//Copyright Warren Harding 2016.
//Granted to the public domain.
//Use entirely at your own risk.
//Custom algorithm development: warrencharding@yahoo.com.
//Do not remove this copyright notice.
using System;
using System.Collections.Generic;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Securities;
namespace QuantConnect
{
public class Algo4 : QCAlgorithm
{
//You can adjust this first set to optimize.
//int atrPeriod = 15;
//decimal buyLowRatio = 0.97m;
//decimal sellHighRatio = 1.03m;
//decimal minimumAtrPercentage=0.015m;
int atrPeriod = 15;
decimal buyLowRatio = 1m;
decimal sellHighRatio = 1.01m;
decimal minimumAtrPercentage=0.005m;
//Be careful adjusting this next one, too high of a setting will result in unrealistically large
//purchases being made with no regards for slippage.
decimal ratioOfLastMinuteForMaxTrade =0.05m;
//Your broker is going to hate you if you set these too low as it will result in large amounts of unfilled
//order cancellations. It bogs down LEAN as well.
int minutesToHoldBuyOrdersFor=10;
int minutesToHoldSellOrdersFor=10;
Dictionary<string,AverageTrueRange> atrs=new Dictionary<string,AverageTrueRange>();
Dictionary<string,OrderTicket> buyOrders=new Dictionary<string,OrderTicket>();
Dictionary<string,int> buyOrderCounts = new Dictionary<string,int>();
Dictionary<string,decimal> buyOrderPrices = new Dictionary<string,decimal>();
Dictionary<string,OrderTicket> sellOrders=new Dictionary<string,OrderTicket>();
Dictionary<string,int> sellOrderCounts = new Dictionary<string,int>();
public override void Initialize()
{
SetStartDate(2016, 3, 1);
SetEndDate(2016, 4, 1);
SetCash(1000000);
//volatile etf's
//string tickersString="UVXY,XIV,NUGT,DUST,JNUG,JDUST,LABU,LABD,GUSH,DRIP,TVIX,GASL,GASX,DWTI,UWTI,DGAZ,UGAZ,UBIO,ZBIO,BRZU,RUSS,SCO,UCO,RUSL,ERY,ERX,BIOL,SVXY,VXX,SILJ,BIB,BIS,VIXY,SOXL,VIIX,SOXS,BZQ,USLV,SLVP,DSLV,GDXJ,GLDX";
//volatile stocks
//string tickersString="LGCY,CDRB,RPRX,BCEI,SXE,UNXL,LEI,ARGS,ALIM,MCEP,AREX,CWEI,DRYS,GBSN,ORIG,SRPT,DNR,CBAY,DRWI,ECR,RLYP,NADL,EVEP,SKYS,VRNG,PTCT,ERN,CLF,RESN,WG,EPE,BAS,GLF,SDRL,PLG,VYGR,HCLP,ANFI,GST,LEU,GSL,RXII,MEP,FCSC,CHMA,DSX,EMES,TDW,GNCA,CCXI,VSLR,JONE,TTPH,CNXR,CRMD,CARA,SALT,GRAM,SN,CBMX,MEMP,FMSA,CPXX,TROV,ETE,CLVS,OVAS,ENPH,OMEX,NGL,TMST,CHK,CLMT,ORPN,WLL,SM,HBM,GOL,YRD,BBG,BPT,SGYP,UNT,CNAT,RXDX,CLD,VRX,ATW,RBPAA,GLBL,PES,CIE,TKAI,AMID,AVGR,HLX,SKY,SDLP,INAP,AEGR";
//68 biggest companies ranked by market cap.
string tickersString="AAPL,GOOGL,GOOG,MSFT,XOM,BRK.A,BRK.B,FB,AMZN,JNJ,GE,WFC,T,NSRGY,CHL,JPM,RHHBY,PG,RDS.B,RDS.A,WMT,VZ,PFE,BUD,KO,BABA,CVX,TCEHY,SPY,NVS,V,DIS,HD,ORCL,TM,SSNLF,PM,MRK,BAC,PEP,CMCSA,NVO,INTC,IBM,CSCO,C,PTR,HSBC,UNH,MO,TSM,BMY,GILD,AMGN,TOT,SLB,RLNIY,MCD,MDT,CVS,MA,SNY,GSK,BTI,BP,LRLCY,MMM,IDEXY";
//848 biggest, ranked by market cap
//string tickersString="AAPL,GOOGL,GOOG,MSFT,XOM,BRK.A,BRK.B,FB,AMZN,JNJ,GE,WFC,T,NSRGY,CHL,JPM,RHHBY,PG,RDS.B,RDS.A,WMT,VZ,PFE,BUD,KO,BABA,CVX,TCEHY,SPY,NVS,V,DIS,HD,ORCL,TM,SSNLF,PM,MRK,BAC,PEP,CMCSA,NVO,INTC,IBM,CSCO,C,PTR,HSBC,UNH,MO,TSM,BMY,GILD,AMGN,TOT,SLB,RLNIY,MCD,MDT,CVS,MA,SNY,GSK,BTI,BP,LRLCY,MMM,IDEXY,SBMRY,NKE,ABBV,SAP,KHC,DCM,BAYRY,NTT,UPS,RY,SIEGY,ABEV,ITCTY,UTX,HON,VOD,BA,SNP,WBA,AGN,LVMUY,LLY,SBUX,TD,CELG,DTEGY,VLKAY,AZSEY,UN,WBK,DDAIF,QCOM,USB,UNP,BASFY,AZN,SAN,IVV,LYG,LMT,ACN,RAI,RBGLY,GS,LOW,DEO,MDLZ,BIDU,PCLN,DHR,BNPQY,LFC,COST,UBS,SFTBY,MTU,SPG,AIG,CL,BNS,AXP,AXAHY,NPSNY,BIIB,TWC,E,EFA,TWX,VTI,COP,DOW,UL,OXY,BLK,FOXA,FOX,DD,TXN,ABT,AVGO,TMO,ITUB,STO,BAMXY,BAMXF,CEO,BT,CB,TEF,DUK,NEE,EPD,NGG,HEINY,F,AMX,ANZBY,HDB,NABZY,MS,IMBBY,CRM,HNNMY,EMC,PUK,BHP,PBR,TJX,TLSYY,MET,TEVA,GM,ABB,HMC,CNI,EADSY,PYPL,ING,TGT,ADBE,ESRX,IDCBY,SU,DANOY,RIO,CKHUY,SO,EOG,CAT,SGAPY,KMB,AMT,FDX,ISNPY,VCISY,ORAN,BBVA,PNC,CTTAY,WMMVY,BK,PSX,SMFG,CTPCY,INFY,GD,D,PSA,ENLAY,BCS,BMO,ASML,BBD,MON,SYK,BCE,ADP,CHA,ENGIY,NSANY,KMI,REGN,AET,NRBAY,RBS,AIQUY,JMHLY,NFLX,PBR.A,ENB,MCK,SBGSY,TKPYY,ITW,SHPG,SCHW,RTN,SYT,NOC,COF,ANTM,MFG,SUHJY,GIS,SVNDY,QQQ,LUKOY,VWO,ASBFY,LVS,CJPRY,DPSGY,CTSH,AGG,HAL,CI,EL,LYB,EMR,JD,CFRUY,YHOO,KEP,PRU,HSNGY,PNGAY,GLNCY,BDX,KR,BACHY,LBTYB,ECL,ZURVY,PX,GLD,BAM,FMX,DNZOY,SSREY,MMC,CNQ,LBTYA,YUM,EXC,TMUS,DAL,TRV,SCGLY,HCA,BHKLY,CM,JSHLY,TSLA,LBTYK,APD,ALXN,STZ.B,AEP,TRI,CME,MURGY,STZ,HCMLY,CAJ,SNE,FANUY,WPPGY,VNQ,ALPMY,MRAAY,WIT,CS,BRDCY,HYMLF,BSX,NXPI,MTRJY,PPG,CMPGY,CCI,MNST,VALE,BBT,TRP,BBL,IWF,MFC,ETN,CRARY,PCG,SAFRY,PDRDY,SCHYY,LQD,BXLT,AFL,HPE,ICE,LUV,DBSDY,AON,SPGI,ESLOY,EBAY,CHU,IMO,LNEGY,CBS.A,VLO,KCRPY,CCL,APC,PXD,K,ECIFY,OPHLF,SCBFF,TLK,JCI,IJH,VFC,NSC,FMS,IWD,DE,HENKY,MITEY,SHW,LUX,CHT,HUM,ERIC,VIVHY,MSBHY,SCMWY,DB,WM,CSX,SYY,INTU,ADDYY,CAH,AV,EEM,SRE,TELNY,FUJHY,CBS,IWM,SYF,ORLY,ATVI,PPL,PHG,STT,EQR,YAHOY,GGP,HCN,SWDBY,TKOMY,ALL,SAXPY,BAX,AVB,VMW,CRH,TSN,CHTR,PLD,ISRG,SHECY,SKYAY,CLPHY,DG,ADM,NOK,NILSY,PEG,ZTS,DFS,AMAT,RBSPF,ATASY,EIX,ZBH,SCCO,DISH,AZO,ROST,EQIX,ABX,BBDO,EW,LB,SSEZY,BAESY,ASAZY,CP,PCRFY,BCMXY,UOVEY,ED,HTHIY,SE,BEN,ATLKY,HLT,FISV,HOKCY,MITSY,CIOXY,STJ,NJ,PPRUY,FIS,SSL,HPQ,TEL,BHI,STI,CRRFY,RYAAY,SLF,VTR,VIV,ITOCY,VRTX,TNABY,BF.A,PCAR,MPC,HGKGY,HLDCY,APA,GLW,TAP,IBN,MYL,BSBR,TLSNY,EC,HRL,TSCDY,DLPH,XEL,EONGY,SVCBY,HSY,NSSMY,DASTY,AAL,RCI,CMI,ILMN,RELX,OMC,BXP,SIRI,LGGNY,TTM,CAG,NVDA,NTDOY,ARMH,MTNOY,BF.B,ABC,EA,REPYY,CPB,MGDDY,TI,PGR,CERN,HES,MTB,NLSN,TU,PAYX,SGTZY,DLTR,TROW,LVLT,MCO,FUJIY,NTES,ESALY,NEM,UA,WEC,KUBTY,ALIOF,IX,DVN,RYCEY,WOPEY,KOF,VNO,AHONY,ETP,BDORY,ES,KYO,IJR,ROP,MAR,WPZ,IP,SOMLY,HIG,AKZOY,BX,WLMIY,HYG,RENX,CPYYY,EXPGY,FCX,BBSEY,ADI,EXPE,VIA,KKPNF,SHG,TIP,KHNGY,WLTW,SGSOY,APH,PPERY,KKPNY,CTL,DPS,IR,SWK,GG,TV,MGA,RCL,HDELY,PKX,XLF,LNKD,MSADY,MMP,WY,PUBGY,TYC,KMTUY,MJN,RSG,NTRS,CLX,IFNNY,VIAB,AMP,CGEMY,WFGPY,DTE,TS,SDXAY,VWDRY,AMTD,KRYAY,NUE,EWJ,GBOOY,HCP,DBOEY,PH,NBL,ICAGY,FRRVY,HOCPY,BCR,DVA,UAL,AEG,SNN,CICHY,CXO,HNGKY,SNDK,SJM,NMR,PFF,UCBJF,BXBLY,CHKP,ROK,TRUMY,POT,O,AA,DVY,WMB,PUSH,ESS,WOSYY,VMC,GWW,SEP,GPC,FLT,EFX,MHK,FITB,CLR,HVRRY,HOT,HSIC,PRGO,FE,AJINY,BMRN,S,NOV,KNBWY,AVIFY,SDY,INCY,FAST,AMCRY,ETR,L,TRYIY,ADSK,ITVPY,A,RHT,OCPNY,TRHF,ODMTY,PANW,GPFOY,WHR,CVE,VEOEY,SSUMY,MSI,UHS,ULTA,JNK,VRSK,TYEKF,EDPFY,ETE,AWK,QVCB,DLR,IVZ,SBAC,SDVKY,LH,SKM,SWKS,EZU,VLEEY,TSCO,CTXS,MKL,FNV,PFG,EBKDY,FRFHF,AGR,CTRP,CA,M,GIB,DIA,CMG,IWR,AKBTY,NWL,SKHSY,LRCX,TDG,NVZMY,KGFHY,CFG,RDEIY,NTIOF,FNLPF,MGM,ADS,QVCA,CCE,RF,MRO,MKC,AGU,CHD,HST,KB,IPXHY,CRZBY,UGP,KIM,AEE,NOW,BAP,CABGY,MKGAF,DISCK,DISCB,WTKWY,COL,AAP,BRFS,NXGPY,VRX,MAC,NCMGY,WNGRF,PBA,EMN,CMS,AME,AHEXY,EQT,DISCA,GZPFY,COH,DHI,MU,GPN,COG,NCLH,DIFTY,XLNX,ACGBY,HBI,YARIY,CUK,TOELY,KLAC,CSJ,CINF,SYMC,GRFS,DEG,ALV,HNP,FRT,MLM,RDSMY,XLY,AYI,DGX,LLTC,EXR,WRK,MAT,HAS,CNC,BCH,CNHI,GLPEY,WAT,SLG,SWGAY,PNR,TXT,AEM,FCAU,CE,SHY,CX,VNTV,MCHP,LNC,BBY,CHRW,KEY,GPOVY,XEC,WWNTY,ARG,UPMKY,KMX,CPGX,COTY,FRC,TWTR,DSEEY,MAKSY,KSU,MAS,DOV,MXIM,OKS,LLL,NDAQ,JRONY,BLL,CIHKY,QSR,ALNPY";
//2738
//string 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HR,ABY,ANF,STTFY,WSTC,MLI,TUMI,ABM,TFI,AAT,CHMT,CNS,AIT,MSA,VSH,DRH,UNFI,MOG.A,HAWK,MOG.B,GMED,HIMX,TGI,LILAK,ABGLF,CATM,VAC,KLXI,ATI,OIS,GLPG,GSAT,CRNCY,GWPH,NEOG,FNSR,SEAS,ROLL,GVA,LTC,VNET,SEM,JOBS,RH,MYTAY,CCOI,TSYHY,OAS,SHLD,MGLN,B,CBU,TMHC,VLP,DWRE,GWB,HTHKY,MATW,SOHU,INVVY,MWA,MDEVF,EURN,RP,GPRO,CVRR,MGEE,IBOC,TVPT,TTEK,AMED,DBD,AYR,COLB,PRTY,GNW,ASNA,OSB,ACXM,SHGKY,KALU,AHS,EGBN,GNC,CCOZY,SSB,MORE,MATX,BID,CHS,INFN,WACLY,TSRO,SONC,XHR,FCN,WDR,IOC,AXLL,GEF,SSW,ARCAY,AG,CRS,WNS,TRMK,BCO,CC,ESPGY,BWX,SIM,HAE,LILA,OPHT,JEXYY,DBVT,HL,LDBKY,BLUE,PEN,COT,EWA,NYRT,OMAM,SLCA,PLCM,BSM,EBIX,TXMD,CBM,PLAY,AKO.B,EXLS,PGND,EEQ,BOX,TVBCY,SFLY,HMY,YELP,PEI,ICUI,KMPR,DW,LTRPA,OLLI,DIN,DF,BITA,MAIN,LQ,PRLB,NXST,ATU,MRVNY,PEGI,GCP,FDML,CHOLY,FSV,FGL,ITRI,ISCB,ISCA,KFY,ISIL,UFPI,CNV,CRAY,CIGI,GLNG,GES,HUBS,PRAA,EBS,DM,KS,ONB,RDUS,PINC,FET,AF,AWR,JBT,PDS,VNOM,PFSCF,AGII,ABG,GPI,VIAV,HTLD,TAC,FMBI,HTS,LBRDA,FFG,TIME,LOGM,IMPV,TLN,IRWD,LITE,CVT,HHILY,CXRX,WETF,PLCE,PRTA,ITCI,HW,COKE,CHSP,EXAM,ZHEXY,DRII,EIGI,SWC,GCO,EDE,CHFC,ROVI,AIRM,TREX,WDFC,BANR,PVG,FELE,IVR,HQY,MFRM,SSTK,CSGS,TYG,UCBI,TSRA,MINI,LXRX,PCH,GNL,NWBI,MRC,EXPR,AZZ,NVAX,HMSY,SFL,NWN,SMSMY,SFNC,USNA,JPSWY,WAIR,KANG,SMTC,INVA,BKE,AAON,PRK,SMLP,DGI,GK,SNCR,RPT,FLTX,GRP.U,FWRD,DSGX,SHEN,PLXS,PAM,RNST,POWI,IAG,NOAH,NTGR,STMP,SBRA,NAT,RNG,SRG,NGL,SCL,SKYS,ARIA,RNHEF,HALO,CG,STAG,MTH,CYBR,DEM,AMKR,SEMG,HUBG,GOV,DNR,CIE,TTEC,CWT,DCHIF,PTLA,TOUR,FBC,THRM,SVU,CLS,BRC,ENV,AMBA,CPS,SIMO,FPRX,PFS,AINV,ABCO,HYH,PENN,ALDR,CSTE,TWOU,PZE,TLMR,FCB,PLT,EXPO,FCFS,AGRO,LZB,AEIS,SFBS,AIN,AXON,FRO,MPSX,FAX,CHSTY,SMCI,PRGS,BOFI,RMBS,MSGN,IIVI,NEWR,NPO,WYGPY,SSYS,SSP,MANT,CEQP,SIELY,CYRBY,WWE,NSR,VCO,KND,HMN,WMS,JOE,SYKE,FLOW,BBCN,SCHL,CPE,WABC,UVV,RKUS,EPE,INDB,CDE,ADX,FAS,TY,WSBC,IRCP,NAV,TPL,CYS,FIBK,YFGSF,TEAM,WMK,BLDR,MBSRF,GAB,NBTB,RGR,IYE,REXR,PRIM,EDIT,HURN,HF,TPRE,GLOB,SAGE,SKYW,FFBC,MDC,BLD,SWHC,NAVG,BTCA,PLKI,CNSL,SCOR,HUIHY,NSM,EWL,APOG,IPHI,INGXF,AXL,AMWD,IOSP,KN,ACOR,PHK,KRNY,CJREF,GBL,KWR,EGOV,ZLTQ,TNET,OPB,LTXB,ENSG,SFS,HBM,ARES,BW,OB,ACHN,AJRD,ZTCOY,ARLP,SCSS,HCHDF,UBSH,MCRB,ATNI,BETR,AEL,MCRN,CNMD,FN,KNL,ESND,KCG,BSFT,OMCL,KBH,WEICY,KAMN,ERF,GIMO,LORL,UFCS,HOLI,CYNO,FGEN,NSP,TILE,CUB,BFS,GDOT,XLRN,BNFT,BNCL,ASTE,SHWGF,IGE,MGP,OXM,FIX,CAL,KKD,OTTR,MPG,CHRYY,MEI,DV,TGP,LOCK,NSH,XTEPY,NP,NVCR,MDR,TOWN,QLGC,STNG,IRBT,BESIY,SEDG,BJRI,BTE,STPZ,NCS,BABY,ARI,SYRG,RENN,NPM,GB,MBI,RSE,SCSC,FSP,TREE,FCPT,DEPO,FOE,VRTU,EXEL,AHGP,SWM,CYOU,MXL,FRME,MDCA,BRRAY,ALRM,CACQ,SPTN,CLW,MYI,SHTGY,ORBK,MVG,BMI,INSY,ZIOP,NXTM,ROG,GLOG,AMSF,CALD,CSIQ,AWF,ABAX,ACCO,GEF.B,VLOWY,CKH,WEB,BPFH,ABCB,CCMP,WSFS,EVTC,KZMYY,BLX,FMCC,OSIS,AVG,LABL,EGHT,EPAY,CICOY";
//s&p 500
//string tickersString="ABT,ABBV,ACN,ATVI,AYI,ADBE,AAP,AES,AET,AFL,AMG,A,GAS,APD,ARG,AKAM,AA,AGN,ALXN,ALLE,ADS,ALL,GOOGL,GOOG,MO,AMZN,AEE,AAL,AEP,AXP,AIG,AMT,AWK,AMP,ABC,AME,AMGN,APH,APC,ADI,AON,APA,AIV,AAPL,AMAT,ADM,AIZ,T,ADSK,ADP,AN,AZO,AVGO,AVB,AVY,BHI,BLL,BAC,BK,BCR,BXLT,BAX,BBT,BDX,BBBY,BRK-B,BBY,BIIB,BLK,HRB,BA,BWA,BXP,BSX,BMY,BF-B,CHRW,CA,CVC,COG,CPB,COF,CAH,HSIC,KMX,CCL,CAT,CBG,CBS,CELG,CNC,CNP,CTL,CERN,CF,SCHW,CHK,CVX,CMG,CB,CHD,CI,XEC,CINF,CTAS,CSCO,C,CTXS,CLX,CME,CMS,COH,KO,CCE,CTSH,CL,CPGX,CMCSA,CMA,CAG,CXO,COP,ED,STZ,GLW,COST,CCI,CSRA,CSX,CMI,CVS,DHI,DHR,DRI,DVA,DE,DLPH,DAL,XRAY,DVN,DO,DFS,DISCA,DISCK,DG,DLTR,D,DOV,DOW,DPS,DTE,DD,DUK,DNB,ETFC,EMN,ETN,EBAY,ECL,EIX,EW,EA,EMC,EMR,ENDP,ETR,EOG,EQT,EFX,EQIX,EQR,ESS,EL,ES,EXC,EXPE,EXPD,ESRX,EXR,XOM,FFIV,FB,FAST,FRT,FDX,FIS,FITB,FSLR,FE,FISV,FLIR,FLS,FLR,FMC,FTI,FL,F,BEN,FCX,FTR,GPS,GRMN,GD,GE,GGP,GIS,GM,GPC,GILD,GPN,GS,GT,GWW,HAL,HBI,HOG,HAR,HRS,HIG,HAS,HCA,HCP,HP,HES,HPE,HOLX,HD,HON,HRL,HST,HPQ,HUM,HBAN,ITW,ILMN,IR,INTC,ICE,IBM,IP,IPG,IFF,INTU,ISRG,IVZ,IRM,JEC,JBHT,JNJ,JCI,JPM,JNPR,KSU,K,KEY,KMB,KIM,KMI,KLAC,KSS,KHC,KR,LB,LLL,LH,LRCX,LM,LEG,LEN,LVLT,LUK,LLY,LNC,LLTC,LMT,L,LOW,LYB,MTB,MAC,M,MNK,MRO,MPC,MAR,MMC,MLM,MAS,MA,MAT,MKC,MCD,MCK,MJN,WRK,MDT,MRK,MET,KORS,MCHP,MU,MSFT,MHK,TAP,MDLZ,MON,MNST,MCO,MS,MOS,MSI,MUR,MYL,NDAQ,NOV,NAVI,NTAP,NFLX,NWL,NFX,NEM,NWSA,NWS,NEE,NLSN,NKE,NI,NBL,JWN,NSC,NTRS,NOC,NRG,NUE,NVDA,ORLY,OXY,OMC,OKE,ORCL,OI,PCAR,PH,PDCO,PAYX,PYPL,PNR,PBCT,PEP,PKI,PRGO,PFE,PCG,PM,PSX,PNW,PXD,PBI,PNC,RL,PPG,PPL,PX,CFG,PCLN,PFG,PG,PGR,PLD,PRU,PEG,PSA,PHM,PVH,QRVO,PWR,QCOM,DGX,RRC,RTN,O,RHT,REGN,RF,RSG,RAI,RHI,ROK,COL,ROP,ROST,RCL,R,CRM,SNDK,SCG,SLB,SNI,STX,SEE,SRE,SHW,SIG,SPG,SWKS,SLG,SJM,SNA,SO,LUV,SWN,SE,SPGI,STJ,SWK,SPLS,SBUX,HOT,STT,SRCL,SYK,STI,SYMC,SYF,SYY,TROW,TGT,TEL,TE,TGNA,TDC,TSO,TXN,TXT,HSY,TRV,TMO,TIF,TWX,TWC,TJX,TMK,TSS,TSCO,RIG,TRIP,FOXA,FOX,TSN,TYC,UDR,ULTA,USB,UA,UNP,UAL,UNH,UPS,URI,UTX,UHS,UNM,URBN,VFC,VLO,VAR,VTR,VRSN,VRSK,VZ,VRTX,VIAB,V,VNO,VMC,WMT,WBA,DIS,WM,WAT,ANTM,WFC,HCN,WDC,WU,WY,WHR,WFM,WMB,WLTW,WEC,WYN,WYNN,XEL,XRX,XLNX,XL,XYL,YHOO,YUM,ZBH,ZION,ZTS";
//string tickersString=tickersString1+","+tickersString2;
string[] tickers = tickersString.Split(new string[1] { "," }, StringSplitOptions.RemoveEmptyEntries);
foreach (string ticker in tickers)
{
AddSecurity(SecurityType.Equity,ticker,Resolution.Minute);
}
foreach (Security s in Securities.Values)
{
s.FeeModel=new CustomFeeModel();
atrs.Add(s.Symbol,ATR(s.Symbol,atrPeriod,MovingAverageType.Simple,Resolution.Minute));
}
}
public void OnData(TradeBars data)
{
Buy(data);
Sell(data);
}
public void Buy(TradeBars data)
{
CancelBuyOrders();
int quantity = 0;
decimal minimumPurchase = 500m;
decimal maxTrade;
OrderTicket orderTicket;
decimal buyPrice;
foreach (TradeBar bar in data.Values)
{
if (Portfolio.Cash - SumBuyOrders(buyOrders,buyOrderPrices) < minimumPurchase)
{
break;
}
if (!Portfolio[bar.Symbol].HoldStock)
{
maxTrade = bar.Close * bar.Volume / ratioOfLastMinuteForMaxTrade;
quantity =(int)Math.Floor(Math.Min(Portfolio.Cash-SumBuyOrders(buyOrders,buyOrderPrices), maxTrade) / bar.Close);
if (quantity * bar.Close > minimumPurchase & quantity > 0)
{
if (atrs[bar.Symbol] / bar.Close > minimumAtrPercentage)
{
if (buyOrders.ContainsKey(bar.Symbol) == false)
{
buyPrice=bar.Low * buyLowRatio;
orderTicket = LimitOrder(bar.Symbol, quantity,buyPrice);
buyOrders.Add(bar.Symbol,orderTicket);
buyOrderCounts.Add(bar.Symbol,0);
buyOrderPrices.Add(bar.Symbol,buyPrice);
}
}
}
}
}
foreach (string key in buyOrderCounts.Keys.ToList())
{
buyOrderCounts[key] = buyOrderCounts[key] + 1;
}
}
public void Sell(TradeBars data)
{
CancelSellOrders();
decimal sellPrice;
TradeBar bar;
OrderTicket orderTicket;
foreach (SecurityHolding stock in Portfolio.Values)
{
if (Portfolio[stock.Symbol].Quantity > 0 & data.ContainsKey(stock.Symbol))
{
bar = data[stock.Symbol];
if (sellOrders.ContainsKey(stock.Symbol)==false)
{
sellPrice = bar.High * sellHighRatio;
orderTicket = LimitOrder(stock.Symbol, -Portfolio[stock.Symbol].Quantity, sellPrice);
sellOrders.Add(stock.Symbol,orderTicket);
sellOrderCounts.Add(stock.Symbol,0);
}
}
}
foreach (string key in sellOrderCounts.Keys.ToList())
{
sellOrderCounts[key] = sellOrderCounts[key] + 1;
}
}
public void CancelBuyOrders()
{
string[] symbols=buyOrders.Keys.ToArray();
foreach (string symbol in symbols)
{
if (buyOrderCounts[symbol]>minutesToHoldBuyOrdersFor)
{
buyOrders[symbol].Cancel();
buyOrders.Remove(symbol);
buyOrderCounts.Remove(symbol);
buyOrderPrices.Remove(symbol);
}
}
symbols=buyOrders.Keys.ToArray();
foreach (string symbol in symbols)
{
if (buyOrders[symbol].Status == OrderStatus.Filled)
{
buyOrders.Remove(symbol);
buyOrderCounts.Remove(symbol);
buyOrderPrices.Remove(symbol);
}
}
}
public void CancelSellOrders()
{
string[] symbols=sellOrders.Keys.ToArray();
foreach (string symbol in symbols)
{
if (sellOrderCounts[symbol]>minutesToHoldSellOrdersFor)
{
sellOrders[symbol].Cancel();
sellOrders.Remove(symbol);
sellOrderCounts.Remove(symbol);
}
}
symbols=sellOrders.Keys.ToArray();
foreach (string symbol in symbols)
{
if (sellOrders[symbol].Status == OrderStatus.Filled)
{
sellOrders.Remove(symbol);
sellOrderCounts.Remove(symbol);
}
}
}
public static decimal SumBuyOrders(Dictionary<string,OrderTicket> buyOrders, Dictionary<string,decimal> buyOrderPrices)
{
decimal sum=0;
foreach (string key in buyOrders.Keys.ToList())
{
sum += buyOrders[key].Quantity * buyOrderPrices[key];
}
return sum;
}
}
public class CustomFeeModel : IFeeModel
{
public decimal GetOrderFee(Security security, Order order)
{
var fee = order.AbsoluteQuantity*0.01m;
if (fee<5)
{
fee=5;
}
if (fee>10)
{
fee=10;
}
return fee;
}
}
}