﻿# 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.Indicators")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Custom import *
from datetime import datetime, timedelta

### <summary>
### Using the underlying dynamic data class "Quandl" QuantConnect take care of the data
### importing and definition for you. Simply point QuantConnect to the Quandl Short Code.
### The Quandl object has properties which match the spreadsheet headers.
### If you have multiple quandl streams look at data.Symbol to distinguish them.
### </summary>
### <meta name="tag" content="custom data" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="quandl" />
class QuandlImporterAlgorithm(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.quandlCode = "YAHOO/INDEX_SPY";

        self.SetStartDate(2013,1,1)                                 #Set Start Date
        self.SetEndDate(datetime.today() - timedelta(1))            #Set End Date
        self.SetCash(25000)                                         #Set Strategy Cash
        self.AddData[Quandl](self.quandlCode, Resolution.Daily, TimeZones.NewYork)
        self.sma = self.SMA(self.quandlCode, 14)

    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
        if not self.Portfolio.HoldStock:
            self.SetHoldings(self.quandlCode, 1)
            self.Debug("Purchased {0} >> {1}".format(self.quandlCode, self.Time))

        self.Plot("SPY", self.sma.Current.Value)
@@ -1,5 +1,4 @@
-%EF%BB%BF
 # QU
@@ -61,16 +61,16 @@
 iduals.%0A
+
 # Lean A
@@ -1007,24 +1007,69 @@
 om import *%0A
+from QuantConnect.Python import PythonQuandl%0A
 from datetim
@@ -1846,26 +1846,68 @@
  = %22
-YAHOO/INDEX_SPY%22;%0A
+SSE/YHO%22;%0A        Quandl.SetAuthCode(%22JjAt5_5Ggmmoe5zUKipm%22)
 %0A   
@@ -1936,11 +1936,11 @@
 (201
-3,1
+4,4
 ,1) 
@@ -2180,17 +2180,30 @@
 Data
-%5B
+(
 Quandl
-%5D(
+CustomColumns, 
 self
@@ -2643,34 +2643,492 @@
 lot(
-%22SPY%22, self.sma.Current.Value)
+self.quandlCode, %22PriceSMA%22, self.sma.Current.Value)%0A        %0A# Quandl often doesn't use close columns so need to tell LEAN which is the %22value%22 column.%0Aclass QuandlCustomColumns(PythonQuandl):%0A    '''Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.'''%0A    def __init__(self):%0A        # Define ValueColumnName: cannot be None, Empty or non-existant column name%0A        self.ValueColumnName = %22last%22%0A

Update QuandlImporterAlgorithm.py