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Here is F# port of RenkoConsolidator. This sample shows: 1) Event handling in f-sharp 2) basic structure of QCAlgorithm implementation 3) how to use QuantConnect.Data.Consolidators in f-sharp 4) Magic sprintf function
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Travis Teichelmann
Good stuff! I don't have a ton of familiarity with fsharp but its good to see a little variety. Thank you for sharing Casper.
Casper Mak
But the web-platform seems not work with multiple f# source code; and .fs needs to be compiled in specific order.
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Casper Mak
no problem ;)
Jared Broad
type BasicTemplateAlgorithm() = inherit QCAlgorithm() let pdt() = new PatternDayTradingMarginModel //Implement core methods: override this.Initialize() = this.SetCash(100000) this.SetStartDate(2013, 10, 7) this.SetEndDate(2013, 10, 11) this.AddEquity("SPY", Resolution.Second) |> ignore this.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash); //ERROR: This value is not a function and cannot be applied this.Securities["SPY"].MarginModel <- pdt() //TradeBars Data Event member this.OnData(bar:TradeBars) = if not this.Portfolio.Invested then this.SetHoldings(this.Symbol("SPY"), 1) else ()The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Casper Mak
Stefano Raggi
this.Securities.Item("SPY").MarginModel <- new PatternDayTradingMarginModel()EDIT: or as @Casper suggested while I was writing:this.Securities.["SPY"].MarginModel <- new PatternDayTradingMarginModel()Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Casper Mak
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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