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.Linq; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Market; using QuantConnect.Indicators; namespace QuantConnect.Algorithm.CSharp { /// Example structure for structuring an algorithm with indicator and consolidator data for many tickers. public class MultipleSymbolConsolidationAlgorithm : QCAlgorithm { /// This is the period of bars we'll be creating public readonly TimeSpan BarPeriod = TimeSpan.FromDays(1); /// This is the period of our sma indicators public readonly int SimpleMovingAveragePeriod = 55; /// This is the number of consolidated bars we'll hold in symbol data for reference public readonly int RollingWindowSize = 10; /// Holds all of our data keyed by each symbol public readonly Dictionary<string, SymbolData> Data = new Dictionary<string, SymbolData>(); /// Contains all of our equity symbols public readonly IReadOnlyList<string> EquitySymbols = new List<string> { "AAPL", "SPY", "IBM" }; /// Contains all of our forex symbols public readonly IReadOnlyList<string> ForexSymbols = new List<string> { "EURUSD", "USDJPY", "EURGBP", "EURCHF", "USDCAD", "USDCHF", "AUDUSD", "NZDUSD", }; /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. public override void Initialize() { SetStartDate(2017, 12, 01); SetEndDate(2018, 02, 01); // Set cash allocation for backtest // In live trading this is ignored and your real account is used. SetCash(50000); // Specify the OANDA Brokerage: This gives lets us know the fee models & data. SetBrokerageModel(BrokerageName.OandaBrokerage); // initialize our equity data //foreach (var symbol in EquitySymbols) //{ // var equity = AddEquity(symbol); // Data.Add(symbol, new SymbolData(equity.Symbol, BarPeriod, RollingWindowSize)); //} // initialize our forex data foreach (var symbol in ForexSymbols) { var forex = AddForex(symbol); Data.Add(symbol, new SymbolData(forex.Symbol, BarPeriod, RollingWindowSize)); } // loop through all our symbols and request data subscriptions and initialize indicatora foreach (var kvp in Data) { // this is required since we're using closures below, for more information // see: http://stackoverflow.com/questions/14907987/access-to-foreach-variable-in-closure-warning var symbolData = kvp.Value; // define a consolidator to consolidate data for this symbol on the requested period var consolidator = symbolData.Symbol.SecurityType == SecurityType.Equity ? (IDataConsolidator)new TradeBarConsolidator(BarPeriod) : (IDataConsolidator)new QuoteBarConsolidator(BarPeriod); // define our indicator //symbolData.SMA = new SimpleMovingAverage(CreateIndicatorName(symbolData.Symbol, "SMA" + SimpleMovingAveragePeriod, Resolution.Minute), SimpleMovingAveragePeriod); symbolData.HA = new HeikinAshi(CreateIndicatorName(symbolData.Symbol, "HA", Resolution.Daily)); // wire up our consolidator to update the indicator consolidator.DataConsolidated += (sender, baseData) => { // 'bar' here is our newly consolidated data var bar = (IBaseDataBar)baseData; // update the indicator //symbolData.SMA.Update(bar.Time, bar.Close); symbolData.HA.Update(bar); // Add the latest result to history symbolData.HA_History.Add(symbolData.HA); // we're also going to add this bar to our rolling window so we have access to it later symbolData.Bars.Add(bar); }; // we need to add this consolidator so it gets auto updates SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator); } } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// <param name="data">TradeBars IDictionary object with your stock data</param> public override void OnData(Slice data) { // loop through each symbol in our structure foreach (var symbolData in Data.Values) { // this check proves that this symbol was JUST updated prior to this OnData function being called //if (symbolData.IsReady && symbolData.WasJustUpdated(Time)) //if (symbolData.HA.Open < symbolData.HA.Close) //&& (symbolData.HA[1].Open > symbolData.HA[1].Close)) if ((symbolData.HA.Open < symbolData.HA.Close) && (symbolData.HA_History.Count > 1) && (symbolData.HA_History[1].Open > symbolData.HA_History[1].Close)) { MarketOrder(symbolData.Symbol, 1); } } } /// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets). /// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks> //public override void OnEndOfDay() //{ // int i = 0; // foreach (var kvp in Data.OrderBy(x => x.Value.Symbol)) // { // we have too many symbols to plot them all, so plot ever other // if (kvp.Value.IsReady && ++i%2 == 0) // { // Plot(kvp.Value.Symbol.ToString(), kvp.Value.SMA); // } // } //} /// Contains data pertaining to a symbol in our algorithm public class SymbolData { /// This symbol the other data in this class is associated with public readonly Symbol Symbol; /// A rolling window of data, data needs to be pumped into Bars by using Bars.Update( tradeBar ) and /// can be accessed like: /// mySymbolData.Bars[0] - most first recent piece of data /// mySymbolData.Bars[5] - the sixth most recent piece of data (zero based indexing) public readonly RollingWindow<IBaseDataBar> Bars; /// The period used when population the Bars rolling window. public readonly TimeSpan BarPeriod; /// The simple moving average indicator for our symbol public SimpleMovingAverage SMA; /// The HeikinAshi indicator for our symbol public HeikinAshi HA; /// The HeikinAshi indicator history for our symbol public readonly RollingWindow<HeikinAshi> HA_History; /// Initializes a new instance of SymbolData public SymbolData(Symbol symbol, TimeSpan barPeriod, int windowSize) { Symbol = symbol; BarPeriod = barPeriod; Bars = new RollingWindow<IBaseDataBar>(windowSize); HA_History = new RollingWindow<HeikinAshi>(windowSize); } /// Returns true if all the data in this instance is ready (indicators, rolling windows, ect...) public bool IsReady { get { return Bars.IsReady && SMA.IsReady; } } /// Returns true if the most recent trade bar time matches the current time minus the bar's period, this /// indicates that update was just called on this instance /// <param name="current">The current algorithm time</param> /// <returns>True if this instance was just updated with new data, false otherwise</returns> public bool WasJustUpdated(DateTime current) { return Bars.Count > 0 && Bars[0].Time == current - BarPeriod; } } } }