wehub-resource-sync
96 lines
4.6 KiB
Python
96 lines
4.6 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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from AlgorithmImports import *
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### <summary>
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### This algorithm sends a list of current portfolio targets to Numerai API before each trading day
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### See (https://docs.numer.ai/numerai-signals/signals-overview) for more information
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### about accepted symbols, signals, etc.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="securities and portfolio" />
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class NumeraiSignalExportDemonstrationAlgorithm(QCAlgorithm):
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_securities = []
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def initialize(self) -> None:
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''' Initialize the date and add all equity symbols present in list _symbols '''
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self.set_start_date(2020, 10, 7) #Set Start Date
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self.set_end_date(2020, 10, 12) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
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# Add the CRSP US Total Market Index constituents, which represents approximately 100% of the investable US Equity market
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self.etf_symbol = self.add_equity("VTI").symbol
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self.add_universe(self.universe.etf(self.etf_symbol))
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# Create a Scheduled Event to submit signals every trading day at 13:00 UTC
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self.schedule.on(self.date_rules.every_day(self.etf_symbol), self.time_rules.at(13, 0, TimeZones.UTC), self.submit_signals)
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# Set Numerai signal export provider
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# Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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numerai_public_id = ""
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# Numerai Secret ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a API key. See (https://signals.numer.ai/account)
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numerai_secret_id = ""
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# Numerai Model ID: This value is provided by Numerai Signals in their main webpage once you've logged in
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# and created a model. See (https://signals.numer.ai/models)
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numerai_model_id = ""
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numerai_filename = "" # (Optional) Replace this value with your submission filename
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# Disable automatic exports as we manually set them
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self.signal_export.automatic_export_time_span = None
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# Set Numerai signal export provider
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self.signal_export.add_signal_export_provider(NumeraiSignalExport(numerai_public_id, numerai_secret_id, numerai_model_id, numerai_filename))
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def submit_signals(self) -> None:
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# Select the subset of ETF constituents we can trade
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symbols = sorted([security.symbol for security in self._securities if security.has_data])
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if len(symbols) == 0:
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return
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# Get historical data
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# close_prices = self.history(symbols, 22, Resolution.DAILY).close.unstack(0)
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# Create portfolio targets
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# Numerai requires that at least one of the signals have a unique weight
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# To ensure they are all unique, this demo gives a linear allocation to each symbol (ie. 1/55, 2/55, ..., 10/55)
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denominator = len(symbols) * (len(symbols) + 1) / 2 # sum of 1, 2, ..., len(symbols)
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targets = [PortfolioTarget(symbol, (i+1) / denominator) for i, symbol in enumerate(symbols)]
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# (Optional) Place trades
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self.set_holdings(targets)
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# Send signals to Numerai
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success = self.signal_export.set_target_portfolio(targets)
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if not success:
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self.debug(f"Couldn't send targets at {self.time}")
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def on_securities_changed(self, changes: SecurityChanges) -> None:
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for security in changes.removed_securities:
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if security in self._securities:
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self._securities.remove(security)
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self._securities.extend([security for security in changes.added_securities if security.symbol != self.etf_symbol])
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