Adds QuantBook Support/Example (#22)

* Adds QuantBook Support/Example

* Fixes GitHub CI Space

.github/workflows/build.yml

@@ -9,11 +9,18 @@ on:
 jobs:
   build:
     runs-on: ubuntu-20.04
-    container:
-        image: quantconnect/lean:foundation
+
     steps:
       - uses: actions/checkout@v2
 
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+
+      - name: Pull Foundation Image
+        uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+
       - name: Checkout Lean Same Branch
         id: lean-same-branch
         uses: actions/checkout@v2

DataProcessing/DataProcessing.csproj

@@ -8,6 +8,7 @@
     <ItemGroup>
         <PackageReference Include="QuantConnect.Lean.Engine" Version="2.5.*"/>
         <PackageReference Include="QuantConnect.Research" Version="2.5.*"/>
+        <PackageReference Include="QuantConnect.Messaging" Version="2.5.*"/>
         <PackageReference Include="QuantConnect.pythonnet" Version="2.0.*" />
         <PackageReference Include="fasterflect" Version="3.0.0" />
     </ItemGroup>

DataProcessing/process.sample.ipynb

@@ -2,25 +2,61 @@
  "cells": [
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 1,
    "id": "9b8eae46",
-   "metadata": {},
+   "metadata": {
+    "tags": []
+   },
    "outputs": [],
    "source": [
     "# CLRImports is required to handle Lean C# objects for Mapped Datasets (Single asset and Universe Selection)\n",
+    "# Requirements:\n",
+    "# python -m pip install clr-loader==0.1.7\n",
+    "# python -m pip install pythonnet==3.0.0a2\n",
+    "# This script must be executed in ./bin/Debug/net6.0 after the follwing command is executed\n",
+    "# dotnet build .\\DataProcessing\\\n",
+    "import os\n",
     "from CLRImports import *\n",
     "\n",
+    "# To use QuantBook, we need to set its internal handlers\n",
+    "# We download LEAN confif with the default settings \n",
+    "with open(\"quantbook.json\", 'w') as fp:\n",
+    "    from requests import get\n",
+    "    response = get(\"https://raw.githubusercontent.com/QuantConnect/Lean/master/Launcher/config.json\")\n",
+    "    fp.write(response.text)\n",
+    "\n",
+    "Config.SetConfigurationFile(\"quantbook.json\")\n",
+    "Config.Set(\"composer-dll-directory\", os.path.abspath(''))\n",
+    "\n",
+    "# Set the data folder\n",
+    "Config.Set(\"data-folder\", '<path-to-data-folder>')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "6ddc2ed2-5690-422c-8c91-6e6f64dd45cb",
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [],
+   "source": [
     "# To generate the Security Identifier, we need to create and initialize the Map File Provider\n",
     "# and call the SecurityIdentifier.GenerateEquity method\n",
     "mapFileProvider = LocalZipMapFileProvider()\n",
     "mapFileProvider.Initialize(DefaultDataProvider())\n",
-    "sid = SecurityIdentifier.GenerateEquity(\"BAC\", Market.USA, True, mapFileProvider, datetime(2022, 3, 1))"
+    "sid = SecurityIdentifier.GenerateEquity(\"SPY\", Market.USA, True, mapFileProvider, datetime(2022, 3, 1))\n",
+    "\n",
+    "qb = QuantBook()\n",
+    "symbol = Symbol(sid, \"SPY\")\n",
+    "history = qb.History(symbol, 3600, Resolution.Daily)\n",
+    "print(history)"
    ]
   }
  ],
  "metadata": {
   "kernelspec": {
-   "display_name": "Python 3",
+   "display_name": "Python 3 (ipykernel)",
    "language": "python",
    "name": "python3"
   },
@@ -34,7 +70,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.6.13"
+   "version": "3.8.13"
   }
  },
  "nbformat": 4,

DataProcessing/process.sample.py

@@ -1,8 +1,32 @@
 # CLRImports is required to handle Lean C# objects for Mapped Datasets (Single asset and Universe Selection)
+# Requirements:
+# python -m pip install clr-loader==0.1.7
+# python -m pip install pythonnet==3.0.0a2
+# This script must be executed in ./bin/Debug/net6.0 after the follwing command is executed
+# dotnet build .\DataProcessing\
+import os
 from CLRImports import *
 
+# To use QuantBook, we need to set its internal handlers
+# We download LEAN confif with the default settings 
+with open("quantbook.json", 'w') as fp:
+    from requests import get
+    response = get("https://raw.githubusercontent.com/QuantConnect/Lean/master/Launcher/config.json")
+    fp.write(response.text)
+
+Config.SetConfigurationFile("quantbook.json")
+Config.Set("composer-dll-directory", os.path.dirname(os.path.realpath(__file__)))
+
+# Set the data folder
+Config.Set("data-folder", '<path-to-data-folder>')
+
 # To generate the Security Identifier, we need to create and initialize the Map File Provider
 # and call the SecurityIdentifier.GenerateEquity method
 mapFileProvider = LocalZipMapFileProvider()
 mapFileProvider.Initialize(DefaultDataProvider())
-sid = SecurityIdentifier.GenerateEquity("BAC", Market.USA, True, mapFileProvider, datetime(2022, 3, 1))
+sid = SecurityIdentifier.GenerateEquity("SPY", Market.USA, True, mapFileProvider, datetime(2022, 3, 1))
+
+qb = QuantBook()
+symbol = Symbol(sid, "SPY")
+history = qb.History(symbol, 3600, Resolution.Daily)
+print(history)