Improves Custom Signal Example

Shows how to send signals with quantity instead of weight.

Author: AlexCatarino

Algorithm.CSharp/CustomSignalExportDemonstrationAlgorithm.cs

@@ -14,11 +14,13 @@
 */
 
 using Newtonsoft.Json;
+using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
 using QuantConnect.Api;
 using QuantConnect.Data;
 using QuantConnect.Interfaces;
 using System;
+using System.Linq;
 using System.Net.Http;
 using System.Net.Http.Json;
 using System.Text;
@@ -43,6 +45,7 @@ public override void Initialize()
 
             /// Our custom signal export accepts all asset types
             AddEquity("SPY", Resolution.Second);
+            AddCrypto("BTCUSD", Resolution.Second);
             AddForex("EURUSD", Resolution.Second);
             AddFutureContract(QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null));
             AddOptionContract(QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)));
@@ -57,7 +60,7 @@ public override void Initialize()
         /// <param name="slice"></param>
         public override void OnData(Slice slice)
         {
-            foreach (var ticker in new[] { "SPY", "EURUSD" })
+            foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
             {
                 if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
                 {
@@ -74,10 +77,17 @@ internal class CustomSignalExport : ISignalExportTarget
 
         public bool Send(SignalExportTargetParameters parameters)
         {
-            var message = JsonConvert.SerializeObject(parameters.Targets);
+            object SimplePayload(PortfolioTarget target)
+            {
+                var newTarget = PortfolioTarget.Percent(parameters.Algorithm, target.Symbol, target.Quantity);
+                return new { symbol = newTarget.Symbol.Value, quantity = newTarget.Quantity };
+            };
+
+            var message = JsonConvert.SerializeObject(parameters.Targets.Select(SimplePayload));
             using var httpMessage = new StringContent(message, Encoding.UTF8, "application/json");
             using HttpResponseMessage response = _httpClient.PostAsync(_requestUri, httpMessage).Result;
             var result = response.Content.ReadFromJsonAsync<RestResponse>().Result;
+            parameters.Algorithm.Log($"Send #{parameters.Targets.Count} targets. Success: {result.Success}");
             return result.Success;
         }
 
@@ -95,6 +105,7 @@ from json import loads
 @app.post('/')
 def handle_positions():
     result = loads(request.data)
+    print(result)
     return jsonify({'success': True,'message': f'{len(result)} positions received'})
 if __name__ == '__main__':
     app.run(debug=True)

Algorithm.Python/CustomSignalExportDemonstrationAlgorithm.py

@@ -30,6 +30,7 @@ def initialize(self) -> None:
 
         # Our custom signal export accepts all asset types
         self.add_equity("SPY", Resolution.SECOND)
+        self.add_crypto("BTCUSD", Resolution.SECOND)
         self.add_forex("EURUSD", Resolution.SECOND)
         self.add_future_contract(Symbol.create_future("ES", Market.CME, datetime(2023, 12, 15), None))
         self.add_option_contract(Symbol.create_option("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, datetime(2023, 9, 1)))
@@ -39,17 +40,21 @@ def initialize(self) -> None:
 
     def on_data(self, data: Slice) -> None:
         '''Buy and hold EURUSD and SPY'''
-        for ticker in [ "SPY", "EURUSD" ]:
+        for ticker in [ "SPY", "EURUSD", "BTCUSD" ]:
             if not self.portfolio[ticker].invested and self.securities[ticker].has_data:
                 self.set_holdings(ticker, 0.5)
 
 from requests import post
 class CustomSignalExport:
     def send(self, parameters: SignalExportTargetParameters) -> bool:
-        data = { x.symbol.value: x.quantity for x in parameters.targets }
+        targets = [PortfolioTarget.percent(parameters.algorithm, x.symbol, x.quantity) 
+                   for x in parameters.targets] ;
+        data = [ {'symbol' : x.symbol.value, 'quantity': x.quantity} for x in targets ]
         response = post("http://localhost:5000/", json = data)
         result = response.json()
-        return result.get('success', False)        
+        success = result.get('success', False)
+        parameters.algorithm.log(f"Send #{len(parameters.targets)} targets. Success: {success}");
+        return success      
 
     def dispose(self):
         pass
@@ -64,6 +69,7 @@ def dispose(self):
 @app.post('/')
 def handle_positions():
     result = loads(request.data)
+    print(result)
     return jsonify({'success': True,'message': f'{len(result)} positions received'})
 if __name__ == '__main__':
     app.run(debug=True)