from main import *
from System import *
from QuantConnect import *
from datetime import datetime, timedelta
import pandas as pd
import decimal as d
import numpy as np
class BB_Algorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015,1,1)
self.SetEndDate(2018,12,31)
self.SetCash(100000)
self.Data = {}
self.symbols = ["EURUSD", "EURGBP", "EURAUD", "EURJPY", "EURCAD",
"USDHKD", "USDJPY", "USDDKK", "USDCZK", "USDZAR",
"USDSEK", "USDSAR", "USDNOK", "USDMXN", "USDHUF"]
self.SetWarmUp(21)
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
self.SetTimeZone(DateTimeZone.Utc)
for symbol in self.symbols:
self.AddForex(symbol, Resolution.Daily, Market.Oanda)
self.Data[symbol] = self.Bolband(symbol, 21, 2, MovingAverageType.Simple, Resolution.Daily)
equity = self.AddForex(symbol, Resolution.Daily, Market.Oanda)
self.currencies = equity.Symbol
def OnData(self, data):
price = self.Securities[symbols].price
holdings = self.Portfolio[symbols].Quantity
close = self.Securities[self.currencies.value].Close
STOPLOSS_Long = self.StopmarketOrder(self.currencies, holdings, close * d.Decimal(1.0025))
STOPLOSS_Short = self.StopmarketOrder(self.currencies, holdings, close * d.Decimal(.9975))
if price >= self.Bolband.LowerBand.Current.Value:
SetHoldings(symbol, 100)
LimitOrder(self.currencies, holdings, close * d.Decimal(1.0025))
StopMarketOrder(self.currencies, holdings, close * d.Decimal(.9975))
def OnOrderEvent(self, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
if order.Status == OrderStatus.Filled:
if order.Type == OrderType.Limit or order.Type == OrderType.StopMarket:
self.Transactions.CancelOpenOrders(order.Symbol)
if order.Status == OrderStatus.Canceled:
self.Log(str(orderEvent))
