wehub-resource-sync
67 lines
3.0 KiB
Python
67 lines
3.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
from QuantConnect.Data.Custom.IconicTypes import *
|
|
|
|
### <summary>
|
|
### Provides an example algorithm showcasing the Security.data features
|
|
### </summary>
|
|
class DynamicSecurityDataRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.set_start_date(2015, 10, 22)
|
|
self.set_end_date(2015, 10, 30)
|
|
|
|
ticker = "GOOGL"
|
|
self._equity = self.add_equity(ticker, Resolution.DAILY)
|
|
|
|
custom_linked_equity = self.add_data(LinkedData, ticker, Resolution.DAILY)
|
|
|
|
first_linked_data = LinkedData()
|
|
first_linked_data.count = 100
|
|
first_linked_data.symbol = custom_linked_equity.symbol
|
|
first_linked_data.end_time = self.start_date
|
|
|
|
second_linked_data = LinkedData()
|
|
second_linked_data.count = 100
|
|
second_linked_data.symbol = custom_linked_equity.symbol
|
|
second_linked_data.end_time = self.start_date
|
|
|
|
# Adding linked data manually to cache for example purposes, since
|
|
# LinkedData is a type used for testing and doesn't point to any real data.
|
|
custom_linked_equity_type = list(custom_linked_equity.subscriptions)[0].type
|
|
custom_linked_data = list[LinkedData]()
|
|
custom_linked_data.append(first_linked_data)
|
|
custom_linked_data.append(second_linked_data)
|
|
self._equity.cache.add_data_list(custom_linked_data, custom_linked_equity_type, False)
|
|
|
|
def on_data(self, data):
|
|
# The Security object's Data property provides convenient access
|
|
# to the various types of data related to that security. You can
|
|
# access not only the security's price data, but also any custom
|
|
# data that is mapped to the security, such as our SEC reports.
|
|
|
|
# 1. Get the most recent data point of a particular type:
|
|
# 1.a Using the generic method, Get(T): => T
|
|
custom_linked_data = self._equity.data.get(LinkedData)
|
|
self.log(f"{self.time}: LinkedData: {custom_linked_data}")
|
|
|
|
# 2. Get the list of data points of a particular type for the most recent time step:
|
|
# 2.a Using the generic method, GetAll(T): => IReadOnlyList<T>
|
|
custom_linked_data_list = self._equity.data.get_all(LinkedData)
|
|
self.log(f"{self.time}: LinkedData: {len(custom_linked_data_list)}")
|
|
|
|
if not self.portfolio.invested:
|
|
self.buy(self._equity.symbol, 10)
|