Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-9.472
Tracking Error
0.007
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
#region imports
from AlgorithmImports import *
#endregion

CustomDataKey = "CustomData20231010/ExampleMultiFileCustomData"

def GetCustomDataKey(date):
    return f"{CustomDataKey}{date.strftime('%Y%m%d')}"

class CustomDataObjectStoreMultiFileAlgorithm(QCAlgorithm):
    """
    Example files in the object store used in this demo:

    Names: CustomData/ExampleCustomData{{date}}
        Examples: 
            - CustomData/ExampleCustomData20170818 (contains data for 2017-08-18)
            - CustomData/ExampleCustomData20170819 (contains data for 2017-08-19)
    Content: "2017-08-18 01:00:00,5749.5,5852.95,5749.5,5842.2,214402430,8753.33\n2017-08-18 02:00:00,5834.1,5904.35,5822.2,5898.85,144794030,5405.72\n2017-08-18 03:00:00,5885.5,5898.8,5852.3,5857.55,145721790,5163.09\n2017-08-18 04:00:00,5811.95,5815,5760.4,5770.9,160523863,5219.24\n2017-08-18 05:00:00,5794.75,5848.2,5786.05,5836.95,151929179,5429.87\n2017-08-18 06:00:00,5889.95,5900.45,5858.45,5867.9,123586417,4303.93\n2017-08-18 07:00:00,5833.15,5833.85,5775.55,5811.55,127624733,4823.52\n2017-08-18 08:00:00,5834.6,5864.95,5834.6,5859,110427867,4661.55\n2017-08-18 09:00:00,5869.9,5879.35,5802.85,5816.7,117516350,4820.53\n2017-08-18 10:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-18 11:00:00,6000.5,6019,5951.15,6009,127707078,6591.27\n2017-08-18 12:00:00,5991.2,6038.2,5980.95,6030.8,116275729,4641.97\n2017-08-18 13:00:00,5930.8,5966.05,5910.95,5955.25,151162819,5915.8\n2017-08-18 14:00:00,5972.25,5989.8,5926.75,5973.3,191516153,8349.59\n2017-08-18 15:00:00,5984.7,6051.1,5974.55,6038.05,171728134,7774.83\n2017-08-18 16:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-18 17:00:00,6000.5,6019,5951.15,6009,127707078,6591.27\n2017-08-18 18:00:00,5991.2,6038.2,5980.95,6030.8,116275729,4641.97\n2017-08-18 19:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-18 20:00:00,5895,5956.55,5869.5,5921.4,114174694,4961.54\n2017-08-18 21:00:00,5900.05,5972.7,5871.3,5881,118346364,4888.65\n2017-08-18 22:00:00,5907.9,5931.65,5857.4,5878,100130739,4304.75\n2017-08-18 23:00:00,5848.75,5868.05,5780.35,5788.8,180902123,6695.57\n2017-08-19 01:00:00,5771.75,5792.9,5738.6,5760.2,140394424,5894.04\n2017-08-19 02:00:00,5709.35,5729.85,5683.1,5699.1,142041404,5462.45\n2017-08-19 03:00:00,5748.95,5819.4,5739.4,5808.4,124410018,5121.33\n2017-08-19 04:00:00,5820.4,5854.9,5770.25,5850.05,107160887,4560.84\n2017-08-19 05:00:00,5841.9,5863.4,5804.3,5813.6,117541145,4591.91\n2017-08-19 06:00:00,5805.75,5828.4,5777.9,5822.25,115539008,4643.17\n2017-08-19 07:00:00,5754.15,5755,5645.65,5655.9,198400131,7148\n2017-08-19 08:00:00,5639.9,5686.15,5616.85,5667.65,182410583,6697.18\n2017-08-19 09:00:00,5638.05,5640,5566.25,5590.25,193488581,6308.88\n2017-08-19 10:00:00,5606.95,5666.25,5570.25,5609.1,196571543,6792.49\n2017-08-19 11:00:00,5627.95,5635.25,5579.35,5588.7,160095940,5939.3\n2017-08-19 12:00:00,5647.95,5699.35,5630.95,5682.35,239029425,9184.29\n2017-08-19 13:00:00,5749.5,5852.95,5749.5,5842.2,214402430,8753.33\n2017-08-19 14:00:00,5834.1,5904.35,5822.2,5898.85,144794030,5405.72\n2017-08-19 15:00:00,5885.5,5898.8,5852.3,5857.55,145721790,5163.09\n2017-08-19 16:00:00,5811.95,5815,5760.4,5770.9,160523863,5219.24\n2017-08-19 17:00:00,5794.75,5848.2,5786.05,5836.95,151929179,5429.87\n2017-08-19 18:00:00,5889.95,5900.45,5858.45,5867.9,123586417,4303.93\n2017-08-19 19:00:00,5833.15,5833.85,5775.55,5811.55,127624733,4823.52\n2017-08-19 20:00:00,5834.6,5864.95,5834.6,5859,110427867,4661.55\n2017-08-19 21:00:00,5869.9,5879.35,5802.85,5816.7,117516350,4820.53\n2017-08-19 22:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-19 23:00:00,6000.5,6019,5951.15,6009,127707078,6591.27\n2017-08-21 01:00:00,5749.5,5852.95,5749.5,5842.2,214402430,8753.33\n2017-08-21 02:00:00,5834.1,5904.35,5822.2,5898.85,144794030,5405.72\n2017-08-21 03:00:00,5885.5,5898.8,5852.3,5857.55,145721790,5163.09\n2017-08-21 04:00:00,5811.95,5815,5760.4,5770.9,160523863,5219.24\n2017-08-21 05:00:00,5794.75,5848.2,5786.05,5836.95,151929179,5429.87\n2017-08-21 06:00:00,5889.95,5900.45,5858.45,5867.9,123586417,4303.93\n2017-08-21 07:00:00,5833.15,5833.85,5775.55,5811.55,127624733,4823.52\n2017-08-21 08:00:00,5834.6,5864.95,5834.6,5859,110427867,4661.55\n2017-08-21 09:00:00,5869.9,5879.35,5802.85,5816.7,117516350,4820.53\n2017-08-21 10:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-21 11:00:00,6000.5,6019,5951.15,6009,127707078,6591.27\n2017-08-21 12:00:00,5991.2,6038.2,5980.95,6030.8,116275729,4641.97\n2017-08-21 13:00:00,5930.8,5966.05,5910.95,5955.25,151162819,5915.8\n2017-08-21 14:00:00,5972.25,5989.8,5926.75,5973.3,191516153,8349.59\n2017-08-21 15:00:00,5984.7,6051.1,5974.55,6038.05,171728134,7774.83\n2017-08-21 16:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-21 17:00:00,6000.5,6019,5951.15,6009,127707078,6591.27\n2017-08-21 18:00:00,5991.2,6038.2,5980.95,6030.8,116275729,4641.97\n2017-08-21 19:00:00,5894.5,5948.85,5887.95,5935.1,120195681,4882.29\n2017-08-21 20:00:00,5895,5956.55,5869.5,5921.4,114174694,4961.54\n2017-08-21 21:00:00,5900.05,5972.7,5871.3,5881,118346364,4888.65\n2017-08-21 22:00:00,5907.9,5931.65,5857.4,5878,100130739,4304.75\n2017-08-21 23:00:00,5848.75,5868.05,5780.35,5788.8,180902123,6695.57"
    """

    def Initialize(self):
        self.SetStartDate(2017, 8, 18)
        self.SetEndDate(2017, 8, 21)
        self.SetCash(100000)

        self.customDataSymbol = self.AddData(ExampleCustomData, 
                                             "ExampleMultiFileCustomData", 
                                             Resolution.Hour).Symbol

        # Saving data here for demonstration and regression testing purposes.
        # In real scenarios, data has to be saved to the object store before the algorithm starts.
        # if not self.ObjectStore.ContainsKey(CustomDataKey):
        #     # Note: The data will be stored in separate files for each date.
        #     data = {}
        #     for line in self.CustomData.split('\n'):
        #         csv = line.split(',')
        #         time = datetime.strptime(csv[0], '%Y-%m-%d %H:%M:%S').date()
        #         if time not in data:
        #             data[time] = line
        #         else:
        #             data[time] += '\n' + line

        #     for date, date_data in data.items():
        #         self.ObjectStore.Save(GetCustomDataKey(date), date_data)

    def OnData(self, slice: Slice):
        if slice.ContainsKey(self.customDataSymbol):
            customData = slice.Get(ExampleCustomData, self.customDataSymbol)
            self.Log(f"Custom data point: {customData.Time} - {customData.Symbol} "
                     f"O: {customData['Open']} "
                     f"H: {customData['High']} "
                     f"L: {customData['Low']} "
                     f"C: {customData['Close']}")   

class ExampleCustomData(PythonData):
    def GetSource(self, config, date, isLive):
        return SubscriptionDataSource(GetCustomDataKey(date), 
                                      SubscriptionTransportMedium.ObjectStore, 
                                      FileFormat.Csv)

    def Reader(self, config, line, date, isLive):
        data = line.split(',')
        obj_data = ExampleCustomData()
        obj_data.Symbol = config.Symbol
        obj_data.Time = datetime.strptime(data[0], '%Y-%m-%d %H:%M:%S')
        obj_data.Value = float(data[4])
        obj_data["Open"] = float(data[1])
        obj_data["High"] = float(data[2])
        obj_data["Low"] = float(data[3])
        obj_data["Close"] = float(data[4])
        return obj_data