Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
using System; using System.Collections.Generic; using System.Diagnostics; namespace QuantConnect { public class BasicTemplateAlgorithm : QCAlgorithm { private List<CoarseFundamental> lst = new List<CoarseFundamental>(); // in order to save prices when adding universe public override void Initialize() { SetCash(100000); SetStartDate(2017, 9, 6); SetEndDate(2017, 9, 7); AddUniverse(coarse => { List<string> testSymbolSet = new List<string>(); testSymbolSet.Add("A"); testSymbolSet.Add("AA"); lst = coarse.Where(c => testSymbolSet.Contains(c.Symbol.Value)).ToList(); // save prices Debug(" ---- Adding universe, " + Time + " ----"); // output prices foreach (CoarseFundamental x in lst) { Debug(x.Symbol.ToString() + ", price: " + x.Price.ToString() + ", volume: " + x.Volume.ToString() + " at " + Time.ToString() ); } var selected_coarse = lst.Select(c => c.Symbol).ToList(); return selected_coarse; }); var spy = AddEquity("SPY", Resolution.Minute).Symbol; Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 5), showData); } private void showData() { if (lst.Count() == 0) return; // somewhy, on the first day AddUniverse is called after this function is finished Debug(" ---- Scheduled function, " + Time + " ----"); foreach (var x in Portfolio.Values) { if (x.Symbol.ToString() == "SPY") continue; var hist = History(x.Symbol, 6); // take price at last minute of previous day Debug(x.Symbol.ToString() + ", history price for " + hist.First().EndTime.ToString() + ": " + hist.First().Price.ToString() + ", AddUniverse price: " + lst.Where(y => y.Symbol.ToString() == x.Symbol.ToString()).First().Price.ToString()); Debug(x.Symbol.ToString() + ", history volume for " + hist.First().EndTime.ToString() + ": " + hist.First().Volume.ToString() + ", AddUniverse volume: " + lst.Where(y => y.Symbol.ToString() == x.Symbol.ToString()).First().Volume.ToString()); } } } }