Drafts

To export signals to CrunchDAO from your algorithm, during initialization, add a CrunchDAO signal export provider.

SignalExport.AddSignalExportProviders(new CrunchDAOSignalExport(apiKey, model, submissionName, comment));

self.signal_export.add_signal_export_providers(CrunchDAOSignalExport(apiKey, model, submissionName, comment))

The CrunchDAOSignalExport constructor accepts the following arguments:

You can add multiple signal export providers to a single algorithm.

Our CrunchDAO integration supports signals for US Equities.

The CrunchDAO skeleton contains the universe constituents. To load it into your algorithm, follow these steps:

1. Define a custom universe type.

class CrunchDaoSkeleton(PythonData):
    
    def get_source(self, config, date, isLive):
        return SubscriptionDataSource("https://tournament.crunchdao.com/data/skeleton.csv", SubscriptionTransportMedium.REMOTE_FILE)

    def reader(self, config, line, date, isLive):
        if not line[0].isdigit(): return None
        skeleton = CrunchDaoSkeleton()
        skeleton.symbol = config.symbol

        try:
            csv = line.split(',')
            skeleton.end_time = (datetime.strptime(csv[0], "%Y-%m-%d")).date() 
            skeleton.symbol =  Symbol(SecurityIdentifier.generate_equity(csv[1], Market.USA, mapping_resolve_date=skeleton.time), csv[1])
            skeleton["Ticker"] = csv[1]

        except ValueError:
            # Do nothing
            return None

        return skeleton

2. In the Initializeinitialize method, initialize the universe.

self.add_universe(CrunchDaoSkeleton, "CrunchDaoSkeleton", Resolution.DAILY, self.select_symbols)

3. In the algorithm class, define the selector function to select all of the securities in the skeleton file.

def select_symbols(self, data: List[CrunchDaoSkeleton]) -> List[Symbol]:
    return [x.Symbol for x in data]

CrunchDAO provides a new skeleton every Saturday at 6 PM Coordinated Universal Time (UTC). To schedule your submissions for before the market opens each week, during initialization, you can create a Scheduled Event.

self.week = -1
self.schedule.on(
    self.date_rules.every([DayOfWeek.monday, DayOfWeek.tuesday, DayOfWeek.wednesday, DayOfWeek.thursday, DayOfWeek.friday]), 
    self.time_rules.at(13, 15, TimeZones.UTC), 
    self.submit_signals)

The preceding Scheduled Event calls the submit_signals method every weekday at 1:15 PM UTC. Define this method to create and send portfolio targets to CrunchDAO.

def submit_signals(self):
    if self.IsWarmingUp:
        return
    
    # Submit signals once per week
    week_num = self.Time.isocalendar()[1]
    if self.week == week_num:
        return
    self.week = week_num

    symbols = [security.Symbol for security in self.crunch_universe if security.Price > 0]

    # Get historical price data
    # close_prices = self.History(symbols, 22, Resolution.Daily).close.unstack(0)

    # Create portfolio targets
    weight_by_symbol = {symbol: 1/len(symbols) for symbol in symbols} # Add your logic here
    targets = [PortfolioTarget(symbol, weight) for symbol, weight in weight_by_symbol.items()]

    # (Optional) Place trades
    self.SetHoldings(targets)

    # Send signals to CrunchDAO
    success = self.SignalExport.SetTargetPortfolio(targets)
    if not success:
        self.Debug(f"Couldn't send targets at {self.Time}")

For more information about requesting historical price and alternative data, see History Requests.

To send your current portfolio holdings, call the SetTargetPortfolioFromPortfolioset_target_portfolio_from_portfolio method. The method returns a boolean that represents if the targets were successfully sent to CrunchDAO.

var success = SignalExport.SetTargetPortfolioFromPortfolio();

success = self.signal_export.set_target_portfolio_from_portfolio()

To send targets that aren't based on your current portfolio holdings, pass a PortfolioTarget object or an arraya list of PortfolioTarget objects to the SetTargetPortfolioset_target_portfolio method. In this situation, the number you pass to the PortfolioTarget constructor represents the portfolio weight. Don't use the PortfolioTarget.PercentPortfolioTarget.percent method.

var target = new PortfolioTarget(_symbol, weight);
var success = SignalExport.SetTargetPortfolio(target);

target = PortfolioTarget(self._symbol, weight)
success = self.signal_export.set_target_portfolio(target)

When you submit signals to CrunchDAO, abide by the following rules:

• All signals must have a quantity between 0 and 1 (inclusive).
• Submit one signal per round. If you submit more than one signal in a round, your new submission overwrites the previous one.
• Send signals for at least half of the investment universe.