wehub-resource-sync
111 lines
5.2 KiB
Python
111 lines
5.2 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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### Algorithm asserting that the consolidators are removed from the SubscriptionManager.
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### This makes sure that we don't lose references to python consolidators when
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### they are wrapped in a DataConsolidatorPythonWrapper.
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### </summary>
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class ManuallyRemovedConsolidatorsAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.consolidators = []
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self.spy = self.add_equity("SPY").symbol
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# Case 1: consolidator registered through a RegisterIndicator() call,
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# which will wrap the consolidator instance in a DataConsolidatorPythonWrapper
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consolidator = self.resolve_consolidator(self.spy, Resolution.MINUTE)
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self.consolidators.append(consolidator)
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indicator_name = self.create_indicator_name(self.spy, "close", Resolution.MINUTE)
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identity = Identity(indicator_name)
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self.indicator = self.register_indicator(self.spy, identity, consolidator)
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# Case 2: consolidator registered directly through the SubscriptionManager
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consolidator = self.resolve_consolidator(self.spy, Resolution.MINUTE)
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self.consolidators.append(consolidator)
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self.subscription_manager.add_consolidator(self.spy, consolidator)
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# Case 3: custom python consolidator not derived from IDataConsolidator
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consolidator = CustomQuoteBarConsolidator(timedelta(hours=1))
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self.consolidators.append(consolidator)
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self.subscription_manager.add_consolidator(self.spy, consolidator)
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def on_end_of_algorithm(self) -> None:
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# Remove the first consolidator
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for i in range(3):
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consolidator = self.consolidators[i]
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self.remove_consolidator(consolidator, expected_consolidator_count=2 - i)
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def remove_consolidator(self, consolidator: IDataConsolidator, expected_consolidator_count: int) -> None:
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self.subscription_manager.remove_consolidator(self.spy, consolidator)
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consolidator_count = sum(s.consolidators.count for s in self.subscription_manager.subscriptions)
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if consolidator_count != expected_consolidator_count:
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raise AssertionError(f"Unexpected number of consolidators after removal. "
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f"Expected: {expected_consolidator_count}. Actual: {consolidator_count}")
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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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