wehub-resource-sync
84 lines
3.7 KiB
Python
84 lines
3.7 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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### This algorithm shows how to set a custom security initializer.
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### A security initializer is run immediately after a new security object
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### has been created and can be used to security models and other settings,
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### such as data normalization mode
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="securities and portfolio" />
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### <meta name="tag" content="trading and orders" />
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class CustomSecurityInitializerAlgorithm(QCAlgorithm):
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def initialize(self):
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# set our initializer to our custom type
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self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE)
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func_security_seeder = FuncSecuritySeeder(self.custom_seed_function)
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self.set_security_initializer(CustomSecurityInitializer(self.brokerage_model, func_security_seeder, DataNormalizationMode.RAW))
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self.set_start_date(2013,10,1)
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self.set_end_date(2013,11,1)
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self.add_equity("SPY", Resolution.HOUR)
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def on_data(self, data):
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if not self.portfolio.invested:
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self.set_holdings("SPY", 1)
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def custom_seed_function(self, security):
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resolution = Resolution.HOUR
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df = self.history(security.symbol, 1, resolution)
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if df.empty:
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return None
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last_bar = df.unstack(level=0).iloc[-1]
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date_time = last_bar.name.to_pydatetime()
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open = last_bar.open.values[0]
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high = last_bar.high.values[0]
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low = last_bar.low.values[0]
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close = last_bar.close.values[0]
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volume = last_bar.volume.values[0]
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return TradeBar(date_time, security.symbol, open, high, low, close, volume, Extensions.to_time_span(resolution))
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class CustomSecurityInitializer(BrokerageModelSecurityInitializer):
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'''Our custom initializer that will set the data normalization mode.
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We sub-class the BrokerageModelSecurityInitializer so we can also
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take advantage of the default model/leverage setting behaviors'''
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def __init__(self, brokerage_model, security_seeder, data_normalization_mode):
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'''Initializes a new instance of the CustomSecurityInitializer class with the specified normalization mode
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brokerage_model -- The brokerage model used to get fill/fee/slippage/settlement models
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security_seeder -- The security seeder to be used
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data_normalization_mode -- The desired data normalization mode'''
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self.base = BrokerageModelSecurityInitializer(brokerage_model, security_seeder)
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self.data_normalization_mode = data_normalization_mode
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def initialize(self, security):
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'''Initializes the specified security by setting up the models
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security -- The security to be initialized
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seed_security -- True to seed the security, false otherwise'''
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# first call the default implementation
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self.base.initialize(security)
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# now apply our data normalization mode
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security.set_data_normalization_mode(self.data_normalization_mode)
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