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.SignalExport.AddSignalExportProviders(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 GetSource(self, config, date, isLive):
        return SubscriptionDataSource("https://tournament.crunchdao.com/data/skeleton.csv", SubscriptionTransportMedium.RemoteFile)

    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.EndTime = (datetime.strptime(csv[0], "%Y-%m-%d")).date() 
            skeleton.Symbol =  Symbol(SecurityIdentifier.GenerateEquity(csv[1], Market.USA, mappingResolveDate=skeleton.Time), csv[1])
            skeleton["Ticker"] = csv[1]

        except ValueError:
            # Do nothing
            return None

        return skeleton

2. In the Initialize method, initialize the universe.

self.AddUniverse(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.DateRules.Every([DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday]), 
    self.TimeRules.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 SetTargetPortfolioFromPortfolio method. The method returns a boolean that represents if the targets were successfully sent to CrunchDAO.

var success = SignalExport.SetTargetPortfolioFromPortfolio();

success = self.SignalExport.SetTargetPortfolioFromPortfolio()

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 SetTargetPortfolio method. In this situation, the number you pass to the PortfolioTarget constructor represents the portfolio weight. Don't use the PortfolioTarget.Percent method.

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

target = PortfolioTarget(self.symbol, weight)
success = self.SignalExport.SetTargetPortfolio(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.