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Hello all,
I have a custom data file that looks like:
Ticker,Sector
A,XLV
AA,XLB
AAC,XLV
...
Basically trying to add Sector data to my data set for underlying stocks.
The following code, however, does not seem to pull in the data. I get "no Sectors data" in the log file.
Please take a look:
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data import SubscriptionDataSource
from QuantConnect.Python import PythonData
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018,5,25) #Set Start Date
self.SetEndDate(2018,5,29) #Set End Date
self.SetCash(20000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Second)
# add the custom set of sector data from an outside file
self.AddData(SectorData, "SECTORS", Resolution.Daily)
# we know the file is available, because the below works
#file = self.Download("https://www.dropbox.com/sh/vf8dp7snigw7j9x/AADniLYgjeV0GTamCI3DTCb9a/Sector_Lookup.csv?dl=1")
#self.Debug(file)
# get the universe of stocks every morning
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
# Universe selection - coarse
def CoarseSelectionFunction(self, coarse):
# price > 5 and volume > 500k
selected = [x for x in coarse if (float(x.Price) >= 5 and x.Volume > 500000) ]
return [ x.Symbol for x in selected ]
# Universe selection - fine
def FineSelectionFunction(self, fine):
self.Debug("starting fine selection")
# check that "fine" stocks are available in downloaded Ticker/Sector combinations
return [ x.Symbol for x in fine ]
# intraday trading
def OnData(self, data):
if data.ContainsKey("SECTORS"):
self.Debug("SECTORS has been added to data")
else:
self.Debug("no SECTORS data")
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
# Custom data download description
class SectorData(PythonData):
def GetSource(self, config, date, isLiveMode):
url = "https://www.dropbox.com/sh/vf8dp7snigw7j9x/AADniLYgjeV0GTamCI3DTCb9a/Sector_Lookup.csv?dl=1"
return SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLiveMode):
sectors = SectorData()
sectors.Symbol = config.Symbol
data = line.split(',')
sectors["Ticker"] = data[0]
sectors["Sector"] = data[1]
return sectors
Ted Murphy
I seem to be able to load the sector data into a dictionary in Initialize():
# upload the sector info file = self.Download("https://www.dropbox.com/sh/vf8dp7snigw7j9x/AADniLYgjeV0GTamCI3DTCb9a/Sector_Lookup.csv?dl=1") self.SectorData = dict(item.split(",") for item in file.splitlines())Then access the sector data down below via this:
self.Debug("sector for AAPL is: " + self.SectorData["AAPL"])Ted Murphy
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