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Merge pull request QuantConnect#1 from QuantConnect/refactor-remove-custom-data-references
Migrate TiingoNews custom data references to DataSource repo
2 parents fad2de5 + c17494e commit e71943d

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+766
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‎CoarseTiingoNewsUniverseSelectionAlgorithm.cs

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/*
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* 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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*/
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using System;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm;
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using QuantConnect.Data;
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using QuantConnect.DataSource;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.DataLibrary.Tests
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{
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/// <summary>
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/// Example algorithm of a custom universe selection using coarse data and adding TiingoNews
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/// If conditions are met will add the underlying and trade it
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/// </summary>
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public class CoarseTiingoNewsUniverseSelectionAlgorithm : QCAlgorithm
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{
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private const int NumberOfSymbols = 3;
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private List<Symbol> _symbols;
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public override void Initialize()
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{
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SetStartDate(2014, 03, 24);
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SetEndDate(2014, 04, 07);
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UniverseSettings.FillForward = false;
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AddUniverse(new CustomDataCoarseFundamentalUniverse(UniverseSettings, CoarseSelectionFunction));
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_symbols = new List<Symbol>();
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}
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// sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
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{
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// sort descending by daily dollar volume
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var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);
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// take the top entries from our sorted collection
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var top = sortedByDollarVolume.Take(NumberOfSymbols);
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// we need to return only the symbol objects
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return top.Select(x => QuantConnect.Symbol.CreateBase(typeof(TiingoNews), x.Symbol, x.Symbol.ID.Market));
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}
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public override void OnData(Slice data)
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{
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var articles = data.Get<TiingoNews>();
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foreach (var kvp in articles)
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{
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var news = kvp.Value;
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if (news.Title.IndexOf("Stocks Drop", 0, StringComparison.CurrentCultureIgnoreCase) != -1)
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{
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if (!Securities.ContainsKey(kvp.Key.Underlying))
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{
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// add underlying we want to trade
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AddSecurity(kvp.Key.Underlying);
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_symbols.Add(kvp.Key.Underlying);
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}
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}
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}
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foreach (var symbol in _symbols)
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{
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if (Securities[symbol].HasData)
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{
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SetHoldings(symbol, 1m / _symbols.Count);
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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changes.FilterCustomSecurities = false;
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Log($"{Time} {changes}");
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}
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private class CustomDataCoarseFundamentalUniverse : CoarseFundamentalUniverse
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{
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public CustomDataCoarseFundamentalUniverse(UniverseSettings universeSettings, Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> selector)
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: base(universeSettings, selector)
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{ }
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public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
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ISubscriptionDataConfigService subscriptionService)
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{
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var config = subscriptionService.Add(
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typeof(TiingoNews),
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security.Symbol,
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UniverseSettings.Resolution,
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UniverseSettings.FillForward,
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UniverseSettings.ExtendedMarketHours,
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dataNormalizationMode: UniverseSettings.DataNormalizationMode);
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return new[]{new SubscriptionRequest(isUniverseSubscription: false,
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universe: this,
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security: security,
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configuration: config,
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startTimeUtc: currentTimeUtc,
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endTimeUtc: maximumEndTimeUtc)};
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}
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}
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}
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}

‎CoarseTiingoNewsUniverseSelectionAlgorithm.py

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# 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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from QuantConnect.DataSource import *
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### <summary>
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### Example algorithm of a custom universe selection using coarse data and adding TiingoNews
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### If conditions are met will add the underlying and trade it
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### </summary>
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class CoarseTiingoNewsUniverseSelectionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2014,3,24)
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self.SetEndDate(2014,4,7)
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self.UniverseSettings.FillForward = False;
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self.__numberOfSymbols = 3
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self.AddUniverse(CustomDataCoarseFundamentalUniverse(self.UniverseSettings, self.CoarseSelectionFunction));
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self._symbols = []
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# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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def CoarseSelectionFunction(self, coarse):
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# sort descending by daily dollar volume
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sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
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# return the symbol objects of the top entries from our sorted collection
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return [ Symbol.CreateBase(TiingoNews, x.Symbol, x.Symbol.ID.Market) for x in sortedByDollarVolume[:self.__numberOfSymbols] ]
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def OnData(self, data):
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articles = data.Get(TiingoNews)
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for kvp in articles:
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news = kvp.Value
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if "stocks drop" in news.Title.lower():
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if not self.Securities.ContainsKey(kvp.Key.Underlying):
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# add underlying we want to trade
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self.AddSecurity(kvp.Key.Underlying)
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self._symbols.append(kvp.Key.Underlying)
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for symbol in self._symbols:
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if self.Securities[symbol].HasData:
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self.SetHoldings(symbol, 1.0 / len(self._symbols))
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def OnSecuritiesChanged(self, changes):
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changes.FilterCustomSecurities = False
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self.Log(f"{self.Time} {changes}")
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class CustomDataCoarseFundamentalUniverse(CoarseFundamentalUniverse):
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def GetSubscriptionRequests(self, security, currentTimeUtc, maximumEndTimeUtc, subscriptionService):
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us = self.UniverseSettings
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config = subscriptionService.Add(TiingoNews, security.Symbol, us.Resolution, us.FillForward, us.ExtendedMarketHours, True, False, False, us.DataNormalizationMode)
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return [ SubscriptionRequest(False, self, security, config, currentTimeUtc, maximumEndTimeUtc) ]

‎DataProcessing/DataProcessing.csproj

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<OutputType>Exe</OutputType>
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<TargetFramework>net5.0</TargetFramework>
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<AssemblyName>process</AssemblyName>
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<GenerateAssemblyInfo>false</GenerateAssemblyInfo>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="QuantConnect.Common" Version="2.5.11800" />
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<PackageReference Include="QuantConnect.Compression" Version="2.5.11800" />
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<PackageReference Include="QuantConnect.Common" Version="2.5.*" />
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<PackageReference Include="QuantConnect.Compression" Version="2.5.*" />
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</ItemGroup>
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<ItemGroup>

‎DataQueueHandlers/DataQueueHandlers.csproj

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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<TargetFramework>net5.0</TargetFramework>
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<RootNamespace>QuantConnect.DataSource.DataQueueHandlers</RootNamespace>
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<AssemblyName>QuantConnect.DataSource.DataQueueHandlers.TiingoNews</AssemblyName>
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<GenerateAssemblyInfo>false</GenerateAssemblyInfo>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="QuantConnect.Common" Version="2.5.*" />
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<PackageReference Include="QuantConnect.Compression" Version="2.5.*" />
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<PackageReference Include="QuantConnect.Lean.Engine" Version="2.5.*" />
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<PackageReference Include="protobuf-net" Version="3.0.29" />
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<PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\QuantConnect.DataSource.csproj" />
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</ItemGroup>
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</Project>

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