Adds Custom Data from US Energy Information Administration (eia.gov) (Q…

…uantConnect#3136) New custom data class USEnergyInformation with new demonstration algorithms, the updated config file for users to set their EIA token. Adds `CloseTime` to represent the time that the data period end. `EndTime` represents, in turn, the time the data is emitted. There is an offset between `CloseTime` and `EndTime` that is defined by the difference between the last bar as emitted and its time. In live mode, if the `USEnergyInformation.Reader` returns null, the `CollectionSubscriptionDataSourceReader.Read` method will pull for new data constantly. Therefore it should return an empty `BaseDataCollection` object.
danielleiszen · May 1, 2019 · 3f00762 · 3f00762
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diff --git a/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj b/Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj
@@ -258,6 +258,7 @@
     <Compile Include="UniverseSelectionDefinitionsAlgorithm.cs" />
     <Compile Include="UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm.cs" />
     <Compile Include="UniverseSharingSubscriptionRequestRegressionAlgorithm.cs" />
+    <Compile Include="USEnergyInformationAdministrationAlgorithm.cs" />
     <Compile Include="UserDefinedUniverseAlgorithm.cs" />
     <Compile Include="VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm.cs" />
     <Compile Include="WarmupAlgorithm.cs" />

diff --git a/Algorithm.CSharp/USEnergyInformationAdministrationAlgorithm.cs b/Algorithm.CSharp/USEnergyInformationAdministrationAlgorithm.cs
@@ -0,0 +1,92 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Custom;
+using QuantConnect.Data.Custom.Tiingo;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example algorithm shows how to import and use Tiingo daily prices data.
+    /// </summary>
+    /// <meta name="tag" content="strategy example" />
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="custom data" />
+    /// <meta name="tag" content="tiingo" />
+    public class USEnergyInformationAdministrationAlgorithm : QCAlgorithm
+    {
+        private const string tiingoTicker = "AAPL";
+        private const string energyTicker = "NUC_STATUS.OUT.US.D";  // US nuclear capacity outage (Daily)
+        private Symbol _tiingoSymbol;
+        private Symbol _energySymbol;
+
+        private ExponentialMovingAverage _emaFast;
+        private ExponentialMovingAverage _emaSlow;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2017, 1, 1);
+            SetEndDate(2017, 12, 31);
+            SetCash(100000);
+
+            // Set your Tiingo API Token here
+            Tiingo.SetAuthCode("my-tiingo-api-token");
+            // Set your US Energy Information Administration (EIA) Token here
+            USEnergyInformation.SetAuthCode("my-us-energy-information-api-token");
+
+            _tiingoSymbol = AddData<TiingoDailyData>(tiingoTicker, Resolution.Daily).Symbol;
+            _energySymbol = AddData<USEnergyInformation>(energyTicker).Symbol;
+
+            _emaFast = EMA(_tiingoSymbol, 5);
+            _emaSlow = EMA(_tiingoSymbol, 10);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            // Extract Tiingo data from the slice
+            var tiingoData = slice.Get<TiingoDailyData>();
+            foreach (var row in tiingoData.Values)
+            {
+                Log($"{Time} - {row.Symbol.Value} - {row.Close} {row.Value} {row.Price} - EmaFast:{_emaFast} - EmaSlow:{_emaSlow}");
+            }
+
+            // Extract US EIA data from the slice
+            var energyData = slice.Get<USEnergyInformation>();
+            foreach (var row in energyData.Values)
+            {
+                Log($"{Time} - {row.Symbol.Value} - {row.Value} ");
+            }
+
+            // Simple EMA cross
+            if (!Portfolio.Invested && _emaFast > _emaSlow)
+            {
+                SetHoldings(_tiingoSymbol, 1);
+            }
+            else if (Portfolio.Invested && _emaFast < _emaSlow)
+            {
+                Liquidate(_tiingoSymbol);
+            }
+        }
+    }
+}
diff --git a/Algorithm.Python/QuantConnect.Algorithm.Python.csproj b/Algorithm.Python/QuantConnect.Algorithm.Python.csproj
@@ -54,6 +54,7 @@
     <Content Include="Alphas\TripleLeverageETFPairVolatilityDecayAlpha.py" />
     <Content Include="Alphas\VIXDualThrustAlpha.py" />
     <Content Include="BasicSetAccountCurrencyAlgorithm.py" />
+    <Content Include="USEnergyInformationAdministrationAlgorithm.py" />
     <None Include="RawPricesUniverseRegressionAlgorithm.py" />
     <None Include="CapmAlphaRankingFrameworkAlgorithm.py" />
     <None Include="SmaCrossUniverseSelectionAlgorithm.py" />

diff --git a/Algorithm.Python/USEnergyInformationAdministrationAlgorithm.py b/Algorithm.Python/USEnergyInformationAdministrationAlgorithm.py
@@ -0,0 +1,73 @@
+# 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.Custom import USEnergyInformation
+from QuantConnect.Data.Custom.Tiingo import *
+
+### <summary>
+### This example algorithm shows how to import and use Tiingo daily prices data.
+### </summary>
+### <meta name="tag" content="strategy example" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="custom data" />
+### <meta name="tag" content="tiingo" />
+class USEnergyInformationAdministrationAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        # Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        self.SetStartDate(2017, 1, 1)
+        self.SetEndDate(2017, 12, 31)
+        self.SetCash(100000)
+
+        # Set your Tiingo API Token here
+        Tiingo.SetAuthCode("my-tiingo-api-token")
+        # Set your US Energy Information Administration (EIA) API Token here
+        USEnergyInformation.SetAuthCode("my-us-energy-information-api-token")
+
+
+        self.tiingoTicker = "AAPL"
+        self.energyTicker = "NUC_STATUS.OUT.US.D"
+        self.tiingoSymbol = self.AddData(TiingoDailyData, self.tiingoTicker, Resolution.Daily).Symbol
+        self.energySymbol = self.AddData(USEnergyInformation, self.energyTicker).Symbol
+
+
+        self.emaFast = self.EMA(self.tiingoSymbol, 5)
+        self.emaSlow = self.EMA(self.tiingoSymbol, 10)
+
+
+    def OnData(self, slice):
+        # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        if (not slice.ContainsKey(self.tiingoTicker)) or (not slice.ContainsKey(self.energyTicker)): return
+
+        # Extract Tiingo data from the slice
+        tiingoRow = slice[self.tiingoTicker]
+        energyRow = slice[self.energyTicker]
+
+        self.Log(f"{self.Time} - {tiingoRow.Symbol.Value} - {tiingoRow.Close} {tiingoRow.Value} {tiingoRow.Price} - EmaFast:{self.emaFast} - EmaSlow:{self.emaSlow}")
+        self.Log(f"{self.Time} - {energyRow.Symbol.Value} - {energyRow.Value}")
+
+        # Simple EMA cross
+        if not self.Portfolio.Invested and self.emaFast > self.emaSlow:
+            self.SetHoldings(self.tiingoSymbol, 1)
+
+        elif self.Portfolio.Invested and self.emaFast < self.emaSlow:
+            self.Liquidate(self.tiingoSymbol)