Add BasicTemplateCryptoAlgorithm

Also added both C# and Python versions as regression tests
2018-02-01 21:14:45 +01:00
parent 8980385eb1
commit c235dc7ada
5 changed files with 153 additions and 0 deletions
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+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Brokerages import *
+
+### <summary>
+### Basic template algorithm simply initializes the date range and cash. This is a skeleton
+### framework you can use for designing an algorithm.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="trading and orders" />
+class BasicTemplateAlgorithm(QCAlgorithm):
+    '''Basic template algorithm simply initializes the date range and cash'''
+
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        self.SetStartDate(2016, 10, 7)  #Set Start Date
+        self.SetEndDate(2016, 10, 7)    #Set End Date
+        self.SetCash(100000)          #Set Strategy Cash
+
+        self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
+
+        # Find more symbols here: http://quantconnect.com/data
+        self.AddCrypto("BTCUSD", Resolution.Minute)
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if self.Time.minute == 0:
+            if not self.Portfolio.Invested:
+                self.SetHoldings("BTCUSD", 1)
+            else:
+                self.Liquidate()
+
+            btcHoldings = self.Portfolio.CashBook["BTC"].Amount
+            self.Log("{0} - BTC holdings: {1}".format(str(self.Time), str(btcHoldings)))