolidator Variables
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self.period = period
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def update(self, data):
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'''Updates this consolidator with the specified data'''
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#If we don't have bar yet, create one
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if self.working_data is None:
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self.working_data = QuoteBar(data.time,data.symbol,data.bid,data.last_bid_size,
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data.ask,data.last_ask_size,self.period)
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#Update bar using QuoteBar's update()
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self.working_data.update(data.value, data.bid.close, data.ask.close, 0,
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data.last_bid_size, data.last_ask_size)
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def scan(self, time):
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'''Scans this consolidator to see if it should emit a bar due to time passing'''
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if self.period is not None and self.working_data is not None:
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if time - self.working_data.time >= self.period:
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#Trigger the event handler with a copy of self and the data
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self.on_data_consolidated(self, self.working_data)
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#Set the most recent consolidated piece of data and then clear the working_data
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self.consolidated = self.working_data
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self.working_data = None
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