# 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 *
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### Live Trading Functionality Demonstration algorithm including SMS, Email and Web hook notifications.
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class LiveTradingFeaturesAlgorithm(QCAlgorithm):
### Initialize the Algorithm and Prepare Required Data
def initialize(self):
self.set_start_date(2013, 10, 7)
self.set_end_date(2013, 10, 11)
self.set_cash(25000)
##Equity Data for US Markets
self.add_security(SecurityType.EQUITY, 'IBM', Resolution.SECOND)
##FOREX Data for Weekends: 24/6
self.add_security(SecurityType.FOREX, 'EURUSD', Resolution.MINUTE)
##Custom/Bitcoin Live Data: 24/7
self.add_data(Bitcoin, 'BTC', Resolution.SECOND, TimeZones.UTC)
##if the algorithm is connected to the brokerage
self.is_connected = True
### New Bitcoin Data Event
def on_data(self, Bitcoin, data):
if self.live_mode:
self.set_runtime_statistic('BTC', str(data.close))
if not self.portfolio.hold_stock:
self.market_order('BTC', 100)
##Send a notification email/SMS/web request on events:
self.notify.email("myemail@gmail.com", "Test", "Test Body", "test attachment")
self.notify.sms("+11233456789", str(data.time) + ">> Test message from live BTC server.")
self.notify.web("http://api.quantconnect.com", str(data.time) + ">> Test data packet posted from live BTC server.")
self.notify.ftp("ftp.quantconnect.com", "username", "password", "path/to/file.txt",
str(data.time) + ">> Test file from live BTC server.")
self.notify.sftp("ftp.quantconnect.com", "username", "password", "path/to/file.txt",
str(data.time) + ">> Test file from live BTC server.")
self.notify.sftp("ftp.quantconnect.com", "username", "privatekey", "optionalprivatekeypassphrase", "path/to/file.txt",
str(data.time) + ">> Test file from live BTC server.")
### Raises the data event
def on_data(self, data):
if (not self.portfolio['IBM'].hold_stock) and data.contains_key('IBM'):
quantity = int(np.floor(self.portfolio.margin_remaining / data['IBM'].close))
self.market_order('IBM',quantity)
self.debug('Purchased IBM on ' + str(self.time.strftime("%m/%d/%Y")))
self.notify.email("myemail@gmail.com", "Test", "Test Body", "test attachment")
# Brokerage message event handler. This method is called for all types of brokerage messages.
def on_brokerage_message(self, message_event):
self.debug(f"Brokerage meesage received - {message_event.to_string()}")
# Brokerage disconnected event handler. This method is called when the brokerage connection is lost.
def on_brokerage_disconnect(self):
self.is_connected = False
self.debug(f"Brokerage disconnected!")
# Brokerage reconnected event handler. This method is called when the brokerage connection is restored after a disconnection.
def on_brokerage_reconnect(self):
self.is_connected = True
self.debug(f"Brokerage reconnected!")
###Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
class Bitcoin(PythonData):
def get_source(self, config, date, is_live_mode):
if is_live_mode:
return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.REST)
return SubscriptionDataSource("https://www.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc", SubscriptionTransportMedium.REMOTE_FILE)
def reader(self, config, line, date, is_live_mode):
coin = Bitcoin()
coin.symbol = config.symbol
if is_live_mode:
# Example Line Format:
# {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
try:
live_btc = json.loads(line)
# If value is zero, return None
value = live_btc["last"]
if value == 0: return None
coin.time = datetime.now()
coin.value = value
coin["Open"] = float(live_btc["open"])
coin["High"] = float(live_btc["high"])
coin["Low"] = float(live_btc["low"])
coin["Close"] = float(live_btc["last"])
coin["Ask"] = float(live_btc["ask"])
coin["Bid"] = float(live_btc["bid"])
coin["VolumeBTC"] = float(live_btc["volume"])
coin["WeightedPrice"] = float(live_btc["vwap"])
return coin
except ValueError:
# Do nothing, possible error in json decoding
return None
# Example Line Format:
# Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
# 2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
if not (line.strip() and line[0].isdigit()): return None
try:
data = line.split(',')
coin.time = datetime.strptime(data[0], "%Y-%m-%d")
coin.value = float(data[4])
coin["Open"] = float(data[1])
coin["High"] = float(data[2])
coin["Low"] = float(data[3])
coin["Close"] = float(data[4])
coin["VolumeBTC"] = float(data[5])
coin["VolumeUSD"] = float(data[6])
coin["WeightedPrice"] = float(data[7])
return coin
except ValueError:
# Do nothing, possible error in json decoding
return None