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Adds Python Example of ObjectStoreExampleAlgorithm

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Minor change in C# version to keep consistency between examples.
This commit is contained in:
AlexCatarino
2020-04-14 14:24:05 +01:00
parent 76b7f530bc
commit 2e5eddfc29
4 changed files with 119 additions and 17 deletions
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Algorithm.CSharp/ObjectStoreExampleAlgorithm.cs
+15 -17
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@@ -13,14 +13,12 @@
* limitations under the License.
*/
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Indicators;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using QuantConnect.Storage;
using System;
using System.Linq;
namespace QuantConnect.Algorithm.CSharp
{
@@ -34,7 +32,7 @@ namespace QuantConnect.Algorithm.CSharp
public class ObjectStoreExampleAlgorithm : QCAlgorithm
{
private const string SPY_Close_ObjectStore_Key = "spy_close";
private Security SPY;
private Symbol SPY;
private Identity SPY_Close;
private ExponentialMovingAverage SPY_Close_EMA10;
private ExponentialMovingAverage SPY_Close_EMA50;
@@ -49,10 +47,10 @@ namespace QuantConnect.Algorithm.CSharp
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SPY = AddEquity("SPY", Resolution.Minute);
SPY = AddEquity("SPY", Resolution.Minute).Symbol;
// define indicators on SPY daily closing prices
SPY_Close = Identity(SPY.Symbol, Resolution.Daily);
SPY_Close = Identity(SPY, Resolution.Daily);
SPY_Close_EMA10 = SPY_Close.EMA(10);
SPY_Close_EMA50 = SPY_Close.EMA(50);
@@ -73,7 +71,7 @@ namespace QuantConnect.Algorithm.CSharp
var values = ObjectStore.ReadJson<IndicatorDataPoint[]>(SPY_Close_ObjectStore_Key);
Debug($"{SPY_Close_ObjectStore_Key} key exists in object store. Count: {values.Length}");
foreach (var value in values.OrderBy(x => x.EndTime))
foreach (var value in values)
{
SPY_Close.Update(value);
}
@@ -84,15 +82,15 @@ namespace QuantConnect.Algorithm.CSharp
// if our object store doesn't have our data, fetch the history to initialize
// we're pulling the last year's worth of SPY daily trade bars to fee into our indicators
var history = History(new[] {SPY.Symbol}, TimeSpan.FromDays(365), Resolution.Daily).Get(SPY.Symbol);
var history = History(SPY, TimeSpan.FromDays(365), Resolution.Daily);
foreach (var tradeBar in history.OrderBy(x => x.EndTime))
foreach (var tradeBar in history)
{
SPY_Close.Update(tradeBar.EndTime, tradeBar.Close);
}
// save our warm up data so next time we don't need to issue the history request
var array = SPY_Close_History.OrderBy(x => x.EndTime).ToArray();
var array = SPY_Close_History.Reverse().ToArray();
ObjectStore.SaveJson(SPY_Close_ObjectStore_Key, array);
// Can also use ObjectStore.SaveBytes(key, byte[])
@@ -108,24 +106,24 @@ namespace QuantConnect.Algorithm.CSharp
{
if (SPY_Close_EMA10 > SPY_Close && SPY_Close_EMA10 > SPY_Close_EMA50)
{
SetHoldings(SPY.Symbol, 1m);
SetHoldings(SPY, 1m);
}
else if (SPY_Close_EMA10 < SPY_Close && SPY_Close_EMA10 < SPY_Close_EMA50)
{
SetHoldings(SPY.Symbol, -1m);
SetHoldings(SPY, -1m);
}
else if (Portfolio[SPY.Symbol].IsLong)
else if (Portfolio[SPY].IsLong)
{
if (SPY_Close_EMA10 < SPY_Close_EMA50)
{
Liquidate(SPY.Symbol);
Liquidate(SPY);
}
}
else if (Portfolio[SPY.Symbol].IsShort)
else if (Portfolio[SPY].IsShort)
{
if (SPY_Close_EMA10 > SPY_Close_EMA50)
{
Liquidate(SPY.Symbol);
Liquidate(SPY);
}
}
}