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Copy pathCustomDataUniverseAlgorithm.cs
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168 lines (147 loc) · 6.49 KB
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/*
* 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.
*
*/
using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// This algorithm shows how to grab symbols from an external api each day
/// and load data using the universe selection feature. In this example we
/// define a custom data type for the NYSE top gainers and then short the
/// top 2 gainers each day
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="universes" />
/// <meta name="tag" content="custom universes" />
public class CustomDataUniverseAlgorithm : QCAlgorithm
{
private SecurityChanges _changes;
public override void Initialize()
{
// Data ADDED via universe selection is added with Daily resolution.
UniverseSettings.Resolution = Resolution.Daily;
SetStartDate(2015, 01, 05);
SetEndDate(2015, 07, 01);
SetCash(100000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
SetBenchmark("SPY");
// add a custom universe data source (defaults to usa-equity)
AddUniverse<NyseTopGainers>("universe-nyse-top-gainers", Resolution.Daily, data =>
{
// define our selection criteria
return from d in data
// pick top 2 gainers to bet against
where d.TopGainersRank <= 2
select d.Symbol;
});
}
public override void OnData(Slice slice)
{
}
public override void OnSecuritiesChanged(SecurityChanges changes)
{
_changes = changes;
foreach (var security in changes.RemovedSecurities)
{
// liquidate securities that have been removed
if (security.Invested)
{
Liquidate(security.Symbol);
Log("Exit " + security.Symbol + " at " + security.Close);
}
}
foreach (var security in changes.AddedSecurities)
{
// enter short positions on new securities
if (!security.Invested && security.Close != 0)
{
var qty = CalculateOrderQuantity(security.Symbol, -0.25m);
MarketOnOpenOrder(security.Symbol, qty);
Log("Enter " + security.Symbol + " at " + security.Close);
}
}
}
/// <summary>
/// Custom data type that uses the wall street journal's top 100 nyse gainers
/// html page as a live data source, and a csv file that contains the top 10
/// nyse gainers since the beginning of 2009 until 2015/10/19
/// </summary>
public class NyseTopGainers : BaseData
{
public int TopGainersRank;
public override DateTime EndTime
{
// define end time as exactly 1 day after Time
get { return Time + QuantConnect.Time.OneDay; }
set { Time = value - QuantConnect.Time.OneDay; }
}
private int _count;
private DateTime _lastDate;
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
if (isLiveMode)
{
// this is actually an html file, we'll handle the parsing accordingly
return new SubscriptionDataSource(@"http://www.wsj.com/mdc/public/page/2_3021-gainnyse-gainer.html", SubscriptionTransportMedium.RemoteFile);
}
// this has data from 2009.01.01 to 2015.10.19 for top 10 nyse gainers
return new SubscriptionDataSource(@"https://www.dropbox.com/s/vrn3p38qberw3df/nyse-gainers.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
if (!isLiveMode)
{
// backtest gets data from csv file in dropbox
var csv = line.Split(',');
return new NyseTopGainers
{
Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null),
Symbol = Symbol.Create(csv[1], SecurityType.Equity, Market.USA),
TopGainersRank = int.Parse(csv[2])
};
}
if (_lastDate != date)
{
// reset our counter for the new day
_lastDate = date;
_count = 0;
}
// parse the html into a symbol
if (!line.StartsWith(@"<a href=""/public/quotes/main.html?symbol="))
{
// we're only looking for lines that contain the symbols
return null;
}
var lastCloseParen = line.LastIndexOf(")", StringComparison.Ordinal);
var lastOpenParen = line.LastIndexOf("(", StringComparison.Ordinal);
if (lastOpenParen == -1 || lastCloseParen == -1)
{
return null;
}
var symbolString = line.Substring(lastOpenParen + 1, lastCloseParen - lastOpenParen - 1);
return new NyseTopGainers
{
Symbol = Symbol.Create(symbolString, SecurityType.Equity, Market.USA),
Time = date,
// the html has these in order, so we'll keep incrementing until a new day
TopGainersRank = ++_count
};
}
}
}
}