Adds Custom Signal Export Example

Algorithm.CSharp/Collective2PortfolioSignalExportDemonstrationAlgorithm.cs

@@ -80,8 +80,10 @@ public override void Initialize()
             // Initialize this flag, to check when the ema indicators crosses between themselves
             _emaFastIsNotSet = true;
 
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
             // Set Collective2 signal export provider
-            SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
+            SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             SetWarmUp(100);
         }

Algorithm.CSharp/Collective2SignalExportDemonstrationAlgorithm.cs

@@ -95,12 +95,15 @@ public override void Initialize()
             // Initialize this flag, to check when the ema indicators crosses between themselves
             _emaFastIsNotSet = true;
 
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
+
             // Set Collective2 signal export provider.
             // If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `useWhiteLabelApi`:
             // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId, useWhiteLabelApi: true)
             // The API url can also be overridden by setting the Destination property:
             // e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId) { Destination = new Uri("your url") }
-            SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
+            SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             SetWarmUp(100);
         }

Algorithm.CSharp/CustomSignalExportDemonstrationAlgorithm.cs

@@ -0,0 +1,113 @@
+/*
+ * 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.
+*/
+
+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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm sends a list of portfolio targets to custom endpoint
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="securities and portfolio" />
+    public class CustomSignalExportDemonstrationAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialize the date and add all equity symbols present
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            /// 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)));
+
+            // Set CustomSignalExport signal export provider.
+            SignalExport.AddSignalExportProvider(new CustomSignalExport());
+        }
+
+        /// <summary>
+        /// Buy and hold EURUSD and SPY
+        /// </summary>
+        /// <param name="slice"></param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
+            {
+                if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
+                {
+                    SetHoldings(ticker, 0.5m);
+                }
+            }
+        }
+    }
+
+    internal class CustomSignalExport : ISignalExportTarget
+    {
+        private readonly Uri _requestUri = new ("http://localhost:5000/");
+        private readonly HttpClient _httpClient = new();
+
+        public bool Send(SignalExportTargetParameters parameters)
+        {
+            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;
+        }
+
+        public void Dispose() => _httpClient.Dispose();
+    }
+}
+
+/*
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
+# $ flask --app app run 
+
+# app.py:
+from flask import Flask, request, jsonify
+from json import loads
+app = Flask(__name__)
+@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.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs

@@ -43,6 +43,7 @@ public override void Initialize()
 
             _index = AddIndex("SPX").Symbol;
             _equity = AddEquity("SPY").Symbol;
+            SignalExport.AutomaticExportTimeSpan = null;
             _signalExportManagerTest = new SignalExportManagerTest(this);
             Securities[_index].IsTradable = IsTradable;
         }

Algorithm.CSharp/NumeraiSignalExportDemonstrationAlgorithm.cs

@@ -64,7 +64,12 @@ public override void Initialize()
             var numeraiModelId = "";
 
             var numeraiFilename = ""; // (Optional) Replace this value with your submission filename 
-            SignalExport.AddSignalExportProviders(new NumeraiSignalExport(numeraiPublicId, numeraiSecretId, numeraiModelId, numeraiFilename));
+
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
+
+            // Set Numerai signal export provider
+            SignalExport.AddSignalExportProvider(new NumeraiSignalExport(numeraiPublicId, numeraiSecretId, numeraiModelId, numeraiFilename));
         }
 
         public void SubmitSignals()

Algorithm.CSharp/RegressionTests/Collective2IndexOptionAlgorithm.cs

@@ -63,8 +63,10 @@ public override void Initialize()
             _fast = EMA(underlying, 10, Resolution.Minute);
             _slow = EMA(underlying, 50, Resolution.Minute);
 
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
             // Set up the Collective2 Signal Export with the provided API key and system ID
-            SignalExport.AddSignalExportProviders(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
+            SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
 
             // Set warm-up period for the indicators
             SetWarmUp(50);

Algorithm.Python/Collective2PortfolioSignalExportDemonstrationAlgorithm.py

@@ -54,7 +54,11 @@ def initialize(self):
         # Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
         self.collective2_system_id = 0
 
-        self.signal_export.add_signal_export_providers(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
+        # Disable automatic exports as we manually set them
+        self.signal_export.automatic_export_time_span = None
+
+        # Set Collective2 signal export provider
+        self.signal_export.add_signal_export_provider(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
 
         self.first_call = True
 

Algorithm.Python/Collective2SignalExportDemonstrationAlgorithm.py

@@ -61,11 +61,14 @@ def initialize(self):
         # Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
         self.collective2_system_id = 0
 
+        # Disable automatic exports as we manually set them
+        self.signal_export.automatic_export_time_span = None
+
         # If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `use_white_label_api`:
         # e.g. Collective2SignalExport(self.collective2_apikey, self.collective2_system_id, use_white_label_api=True)
         # The API url can also be overridden by setting the Destination property:
         # e.g. Collective2SignalExport(self.collective2_apikey, self.collective2_system_id) { Destination = new Uri("your url") }
-        self.signal_export.add_signal_export_providers(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
+        self.signal_export.add_signal_export_provider(Collective2SignalExport(self.collective2_apikey, self.collective2_system_id))
 
         self.first_call = True
 

Algorithm.Python/CrunchDAOSignalExportDemonstrationAlgorithm.py

@@ -28,15 +28,18 @@ def initialize(self):
         self.set_end_date(2023, 5, 26)
         self.set_cash(1_000_000)
 
+        # Disable automatic exports as we manually set them
+        self.signal_export.automatic_export_time_span = None
+
         # Connect to CrunchDAO
         api_key = ""            # Your CrunchDAO API key
         model = ""              # The Id of your CrunchDAO model
         submission_name = ""    # A name for the submission to distinguish it from your other submissions
         comment = ""            # A comment for the submission
-        self.signal_export.add_signal_export_providers(CrunchDAOSignalExport(api_key, model, submission_name, comment))
+        self.signal_export.add_signal_export_provider(CrunchDAOSignalExport(api_key, model, submission_name, comment))
 
         self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
-
+        
         # Add a custom data universe to read the CrunchDAO skeleton
         self.add_universe(CrunchDaoSkeleton, "CrunchDaoSkeleton", Resolution.DAILY, self.select_symbols)
 

Algorithm.Python/CustomSignalExportDemonstrationAlgorithm.py

@@ -0,0 +1,77 @@
+# 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 AlgorithmImports import *
+
+### <summary>
+### his algorithm sends a list of portfolio targets to custom endpoint
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="securities and portfolio" />
+class CustomSignalExportDemonstrationAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        ''' Initialize the date and add all equity symbols present in list _symbols '''
+
+        self.set_start_date(2013, 10, 7)   #Set Start Date
+        self.set_end_date(2013, 10, 11)    #Set End Date
+        self.set_cash(100000)             #Set Strategy Cash
+
+        # 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)))
+
+        # Set CustomSignalExport signal export provider.
+        self.signal_export.add_signal_export_provider(CustomSignalExport())
+
+    def on_data(self, data: Slice) -> None:
+        '''Buy and hold EURUSD and SPY'''
+        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:
+        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()
+        success = result.get('success', False)
+        parameters.algorithm.log(f"Send #{len(parameters.targets)} targets. Success: {success}");
+        return success      
+
+    def dispose(self):
+        pass
+
+'''
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
+# $ flask --app app run 
+
+# app.py:
+from flask import Flask, request, jsonify
+from json import loads
+app = Flask(__name__)
+@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/NumeraiSignalExportDemonstrationAlgorithm.py

@@ -55,7 +55,12 @@ def initialize(self):
         numerai_model_id = ""
 
         numerai_filename = "" # (Optional) Replace this value with your submission filename 
-        self.signal_export.add_signal_export_providers(NumeraiSignalExport(numerai_public_id, numerai_secret_id, numerai_model_id, numerai_filename))
+
+        # Disable automatic exports as we manually set them
+        self.signal_export.automatic_export_time_span = None
+
+        # Set Numerai signal export provider
+        self.signal_export.add_signal_export_provider(NumeraiSignalExport(numerai_public_id, numerai_secret_id, numerai_model_id, numerai_filename))
 
 
     def submit_signals(self):

AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs

@@ -38,6 +38,7 @@
 using QuantConnect.Data.Market;
 using QuantConnect.Algorithm.Framework.Alphas.Analysis;
 using QuantConnect.Commands;
+using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
 
 namespace QuantConnect.AlgorithmFactory.Python.Wrappers
 {
@@ -564,6 +565,12 @@ public int ProjectId
         /// </summary>
         public StatisticsResults Statistics => _baseAlgorithm.Statistics;
 
+        /// <summary>
+        /// SignalExport - Allows sending export signals to different 3rd party API's. For example, it allows to send signals
+        /// to Collective2, CrunchDAO and Numerai API's
+        /// </summary>
+        public SignalExportManager SignalExport => ((QCAlgorithm)_baseAlgorithm).SignalExport;
+
         /// <summary>
         /// Set a required SecurityType-symbol and resolution for algorithm
         /// </summary>