wehub-resource-sync
121 lines
5.6 KiB
Python
121 lines
5.6 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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import json
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from AlgorithmImports import *
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### <summary>
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### Regression test to demonstrate setting custom Symbol Properties and Market Hours for a custom data import
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="importing data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="crypto" />
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### <meta name="tag" content="regression test" />
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class CustomDataPropertiesRegressionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2018, 4, 5) # Set Start Date
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self.set_end_date(2018, 4, 10) # Set End Date
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self.set_cash(100000) # Set Strategy Cash
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# Define our custom data properties and exchange hours
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ticker = 'BTC'
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properties = SymbolProperties("Bitcoin", "USD", 1, 0.01, 0.01, ticker)
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exchange_hours = SecurityExchangeHours.always_open(TimeZones.NEW_YORK)
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# Add the custom data to our algorithm with our custom properties and exchange hours
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self._bitcoin = self.add_data(Bitcoin, ticker, properties, exchange_hours, leverage=1, fill_forward=False)
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# Verify our symbol properties were changed and loaded into this security
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if self._bitcoin.symbol_properties != properties :
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raise AssertionError("Failed to set and retrieve custom SymbolProperties for BTC")
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# Verify our exchange hours were changed and loaded into this security
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if self._bitcoin.exchange.hours != exchange_hours :
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raise AssertionError("Failed to set and retrieve custom ExchangeHours for BTC")
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# For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
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# with default params and is not routed to a breaking function.
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self.add_data(Bitcoin, "BTCUSD")
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def on_data(self, data: Slice) -> None:
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if not self.portfolio.invested:
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if data['BTC'].close != 0 :
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self.order('BTC', self.portfolio.margin_remaining/abs(data['BTC'].close + 1))
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def on_end_of_algorithm(self) -> None:
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#Reset our Symbol property value, for testing purposes.
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self.symbol_properties_database.set_entry(Market.USA, self.market_hours_database.get_database_symbol_key(self._bitcoin.symbol), SecurityType.BASE,
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SymbolProperties.get_default("USD"))
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class Bitcoin(PythonData):
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'''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''
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def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
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if is_live_mode:
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return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.REST)
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# Read from a local data file so the test is deterministic instead of depending on a remote source
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source = f"{Globals.data_folder}/crypto/coinbase/daily/btcusd_trade.zip"
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return SubscriptionDataSource(source, SubscriptionTransportMedium.LOCAL_FILE, FileFormat.CSV)
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def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> DynamicData:
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coin = Bitcoin()
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coin.symbol = config.symbol
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if is_live_mode:
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# Example Line Format:
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# {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
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try:
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live_btc = json.loads(line)
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# If value is zero, return None
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value = live_btc["last"]
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if value == 0: return coin
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coin.time = datetime.now()
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coin.value = value
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coin["Open"] = float(live_btc["open"])
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coin["High"] = float(live_btc["high"])
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coin["Low"] = float(live_btc["low"])
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coin["Close"] = float(live_btc["last"])
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coin["Ask"] = float(live_btc["ask"])
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coin["Bid"] = float(live_btc["bid"])
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coin["VolumeBTC"] = float(live_btc["volume"])
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coin["WeightedPrice"] = float(live_btc["vwap"])
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return coin
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except ValueError:
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# Do nothing, possible error in json decoding
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return coin
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# Example Line Format:
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# date open high low close volume
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# 20180405 00:00 6791.68 6933.11 6568.64 6785.85 13832.668772
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try:
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data = line.split(',')
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coin.time = datetime.strptime(data[0], "%Y%m%d %H:%M")
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coin.end_time = coin.time + timedelta(1)
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coin.value = float(data[4])
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coin["Open"] = float(data[1])
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coin["High"] = float(data[2])
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coin["Low"] = float(data[3])
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coin["Close"] = float(data[4])
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coin["VolumeBTC"] = float(data[5])
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return coin
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except ValueError:
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# Do nothing, skip malformed rows
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return coin
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