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Adds Custom Signal Export Example (#8674)
* Adds example of custom signal exports. - SignalExportManager send signals automatically after 5 seconds. - Missing example and Python support. * Updates Examples to Disable Automatic Export * Addresses Peer-Review
1 parent 1e4ef83 commit 1cb0405

15 files changed

+390
-11
lines changed

‎Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs‎

Lines changed: 3 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -80,8 +80,10 @@ public override void Initialize()
8080
// Initialize this flag, to check when the ema indicators crosses between themselves
8181
_emaFastIsNotSet = true;
8282

83+
// Disable automatic exports as we manually set them
84+
SignalExport.AutomaticExportTimeSpan = null;
8385
// Set Collective2 signal export provider
84-
SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
86+
SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
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SetWarmUp(100);
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}

‎Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs‎

Lines changed: 4 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -95,12 +95,15 @@ public override void Initialize()
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// Initialize this flag, to check when the ema indicators crosses between themselves
9696
_emaFastIsNotSet = true;
9797

98+
// Disable automatic exports as we manually set them
99+
SignalExport.AutomaticExportTimeSpan = null;
100+
98101
// Set Collective2 signal export provider.
99102
// If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `useWhiteLabelApi`:
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// e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId, useWhiteLabelApi: true)
101104
// The API url can also be overridden by setting the Destination property:
102105
// e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId) { Destination = new Uri("your url") }
103-
SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
106+
SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
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105108
SetWarmUp(100);
106109
}

‎Algorithm.CSharp/CustomSignalExportDemonstrationAlgorithm.cs‎

Lines changed: 113 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,113 @@
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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 Newtonsoft.Json;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
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using QuantConnect.Api;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System;
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using System.Linq;
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using System.Net.Http;
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using System.Net.Http.Json;
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using System.Text;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm sends a list of portfolio targets to custom endpoint
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="securities and portfolio" />
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public class CustomSignalExportDemonstrationAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialize the date and add all equity symbols present
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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/// Our custom signal export accepts all asset types
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AddEquity("SPY", Resolution.Second);
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AddCrypto("BTCUSD", Resolution.Second);
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AddForex("EURUSD", Resolution.Second);
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AddFutureContract(QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null));
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AddOptionContract(QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)));
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// Set CustomSignalExport signal export provider.
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SignalExport.AddSignalExportProvider(new CustomSignalExport());
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}
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/// <summary>
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/// Buy and hold EURUSD and SPY
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/// </summary>
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/// <param name="slice"></param>
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public override void OnData(Slice slice)
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{
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foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
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{
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if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
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{
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SetHoldings(ticker, 0.5m);
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}
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}
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}
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}
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internal class CustomSignalExport : ISignalExportTarget
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{
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private readonly Uri _requestUri = new ("http://localhost:5000/");
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private readonly HttpClient _httpClient = new();
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public bool Send(SignalExportTargetParameters parameters)
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{
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object SimplePayload(PortfolioTarget target)
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{
82+
var newTarget = PortfolioTarget.Percent(parameters.Algorithm, target.Symbol, target.Quantity);
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return new { symbol = newTarget.Symbol.Value, quantity = newTarget.Quantity };
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};
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var message = JsonConvert.SerializeObject(parameters.Targets.Select(SimplePayload));
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using var httpMessage = new StringContent(message, Encoding.UTF8, "application/json");
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using HttpResponseMessage response = _httpClient.PostAsync(_requestUri, httpMessage).Result;
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var result = response.Content.ReadFromJsonAsync<RestResponse>().Result;
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parameters.Algorithm.Log($"Send #{parameters.Targets.Count} targets. Success: {result.Success}");
91+
return result.Success;
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}
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public void Dispose() => _httpClient.Dispose();
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}
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}
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/*
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# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
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# $ flask --app app run
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# app.py:
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from flask import Flask, request, jsonify
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from json import loads
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app = Flask(__name__)
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@app.post('/')
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def handle_positions():
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result = loads(request.data)
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print(result)
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return jsonify({'success': True,'message': f'{len(result)} positions received'})
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if __name__ == '__main__':
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app.run(debug=True)
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*/

‎Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs‎

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -43,6 +43,7 @@ public override void Initialize()
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_index = AddIndex("SPX").Symbol;
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_equity = AddEquity("SPY").Symbol;
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SignalExport.AutomaticExportTimeSpan = null;
4647
_signalExportManagerTest = new SignalExportManagerTest(this);
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Securities[_index].IsTradable = IsTradable;
4849
}

‎Algorithm.CSharp/NumeraiSignalExportDemonstrationAlgorithm.cs‎

Lines changed: 6 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -64,7 +64,12 @@ public override void Initialize()
6464
var numeraiModelId = "";
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6666
var numeraiFilename = ""; // (Optional) Replace this value with your submission filename
67-
SignalExport.AddSignalExportProviders(new NumeraiSignalExport(numeraiPublicId, numeraiSecretId, numeraiModelId, numeraiFilename));
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68+
// Disable automatic exports as we manually set them
69+
SignalExport.AutomaticExportTimeSpan = null;
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71+
// Set Numerai signal export provider
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SignalExport.AddSignalExportProvider(new NumeraiSignalExport(numeraiPublicId, numeraiSecretId, numeraiModelId, numeraiFilename));
6873
}
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7075
public void SubmitSignals()

‎Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs‎

Lines changed: 3 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -63,8 +63,10 @@ public override void Initialize()
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_fast = EMA(underlying, 10, Resolution.Minute);
6464
_slow = EMA(underlying, 50, Resolution.Minute);
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66+
// Disable automatic exports as we manually set them
67+
SignalExport.AutomaticExportTimeSpan = null;
6668
// Set up the Collective2 Signal Export with the provided API key and system ID
67-
SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
69+
SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
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6971
// Set warm-up period for the indicators
7072
SetWarmUp(50);

‎Algorithm.Python/Collective2PortfolioSignalExportDemonstrationAlgorithm.py‎

Lines changed: 5 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -54,7 +54,11 @@ def initialize(self):
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# Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
5555
self.collective2_system_id = 0
5656

57-
self.signal_export.add_signal_export_providers(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
57+
# Disable automatic exports as we manually set them
58+
self.signal_export.automatic_export_time_span = None
59+
60+
# Set Collective2 signal export provider
61+
self.signal_export.add_signal_export_provider(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
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5963
self.first_call = True
6064

‎Algorithm.Python/Collective2SignalExportDemonstrationAlgorithm.py‎

Lines changed: 4 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -61,11 +61,14 @@ def initialize(self):
6161
# Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
6262
self.collective2_system_id = 0
6363

64+
# Disable automatic exports as we manually set them
65+
self.signal_export.automatic_export_time_span = None
66+
6467
# If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `use_white_label_api`:
6568
# e.g. Collective2SignalExport(self.collective2_apikey, self.collective2_system_id, use_white_label_api=True)
6669
# The API url can also be overridden by setting the Destination property:
6770
# e.g. Collective2SignalExport(self.collective2_apikey, self.collective2_system_id) { Destination = new Uri("your url") }
68-
self.signal_export.add_signal_export_providers(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
71+
self.signal_export.add_signal_export_provider(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
6972

7073
self.first_call = True
7174

‎Algorithm.Python/CrunchDAOSignalExportDemonstrationAlgorithm.py‎

Lines changed: 5 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -28,15 +28,18 @@ def initialize(self):
2828
self.set_end_date(2023, 5, 26)
2929
self.set_cash(1_000_000)
3030

31+
# Disable automatic exports as we manually set them
32+
self.signal_export.automatic_export_time_span = None
33+
3134
# Connect to CrunchDAO
3235
api_key = "" # Your CrunchDAO API key
3336
model = "" # The Id of your CrunchDAO model
3437
submission_name = "" # A name for the submission to distinguish it from your other submissions
3538
comment = "" # A comment for the submission
36-
self.signal_export.add_signal_export_providers(CrunchDAOSignalExport(api_key, model, submission_name, comment))
39+
self.signal_export.add_signal_export_provider(CrunchDAOSignalExport(api_key, model, submission_name, comment))
3740

3841
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
39-
42+
4043
# Add a custom data universe to read the CrunchDAO skeleton
4144
self.add_universe(CrunchDaoSkeleton, "CrunchDaoSkeleton", Resolution.DAILY, self.select_symbols)
4245

‎Algorithm.Python/CustomSignalExportDemonstrationAlgorithm.py‎

Lines changed: 77 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,77 @@
1+
# 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.
6+
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
8+
# Unless required by applicable law or agreed to in writing, software
9+
# distributed under the License is distributed on an "AS IS" BASIS,
10+
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
11+
# See the License for the specific language governing permissions and
12+
# limitations under the License.
13+
14+
from AlgorithmImports import *
15+
16+
### <summary>
17+
### his algorithm sends a list of portfolio targets to custom endpoint
18+
### </summary>
19+
### <meta name="tag" content="using data" />
20+
### <meta name="tag" content="using quantconnect" />
21+
### <meta name="tag" content="securities and portfolio" />
22+
class CustomSignalExportDemonstrationAlgorithm(QCAlgorithm):
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24+
def initialize(self) -> None:
25+
''' Initialize the date and add all equity symbols present in list _symbols '''
26+
27+
self.set_start_date(2013, 10, 7) #Set Start Date
28+
self.set_end_date(2013, 10, 11) #Set End Date
29+
self.set_cash(100000) #Set Strategy Cash
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# Our custom signal export accepts all asset types
32+
self.add_equity("SPY", Resolution.SECOND)
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self.add_crypto("BTCUSD", Resolution.SECOND)
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self.add_forex("EURUSD", Resolution.SECOND)
35+
self.add_future_contract(Symbol.create_future("ES", Market.CME, datetime(2023, 12, 15), None))
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self.add_option_contract(Symbol.create_option("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, datetime(2023, 9, 1)))
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# Set CustomSignalExport signal export provider.
39+
self.signal_export.add_signal_export_provider(CustomSignalExport())
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def on_data(self, data: Slice) -> None:
42+
'''Buy and hold EURUSD and SPY'''
43+
for ticker in [ "SPY", "EURUSD", "BTCUSD" ]:
44+
if not self.portfolio[ticker].invested and self.securities[ticker].has_data:
45+
self.set_holdings(ticker, 0.5)
46+
47+
from requests import post
48+
class CustomSignalExport:
49+
def send(self, parameters: SignalExportTargetParameters) -> bool:
50+
targets = [PortfolioTarget.percent(parameters.algorithm, x.symbol, x.quantity)
51+
for x in parameters.targets] ;
52+
data = [ {'symbol' : x.symbol.value, 'quantity': x.quantity} for x in targets ]
53+
response = post("http://localhost:5000/", json = data)
54+
result = response.json()
55+
success = result.get('success', False)
56+
parameters.algorithm.log(f"Send #{len(parameters.targets)} targets. Success: {success}");
57+
return success
58+
59+
def dispose(self):
60+
pass
61+
62+
'''
63+
# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
64+
# $ flask --app app run
65+
66+
# app.py:
67+
from flask import Flask, request, jsonify
68+
from json import loads
69+
app = Flask(__name__)
70+
@app.post('/')
71+
def handle_positions():
72+
result = loads(request.data)
73+
print(result)
74+
return jsonify({'success': True,'message': f'{len(result)} positions received'})
75+
if __name__ == '__main__':
76+
app.run(debug=True)
77+
'''

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