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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 datetime import timedelta
from AlgorithmImports import *
### <summary>
### Adds a universe with a custom data type and retrieves historical data
### while preserving the custom data type.
### </summary>
class PersistentCustomDataUniverseRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
self.set_start_date(2018, 6, 1)
self.set_end_date(2018, 6, 19)
universe = self.add_universe(StockDataSource, "my-stock-data-source", Resolution.DAILY, self.universe_selector)
self._universe_symbol = universe.symbol
self.retrieve_historical_data()
self._data_received = False
def universe_selector(self, data):
return [x.symbol for x in data]
def retrieve_historical_data(self):
history = list(self.history[StockDataSource](self._universe_symbol, datetime(2018, 1, 1), datetime(2018, 6, 1), Resolution.DAILY))
if (len(history) == 0):
raise AssertionError(f"No historical data received for symbol {self._universe_symbol}.")
# Ensure all values are of type StockDataSource
for item in history:
if not isinstance(item, StockDataSource):
raise AssertionError(f"Unexpected data type in history. Expected StockDataSource but received {type(item).__name__}.")
def OnData(self, slice: Slice):
if self._universe_symbol not in slice:
raise AssertionError(f"No data received for the universe symbol: {self._universe_symbol}.")
if (not self._data_received):
self.retrieve_historical_data()
self._data_received = True
def OnEndOfAlgorithm(self) -> None:
if not self._data_received:
raise AssertionError("No data was received after the universe selection.")
class StockDataSource(PythonData):
def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live: bool) -> SubscriptionDataSource:
source = "../../../Tests/TestData/daily-stock-picker-backtest.csv"
return SubscriptionDataSource(source)
def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live: bool) -> BaseData:
if not (line.strip() and line[0].isdigit()): return None
stocks = StockDataSource()
stocks.symbol = config.symbol
try:
csv = line.split(',')
stocks.time = datetime.strptime(csv[0], "%Y%m%d")
stocks.end_time = stocks.time + self.period
stocks["Symbols"] = csv[1:]
except ValueError:
return None
return stocks
@property
def period(self) -> timedelta:
return timedelta(days=1)
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