Standarize implementation (#5)

* Standarize implementation - Standarize implementation. See QuantConnect/Lean#7837 - Adjust and fix example algorithms * Minor tz tweak
QuantConnect · Mar 12, 2024 · d2fc0b0 · d2fc0b0
1 parent 7a83e9e
commit d2fc0b0
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Showing 6 changed files with 49 additions and 20 deletions.
diff --git a/CoinGeckoUniverse.cs b/CoinGeckoUniverse.cs
@@ -14,7 +14,9 @@
  *
 */
 
+using NodaTime;
 using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
 using System;
 using System.Globalization;
 using System.IO;
@@ -24,7 +26,7 @@ namespace QuantConnect.DataSource
     /// <summary>
     /// Universe Selection Data for Coin Gecko data which contains Price, Volume, and Market Cap in USD for cryptocurrencies
     /// </summary>
-    public class CoinGeckoUniverse : CoinGecko
+    public class CoinGeckoUniverse : BaseDataCollection
     {
         /// <summary>
         /// Return the URL string source of the file. This will be converted to a stream
@@ -43,7 +45,8 @@ public override SubscriptionDataSource GetSource(SubscriptionDataConfig config,
                     "universe",
                     $"{date.ToStringInvariant(DateFormat.EightCharacter)}.csv"
                 ),
-                SubscriptionTransportMedium.LocalFile
+                SubscriptionTransportMedium.LocalFile,
+                FileFormat.FoldingCollection
             );
         }
 
@@ -59,9 +62,9 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
         {
             var csv = line.Split(',');
             var coin = csv[0].ToUpperInvariant();
-            var sid = SecurityIdentifier.GenerateBase(typeof(CoinGeckoUniverse), coin, Market.USA);
+            var sid = SecurityIdentifier.GenerateBase(typeof(CoinGecko), coin, Market.USA);
 
-            return new CoinGeckoUniverse
+            return new CoinGecko
             {
                 Symbol = new Symbol(sid, coin),
                 EndTime = date,
@@ -82,10 +85,14 @@ public override BaseData Clone()
                 Symbol = Symbol,
                 Time = Time,
                 EndTime = EndTime,
-                MarketCap = MarketCap,
-                Value = Value,
-                Volume = Volume
+                Data = Data
             };
         }
+
+        /// <summary>
+        /// Specifies the data time zone for this data type. This is useful for custom data types
+        /// </summary>
+        /// <returns>The <see cref="T:NodaTime.DateTimeZone" /> of this data type</returns>
+        public override DateTimeZone DataTimeZone() => DateTimeZone.Utc;
     }
 }
diff --git a/CoinGeckoUniverseSelectionAlgorithm.cs b/CoinGeckoUniverseSelectionAlgorithm.cs
@@ -38,18 +38,32 @@ public override void Initialize()
             SetCash(100000);
 
             // add a custom universe data source (defaults to usa-equity)
-            AddUniverse<CoinGeckoUniverse>("CoinGeckoUniverse", Resolution.Daily, data =>
+            var universe = AddUniverse<CoinGeckoUniverse>("CoinGeckoUniverse", Resolution.Daily, data =>
             {
-                foreach (var datum in data)
+                foreach (CoinGecko datum in data)
                 {
                     Debug($"{datum.Coin},{datum.MarketCap},{datum.Price}");
                 }
 
                 // define our selection criteria
-                return (from d in data
+                return (from CoinGecko d in data
                         orderby d.MarketCap descending
                         select d.CreateSymbol(Market.GDAX, "USD", SecurityType.Crypto)).Take(3);
             });
+
+            var history = History(universe, 2).ToList();
+            if (history.Count != 2)
+            {
+                throw new Exception($"Unexpected historical data count!");
+            }
+            foreach (var dataForDate in history)
+            {
+                var coarseData = dataForDate.ToList();
+                if (coarseData.Count < 2)
+                {
+                    throw new Exception($"Unexpected historical universe data!");
+                }
+            }
         }
 
         /// <summary>

diff --git a/CoinGeckoUniverseSelectionAlgorithm.py b/CoinGeckoUniverseSelectionAlgorithm.py
@@ -16,7 +16,7 @@
 ### <summary>
 ### Example algorithm using the custom data type as a source of alpha
 ### </summary>
-class CoinGeckoUniverseSelectionAlgorithm(QCAlgorithm): 
+class CoinGeckoUniverseSelectionAlgorithm(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. '''
 
@@ -28,7 +28,15 @@ def Initialize(self):
         self.SetCash(100000);
 
         # add a custom universe data source
-        self.AddUniverse(CoinGeckoUniverse, "CoinGeckoUniverse", Resolution.Daily, self.UniverseSelection)
+        universe = self.AddUniverse(CoinGeckoUniverse, "CoinGeckoUniverse", Resolution.Daily, self.UniverseSelection)
+
+        history = self.History(universe, TimeSpan(2, 0, 0, 0))
+        if len(history) != 2:
+            raise ValueError(f"Unexpected history count {len(history)}! Expected 2")
+
+        for dataForDate in history:
+            if len(dataForDate) < 2:
+                raise ValueError(f"Unexpected historical universe data!")
 
     def UniverseSelection(self, data):
         ''' Selected the securities

diff --git a/CoinGeckoUniverseSelectionModel.cs b/CoinGeckoUniverseSelectionModel.cs
@@ -33,15 +33,15 @@ public class CoinGeckoUniverseSelectionModel : UniverseSelectionModel
     {
         private Universe _universe;
         private UniverseSettings _universeSettings;
-        private readonly Func<IEnumerable<CoinGeckoUniverse>, IEnumerable<Symbol>> _selector;
+        private readonly Func<IEnumerable<CoinGecko>, IEnumerable<Symbol>> _selector;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="CoinGeckoUniverseSelectionModel"/> class
         /// </summary>
         /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
         /// <param name="selector">Returns the symbols that should be included in the universe</param>
         public CoinGeckoUniverseSelectionModel(
-            Func<IEnumerable<CoinGeckoUniverse>, IEnumerable<Symbol>> selector,
+            Func<IEnumerable<CoinGecko>, IEnumerable<Symbol>> selector,
             UniverseSettings universeSettings = null)
         {
             _universeSettings = universeSettings;
@@ -57,7 +57,7 @@ public CoinGeckoUniverseSelectionModel(
             PyObject selector,
             UniverseSettings universeSettings = null
         )
-            : this(selector.ConvertPythonUniverseFilterFunction<CoinGeckoUniverse>(), universeSettings)
+            : this(selector.ConvertPythonUniverseFilterFunction<CoinGecko>(), universeSettings)
         {
         }
 
@@ -66,7 +66,7 @@ public CoinGeckoUniverseSelectionModel(
         /// </summary>
         /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
         public CoinGeckoUniverseSelectionModel(UniverseSettings universeSettings = null)
-            : this((Func<IEnumerable<CoinGeckoUniverse>, IEnumerable<Symbol>>)null, universeSettings)
+            : this((Func<IEnumerable<CoinGecko>, IEnumerable<Symbol>>)null, universeSettings)
         {
             _universeSettings = universeSettings;
         }
@@ -78,7 +78,7 @@ public CoinGeckoUniverseSelectionModel(UniverseSettings universeSettings = null)
         /// <param name="data">The CoinGecko Universe data used to perform filtering</param>
         /// <exception cref="ArgumentNullException">The Selector cannot be null</exception>
         /// <returns>An enumerable of symbols passing the filter</returns>
-        public virtual IEnumerable<Symbol> Selector(QCAlgorithm algorithm, IEnumerable<CoinGeckoUniverse> data)
+        public virtual IEnumerable<Symbol> Selector(QCAlgorithm algorithm, IEnumerable<CoinGecko> data)
         {
             if (_selector != null)
             {
@@ -118,7 +118,7 @@ public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
                 .SetEntryAlwaysOpen(config.Market, ticker, config.SecurityType, config.DataTimeZone);
 
             _universe = new FuncUniverse(config, _universeSettings ??= algorithm.UniverseSettings,
-                d => Selector(algorithm, d.OfType<CoinGeckoUniverse>()));
+                d => Selector(algorithm, d.OfType<CoinGecko>()));
 
             yield return _universe;
         }

diff --git a/CoinGeckoUniverseSelectionModelAlgorithm.py b/CoinGeckoUniverseSelectionModelAlgorithm.py
@@ -16,7 +16,7 @@
 ### <summary>
 ### Example algorithm using the custom data type as a source of alpha
 ### </summary>
-class CoinGeckoUniverseSelectionModelAlgorithm(QCAlgorithm): 
+class CoinGeckoUniverseSelectionModelAlgorithm(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. '''
 

diff --git a/QuantConnect.DataSource.csproj b/QuantConnect.DataSource.csproj
@@ -10,7 +10,7 @@
   <ItemGroup>
     <PackageReference Include="QuantConnect.Algorithm.Framework" Version="2.5.*" />
     <PackageReference Include="QuantConnect.Common" Version="2.5.*" />
-    <PackageReference Include="Newtonsoft.Json" Version="12.0.3" />
+    <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
   </ItemGroup>
 
   <ItemGroup>