# 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 import *

from QuantConnect.Data.Market import *

from QuantConnect.Interfaces import *

from QuantConnect.Securities import *

from QuantConnect.Securities.Interfaces import *

class TickDataFilteringAlgorithm(QCAlgorithm):

'''Tick Filter Example'''

def Initialize(self):

'''Initialize the tick filtering example algorithm'''

self.SetStartDate(2013,10,07) #Set Start Date

self.SetEndDate(2013,10,11) #Set End Date

self.SetCash(25000) #Set Strategy Cash

# Find more symbols here: http://quantconnect.com/data

self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick)

# Add our custom data filter.

self.Securities["SPY"].DataFilter = ExchangeDataFilter(self)

def OnData(self, data):

'''Data arriving here will now be filtered.

Arguments:

data: Ticks data array

'''

if not data.ContainsKey("SPY"): return

spyTickList = data["SPY"]

#Ticks return a list of ticks this second

for tick in spyTickList:

self.Log(tick.Exchange)

if not self.Portfolio.Invested:

self.SetHoldings("SPY", 1)

class ExchangeDataFilter(ISecurityDataFilter):

'''Exchange filter class'''

def __init__(self, algo):

'''Save instance of the algorithm namespace'''

self.__algo = algo

def Filter(self, asset, data):

'''Filter out a tick from this vehicle, with this new data:

Arguments:

data: New data packet

asset: Vehicle of this filter.

Returns:

TRUE: Accept Tick

FALSE: Reject Tick

'''

return type(data) == Tick and data.Exchange == "P"