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Joseph-Matteo-ScorsoneJoseph-Matteo-Scorsone
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Initial code for DataBento Implementation.
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‎.github/workflows/build.yml‎

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name: Build & Test
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on:
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push:
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branches: ['*']
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pull_request:
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branches: [master]
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jobs:
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build:
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runs-on: ubuntu-24.04
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steps:
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- name: Checkout
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uses: actions/checkout@v2
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- name: Liberate disk space
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uses: jlumbroso/free-disk-space@main
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with:
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tool-cache: true
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large-packages: false
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docker-images: false
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swap-storage: false
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- name: Checkout Lean Same Branch
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id: lean-same-branch
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uses: actions/checkout@v2
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continue-on-error: true
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with:
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ref: ${{ github.ref }}
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repository: QuantConnect/Lean
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path: Lean
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- name: Checkout Lean Master
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if: steps.lean-same-branch.outcome != 'success'
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uses: actions/checkout@v2
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with:
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repository: QuantConnect/Lean
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path: Lean
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- name: Move Lean
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run: mv Lean ../Lean
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- uses: addnab/docker-run-action@v3
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with:
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image: quantconnect/lean:foundation
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options: --workdir /__w/Lean.DataSource.SDK/Lean.DataSource.SDK -v /home/runner/work:/__w
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shell: bash
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run: |
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# BuildDataSource
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dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
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# BuildTests
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dotnet build ./tests/Tests.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
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# Run Tests
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dotnet test ./tests/bin/Release/net9.0/Tests.dll

‎Demonstration.cs‎

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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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*/
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using QuantConnect.Data;
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using QuantConnect.Util;
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using QuantConnect.Orders;
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using QuantConnect.Algorithm;
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using QuantConnect.DataSource;
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namespace QuantConnect.DataLibrary.Tests
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{
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/// <summary>
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/// Example algorithm using the custom data type as a source of alpha
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/// </summary>
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public class CustomDataAlgorithm : QCAlgorithm
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{
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private Symbol _customDataSymbol;
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private Symbol _equitySymbol;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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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); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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_equitySymbol = AddEquity("SPY").Symbol;
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_customDataSymbol = AddData<DataBentoDataType>(_equitySymbol).Symbol;
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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var data = slice.Get<DataBentoDataType>();
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if (!data.IsNullOrEmpty())
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{
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// based on the custom data property we will buy or short the underlying equity
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if (data[_customDataSymbol].SomeCustomProperty == "buy")
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{
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SetHoldings(_equitySymbol, 1);
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}
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else if (data[_customDataSymbol].SomeCustomProperty == "sell")
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{
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SetHoldings(_equitySymbol, -1);
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status.IsFill())
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{
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Debug($"Purchased Stock: {orderEvent.Symbol}");
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}
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}
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}
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}

‎DemonstrationUniverse.cs‎

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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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*/
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.DataSource;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example algorithm using the custom data type as a source of alpha
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/// </summary>
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public class CustomDataUniverse : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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// Data ADDED via universe selection is added with Daily resolution.
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UniverseSettings.Resolution = Resolution.Daily;
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SetStartDate(2022, 2, 14);
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SetEndDate(2022, 2, 18);
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SetCash(100000);
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// add a custom universe data source (defaults to usa-equity)
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var universe = AddUniverse<DataBentoDataUniverse>(data =>
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{
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foreach (DataBentoDataUniverse datum in data)
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{
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Log($"{datum.Symbol},{datum.SomeCustomProperty},{datum.SomeNumericProperty}");
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}
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// define our selection criteria
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return from DataBentoDataUniverse d in data
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where d.SomeCustomProperty == "buy"
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select d.Symbol;
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});
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var history = History(universe, 1).ToList();
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if (history.Count != 1)
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{
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throw new System.Exception($"Unexpected historical data count!");
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}
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foreach (var dataForDate in history)
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{
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var coarseData = dataForDate.ToList();
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if (coarseData.Count < 300)
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{
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throw new System.Exception($"Unexpected historical universe data!");
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}
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}
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}
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/// <summary>
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/// Event fired each time that we add/remove securities from the data feed
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/// </summary>
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/// <param name="changes">Security additions/removals for this time step</param>
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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Log(changes.ToString());
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}
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}
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}

‎Lean.DataSource.DataBento.sln‎

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Microsoft Visual Studio Solution File, Format Version 12.00
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# Visual Studio Version 17
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VisualStudioVersion = 17.5.2.0
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MinimumVisualStudioVersion = 10.0.40219.1
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuantConnect.DataSource", "QuantConnect.DataSource.csproj", "{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "DataProcessing", "DataProcessing\DataProcessing.csproj", "{4B379C8F-16CE-1972-73E3-C14F6410D428}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Tests", "tests\Tests.csproj", "{9CF47860-2CEA-F379-09D8-9AEF27965D12}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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Release|Any CPU = Release|Any CPU
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.Build.0 = Release|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.Build.0 = Release|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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GlobalSection(ExtensibilityGlobals) = postSolution
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SolutionGuid = {CE272A88-90FF-4452-B402-D3AD0D08FB15}
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EndGlobalSection
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EndGlobal

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