if I want to trade equities and on a scheduled basis bring in put/call ratios from quandl, can I do that in the alpha model?
is it as simple as just
class SymbolData:
"""
contains price, vol data
"""
def __init__(self, ticker, something):
self.name = None
self.trigger = None
self.exit_date = None
self.bid = None
self.ask = None
self.mid = None
self.quandlCode = 'QOA/' + ticker
# add external data
self.vol_surface = self.AddData(Quandl, self.quandlCode, Resolution.Daily)
Alexandre Catarino
Please take a look at ScheduledUniverseSelectionModelRegressionAlgorithm.
Since we usually don't trade custom data, we can keep it at the "algorithm level", in other words, call AddData in Initialize as we would in non-framework algorithm.
In SelectSymbols method, you will use the custom data to define which equities are selected by the ScheduledUniverseSelectionModel.
Jblfin
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