Energy Information Administration

from AlgorithmImports import *

class EIAElectricityDataAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 6, 1)
        self.set_end_date(2020, 9, 1)
        self.set_cash(100000)

        self._spy = self.add_equity("SPY", Resolution.DAILY).symbol
        self._pjm = self.add_data(EIAElectricity, EIA.BalancingAuthorities.PJM, Resolution.DAILY).symbol
        history = self.history(EIAElectricity, self._pjm, 60, Resolution.DAILY)

        self.debug(f"We got {len(history)} items from our history request")

    def on_data(self, slice):
        if not slice.contains_key(self._pjm):
            return

        grid = slice[self._pjm]
        if grid.demand is None or not grid.demand_forecast:
            return

        # Calculate the load surprise as a fraction of the forecast.
        load_surprise = (grid.demand - grid.demand_forecast) / grid.demand_forecast

        # Buy SPY when demand runs more than 2% above the forecast.
        if load_surprise > 0.02:
            self.set_holdings(self._spy, 1)

        # Liquidate when demand runs more than 2% below the forecast.
        elif load_surprise < -0.02:
            self.liquidate(self._spy)

public class EIAElectricityDataAlgorithm : QCAlgorithm
{
    private Symbol _spy, _pjm;

    public override void Initialize()
    {
        SetStartDate(2020, 6, 1);
        SetEndDate(2020, 9, 1);
        SetCash(100000);

        _spy = AddEquity("SPY", Resolution.Daily).Symbol;
        _pjm = AddData<EIAElectricity>(EIA.BalancingAuthorities.PJM, Resolution.Daily).Symbol;
        var history = History<EIAElectricity>(_pjm, 60, Resolution.Daily);

        Debug($"We got {history.Count()} items from our history request");
    }

    public override void OnData(Slice slice)
    {
        if (!slice.ContainsKey(_pjm))
        {
            return;
        }

        var grid = slice[_pjm];
        if (!grid.Demand.HasValue || !grid.DemandForecast.HasValue || grid.DemandForecast == 0)
        {
            return;
        }

        // Calculate the load surprise as a fraction of the forecast.
        var loadSurprise = (grid.Demand.Value - grid.DemandForecast.Value) / grid.DemandForecast.Value;

        // Buy SPY when demand runs more than 2% above the forecast.
        if (loadSurprise > 0.02m)
        {
            SetHoldings(_spy, 1);
        }

        // Liquidate when demand runs more than 2% below the forecast.
        else if (loadSurprise < -0.02m)
        {
            Liquidate(_spy);
        }
    }
}

from AlgorithmImports import *

class EIAElectricityFrameworkAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 6, 1)
        self.set_end_date(2020, 9, 1)
        self.set_cash(100000)

        self.universe_settings.resolution = Resolution.DAILY
        # Select SPY to trade.
        symbols = [Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]
        self.set_universe_selection(ManualUniverseSelectionModel(symbols))
        # Add a custom alpha model that emits insights from PJM grid operations.
        self.add_alpha(EIAElectricityAlphaModel(self))
        # Equally invest to dissipate non-systematic capital concentration risk on individual stock
        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())

class EIAElectricityAlphaModel(AlphaModel):
    def __init__(self, algorithm):
        # Add the PJM grid operations data.
        self._pjm = algorithm.add_data(EIAElectricity, EIA.BalancingAuthorities.PJM, Resolution.DAILY).symbol
        self._tradable_symbols = []

        history = algorithm.history(EIAElectricity, self._pjm, 60, Resolution.DAILY)
        algorithm.log(f"We got {len(history)} items from our history request")

    def update(self, algorithm, slice):
        insights = []
        if not slice.contains_key(self._pjm):
            return insights

        grid = slice[self._pjm]
        if grid.demand is None or not grid.demand_forecast:
            return insights

        # Calculate the load surprise as a fraction of the forecast.
        load_surprise = (grid.demand - grid.demand_forecast) / grid.demand_forecast

        # Emit insights in the direction of the load surprise when it exceeds 2%.
        if abs(load_surprise) > 0.02:
            direction = InsightDirection.UP if load_surprise > 0 else InsightDirection.DOWN
            insights = [Insight.price(symbol, timedelta(days=7), direction) for symbol in self._tradable_symbols]

        return insights

    def on_securities_changed(self, algorithm, changes):
        for security in changes.added_securities:
            if security.symbol != self._pjm:
                self._tradable_symbols.append(security.symbol)
        for security in changes.removed_securities:
            if security.symbol in self._tradable_symbols:
                self._tradable_symbols.remove(security.symbol)

public class EIAElectricityFrameworkAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2020, 6, 1);
        SetEndDate(2020, 9, 1);
        SetCash(100000);

        UniverseSettings.Resolution = Resolution.Daily;
        // Select SPY to trade.
        var symbols = new[] { QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA) };
        SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
        // Add a custom alpha model that emits insights from PJM grid operations.
        AddAlpha(new EIAElectricityAlphaModel(this));
        // Equally invest to dissipate non-systematic capital concentration risk on individual stock
        SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
    }
}

public class EIAElectricityAlphaModel : AlphaModel
{
    private readonly Symbol _pjm;
    private readonly List<Symbol> _tradableSymbols = new();

    public EIAElectricityAlphaModel(QCAlgorithm algorithm)
    {
        // Add the PJM grid operations data.
        _pjm = algorithm.AddData<EIAElectricity>(EIA.BalancingAuthorities.PJM, Resolution.Daily).Symbol;

        var history = algorithm.History<EIAElectricity>(_pjm, 60, Resolution.Daily);
        algorithm.Log($"We got {history.Count()} items from our history request");
    }

    public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice slice)
    {
        var insights = new List<Insight>();
        if (!slice.ContainsKey(_pjm))
        {
            return insights;
        }

        var grid = slice.Get<EIAElectricity>(_pjm);
        if (!grid.Demand.HasValue || !grid.DemandForecast.HasValue || grid.DemandForecast == 0)
        {
            return insights;
        }

        // Calculate the load surprise as a fraction of the forecast.
        var loadSurprise = (grid.Demand.Value - grid.DemandForecast.Value) / grid.DemandForecast.Value;

        // Emit insights in the direction of the load surprise when it exceeds 2%.
        if (Math.Abs(loadSurprise) > 0.02m)
        {
            var direction = loadSurprise > 0 ? InsightDirection.Up : InsightDirection.Down;
            foreach (var symbol in _tradableSymbols)
            {
                insights.Add(Insight.Price(symbol, TimeSpan.FromDays(7), direction));
            }
        }

        return insights;
    }

    public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            if (security.Symbol != _pjm)
            {
                _tradableSymbols.Add(security.Symbol);
            }
        }
        foreach (var security in changes.RemovedSecurities)
        {
            _tradableSymbols.Remove(security.Symbol);
        }
    }
}