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Merge pull request QuantConnect#4390 from gsalaz98/feature-alternative-data-robintrack
Implements Robintrack BaseData and example algorithms
2 parents 17a9047 + d2eb048 commit 4fea612

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‎Algorithm.CSharp/AltData/RobintrackHoldingsAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.Robintrack;
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namespace QuantConnect.Algorithm.CSharp.AltData
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{
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/// <summary>
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/// Looks at users holding the stock AAPL at a given point in time
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/// and keeps track of changes in retail investor sentiment.
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///
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/// We go long if the sentiment increases by 0.5%, and short if it decreases by -0.5%
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/// </summary>
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public class RobintrackHoldingsAlgorithm : QCAlgorithm
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{
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private Symbol _aapl;
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private Symbol _aaplHoldings;
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private decimal _lastValue;
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private bool _isLong;
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public override void Initialize()
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{
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SetStartDate(2018, 5, 1);
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SetEndDate(2020, 5, 5);
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SetCash(100000);
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_aapl = AddEquity("AAPL", Resolution.Daily).Symbol;
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_aaplHoldings = AddData<RobintrackHoldings>(_aapl).Symbol;
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_isLong = false;
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}
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public override void OnData(Slice data)
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{
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foreach (var kvp in data.Get<RobintrackHoldings>())
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{
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var holdings = kvp.Value;
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if (_lastValue != 0)
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{
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var percentChange = (holdings.UsersHolding - _lastValue) / _lastValue;
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var holdingInfo = $"There are {holdings.UsersHolding} unique users holding {kvp.Key.Underlying} - users holding % of U.S. equities universe: {holdings.UniverseHoldingPercent * 100m}%";
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if (percentChange >= 0.005m && !_isLong)
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{
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Log($"{UtcTime} - Buying AAPL - {holdingInfo}");
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SetHoldings(_aapl, 0.5);
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_isLong = true;
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}
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else if (percentChange <= -0.005m && _isLong)
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{
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Log($"{UtcTime} - Shorting AAPL - {holdingInfo}");
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SetHoldings(_aapl, -0.5);
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_isLong = false;
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}
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}
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_lastValue = holdings.UsersHolding;
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}
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}
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}
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}

‎Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj‎

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<Compile Include="Alphas\TriangleExchangeRateArbitrageAlpha.cs" />
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<Compile Include="Alphas\TripleLeveragedETFPairVolatilityDecayAlpha.cs" />
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<Compile Include="Alphas\VixDualThrustAlpha.cs" />
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<Compile Include="AltData\RobintrackHoldingsAlgorithm.cs" />
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<Compile Include="AltData\CachedAlternativeDataAlgorithm.cs" />
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<Compile Include="AltData\BenzingaNewsAlgorithm.cs" />
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<Compile Include="AltData\SECReport8KAlgorithm.cs" />

‎Algorithm.Python/AltData/RobintrackHoldingsAlgorithm.py‎

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from datetime import datetime, timedelta
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.Robintrack import *
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### <summary>
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### Looks at users holding the stock AAPL at a given point in time
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### and keeps track of changes in retail investor sentiment.
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###
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### We go long if the sentiment increases by 0.5%, and short if it decreases by -0.5%
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### </summary>
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class RobintrackHoldingsAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.lastValue = 0
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self.SetStartDate(2018, 5, 1)
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self.SetEndDate(2020, 5, 5)
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self.SetCash(100000)
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self.aapl = self.AddEquity("AAPL", Resolution.Daily).Symbol
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self.aaplHoldings = self.AddData(RobintrackHoldings, self.aapl).Symbol
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self.isLong = False
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def OnData(self, data):
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for kvp in data.Get(RobintrackHoldings):
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holdings = kvp.Value
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if self.lastValue != 0:
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percentChange = (holdings.UsersHolding - self.lastValue) / self.lastValue
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holdingInfo = f"There are {holdings.UsersHolding} unique users holding {kvp.Key.Underlying} - users holding % of U.S. equities universe: {holdings.UniverseHoldingPercent * 100.0}%"
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if percentChange >= 0.005 and not self.isLong:
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self.Log(f"{self.UtcTime} - Buying AAPL - {holdingInfo}")
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self.SetHoldings(self.aapl, 0.5)
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self.isLong = True
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elif percentChange <= -0.005 and self.isLong:
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self.Log(f"{self.UtcTime} - Shorting AAPL - {holdingInfo}")
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self.SetHoldings(self.aapl, -0.5)
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self.isLong = False
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self.lastValue = holdings.UsersHolding;

‎Algorithm.Python/QuantConnect.Algorithm.Python.csproj‎

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<Content Include="Alphas\ShareClassMeanReversionAlpha.py" />
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<Content Include="Alphas\TripleLeverageETFPairVolatilityDecayAlpha.py" />
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<Content Include="Alphas\VIXDualThrustAlpha.py" />
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<Content Include="AltData\RobintrackHoldingsAlgorithm.py" />
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<Content Include="AltData\CachedAlternativeDataAlgorithm.py" />
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<Content Include="AltData\BenzingaNewsAlgorithm.py" />
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<Content Include="AltData\SECReport8KAlgorithm.py" />

‎Common/Data/Custom/Robintrack/RobintrackHoldings.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using NodaTime;
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using System;
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using System.Collections.Generic;
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using System.Globalization;
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using System.IO;
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namespace QuantConnect.Data.Custom.Robintrack
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{
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/// <summary>
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/// Aggregate unique user stock holdings
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///
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/// Data sourced from Robintrack - https://robintrack.net
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/// </summary>
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public class RobintrackHoldings : BaseData
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{
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private static List<Resolution> _supportedResolutions = new List<Resolution>
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{
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Resolution.Second,
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Resolution.Minute,
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Resolution.Hour,
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Resolution.Daily
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};
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/// <summary>
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/// Number of unique users holding a given stock
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/// </summary>
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public int UsersHolding { get; set; }
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/// <summary>
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/// Total number of unique holdings across all stocks by users
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/// </summary>
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public decimal TotalUniqueHoldings { get; set; }
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/// <summary>
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/// Percentage of the U.S. equities universe that unique users hold stock for
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/// </summary>
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public decimal UniverseHoldingPercent => UsersHolding / TotalUniqueHoldings;
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/// <summary>
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/// Alias for <see cref="UsersHolding"/>
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/// </summary>
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public override decimal Value
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{
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get { return UsersHolding; }
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}
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/// <summary>
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/// Gets the source of the file
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/// </summary>
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/// <param name="config">Subscription config</param>
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/// <param name="date">Data for the given date to read</param>
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/// <param name="isLiveMode">Is live mode</param>
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/// <returns>Subscription data source</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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if (isLiveMode)
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{
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throw new NotImplementedException("Live trading currently is not implemented for this data set");
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}
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return new SubscriptionDataSource(
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Path.Combine(
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Globals.DataFolder,
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"alternative",
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"robintrack",
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$"{config.Symbol.Underlying.Value.ToLowerInvariant()}.csv"
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),
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SubscriptionTransportMedium.LocalFile,
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FileFormat.Csv
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);
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}
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/// <summary>
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/// Reads the data from the source provided in <see cref="GetSource(SubscriptionDataConfig, DateTime, bool)"/>
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/// and converts it into an instance of this class (<see cref="RobintrackHoldings"/>).
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/// </summary>
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/// <param name="config">Subscription config</param>
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/// <param name="line">Line to parse</param>
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/// <param name="date">Date that the data is being read</param>
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/// <param name="isLiveMode">Is live mode</param>
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/// <returns>Instance of <see cref="RobintrackHoldings"/> casted as <see cref="BaseData"/></returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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if (isLiveMode)
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{
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throw new NotImplementedException("Live trading currently is not implemented for this data set");
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}
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var instance = Read(line);
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instance.Symbol = config.Symbol;
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return instance;
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}
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/// <summary>
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/// Creates a clone of the current object
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/// </summary>
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/// <returns>Copy of the current object</returns>
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public override BaseData Clone()
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{
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return new RobintrackHoldings
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{
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EndTime = EndTime,
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Symbol = Symbol,
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UsersHolding = UsersHolding,
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TotalUniqueHoldings = TotalUniqueHoldings,
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};
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}
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/// <summary>
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/// Parses a line of Robintrack data with an optional dateFormat
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/// </summary>
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/// <param name="line">Line to parse</param>
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/// <param name="dateFormat">Date format to parse timestamp in</param>
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/// <returns>Instance of this class</returns>
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public static RobintrackHoldings Read(string line, string dateFormat = "yyyyMMdd HH:mm:ss")
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{
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var i = 0;
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var csv = line.ToCsvData(size: 3);
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var timestamp = Parse.DateTimeExact(csv[i++], dateFormat, DateTimeStyles.AdjustToUniversal);
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var usersHolding = Parse.Int(csv[i++]);
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var totalUniqueHoldings = Parse.Decimal(csv[i]);
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return new RobintrackHoldings
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{
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EndTime = timestamp,
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UsersHolding = usersHolding,
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TotalUniqueHoldings = totalUniqueHoldings
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};
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}
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/// <summary>
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/// Sets the data timezone
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/// </summary>
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/// <returns>Timezone</returns>
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public override DateTimeZone DataTimeZone()
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{
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return TimeZones.Utc;
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}
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/// <summary>
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/// Enables mapping of the underlying symbol
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/// </summary>
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/// <returns>true</returns>
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public override bool RequiresMapping()
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{
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return true;
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}
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/// <summary>
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/// Provides list of supported resolutions
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/// </summary>
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/// <returns>List of supported resolutions</returns>
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public override List<Resolution> SupportedResolutions()
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{
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return _supportedResolutions;
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}
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}
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}

‎Common/QuantConnect.csproj‎

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<Compile Include="Data\Custom\Benzinga\BenzingaNews.cs" />
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<Compile Include="Data\Custom\FxcmVolume.cs" />
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<Compile Include="Data\Custom\NullData.cs" />
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<Compile Include="Data\Custom\Robintrack\RobintrackHoldings.cs" />
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<Compile Include="Data\Custom\SEC\ISECReport.cs" />
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<Compile Include="Data\Custom\SEC\SECReportBusinessAddress.cs" />
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<Compile Include="Data\Custom\SEC\SECReportCompanyData.cs" />

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