# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

#

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.

from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Data import SubscriptionDataSource

from QuantConnect.Python import PythonData

from datetime import date, timedelta, datetime

import decimal

import numpy as np

import json

class CustomDataBitcoinAlgorithm(QCAlgorithm):

'''3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc).

The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source.

This includes any data source which has a TIME and VALUE. These are the *only* requirements.

To demonstrate this we're loading in "Bitcoin" data.'''

def Initialize(self):

self.SetStartDate(2011, 9, 13)

self.SetEndDate(datetime.now().date() - timedelta(1))

self.SetCash(100000)

# Define the symbol and "type" of our generic data:

self.AddData(Bitcoin, "BTC")

def OnData(self, data):

if "BTC" not in data: return

close = data["BTC"].Close

# If we don't have any weather "SHARES" -- invest"

if not self.Portfolio.Invested:

# Weather used as a tradable asset, like stocks, futures etc.

self.SetHoldings("BTC", 1)

self.Debug("Buying BTC 'Shares': BTC: {0}".format(close))

self.Debug("Time: {0} {1}".format(datetime.now(), close))

class Bitcoin(PythonData):

'''Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data'''

def GetSource(self, config, date, isLiveMode):

if isLiveMode:

return SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);

#return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";

# OR simply return a fixed small data file. Large files will slow down your backtest

return SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);

def Reader(self, config, line, date, isLiveMode):

coin = Bitcoin()

coin.Symbol = config.Symbol

if isLiveMode:

# Example Line Format:

# {"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}

try:

liveBTC = json.loads(line)

# If value is zero, return None

value = decimal.Decimal(liveBTC["last"])

if value == 0: return None

coin.Time = datetime.now()

coin.Value = value

coin["Open"] = float(liveBTC["open"])

coin["High"] = float(liveBTC["high"])

coin["Low"] = float(liveBTC["low"])

coin["Close"] = float(liveBTC["last"])

coin["Ask"] = float(liveBTC["ask"])

coin["Bid"] = float(liveBTC["bid"])

coin["VolumeBTC"] = float(liveBTC["volume"])

coin["WeightedPrice"] = float(liveBTC["vwap"])

return coin

except ValueError:

# Do nothing, possible error in json decoding

return None

# Example Line Format:

# Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price

# 2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356

if not (line.strip() and line[0].isdigit()): return None

try:

data = line.split(',')

# If value is zero, return None

value = decimal.Decimal(data[4])

if value == 0: return None

coin.Time = datetime.strptime(data[0], "%Y-%m-%d")

coin.Value = value

coin["Open"] = float(data[1])

coin["High"] = float(data[2])

coin["Low"] = float(data[3])

coin["Close"] = float(data[4])

coin["VolumeBTC"] = float(data[5])

coin["VolumeUSD"] = float(data[6])

coin["WeightedPrice"] = float(data[7])

return coin;

except ValueError:

# Do nothing, possible error in json decoding

return None