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Copy pathCustomIndicatorAlgorithm.py
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74 lines (62 loc) · 2.96 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.
from AlgorithmImports import *
from collections import deque
### <summary>
### Demonstrates how to create a custom indicator and register it for automatic updated
### </summary>
### <meta name="tag" content="indicators" />
### <meta name="tag" content="indicator classes" />
### <meta name="tag" content="custom indicator" />
class CustomIndicatorAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013,10,7)
self.SetEndDate(2013,10,11)
self.AddEquity("SPY", Resolution.Second)
# Create a QuantConnect indicator and a python custom indicator for comparison
self.sma = self.SMA("SPY", 60, Resolution.Minute)
self.custom = CustomSimpleMovingAverage('custom', 60)
# The python custom class must inherit from PythonIndicator to enable Updated event handler
self.custom.Updated += self.CustomUpdated
self.customWindow = RollingWindow[IndicatorDataPoint](5)
self.RegisterIndicator("SPY", self.custom, Resolution.Minute)
self.PlotIndicator('cSMA', self.custom)
def CustomUpdated(self, sender, updated):
self.customWindow.Add(updated)
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
if self.Time.second == 0:
self.Log(f" sma -> IsReady: {self.sma.IsReady}. Value: {self.sma.Current.Value}")
self.Log(f"custom -> IsReady: {self.custom.IsReady}. Value: {self.custom.Value}")
# Regression test: test fails with an early quit
diff = abs(self.custom.Value - self.sma.Current.Value)
if diff > 1e-10:
self.Quit(f"Quit: indicators difference is {diff}")
def OnEndOfAlgorithm(self):
for item in self.customWindow:
self.Log(f'{item}')
# Python implementation of SimpleMovingAverage.
# Represents the traditional simple moving average indicator (SMA).
class CustomSimpleMovingAverage(PythonIndicator):
def __init__(self, name, period):
super().__init__()
self.Name = name
self.Value = 0
self.queue = deque(maxlen=period)
# Update method is mandatory
def Update(self, input):
self.queue.appendleft(input.Value)
count = len(self.queue)
self.Value = np.sum(self.queue) / count
return count == self.queue.maxlen