/* * 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. */ using System; using System.Collections; using System.Collections.Generic; using System.Diagnostics; using QuantConnect.Securities; using System.Globalization; using QuantConnect.Data; using QuantConnect.Algorithm; using QuantConnect.Orders; namespace QuantConnect { public class TestCashStrategy : QCAlgorithm { public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(2013, 12, 31); SetCash(100000); AddData("CASH"); } public void OnData(CashType data) { try { //TEST: FULL SWEEP TESTING: if (Time == new DateTime(2013, 1, 1)) { Order("CASH", 100); // +100 Holdings } else if (Time == new DateTime(2013, 2, 1)) { Order("CASH", -50); // +50 Holdings } else if (Time == new DateTime(2013, 3, 1)) { Order("CASH", -100); // -50 Holdings } else if (Time == new DateTime(2013, 4, 1)) { Order("CASH", -50); // -100 Holdings } else if (Time == new DateTime(2013, 5, 1)) { Order("CASH", 50); // -50 Holdings } else if (Time == new DateTime(2013, 6, 1)) { Order("CASH", 100);// +50 Holdings } else if (Time == new DateTime(2013, 7, 1)) { Order("CASH", 50); // +100 Holdings } else if (Time == new DateTime(2013, 8, 1)) { Order("CASH", -50); // +50 Holdings } else if (Time == new DateTime(2013, 9, 1)) { Order("CASH", -100); // -50 Holdings } else if (Time == new DateTime(2013, 10, 1)) { Order("CASH", -50); // -100 Holdings } else if (Time == new DateTime(2013, 11, 1)) { Order("CASH", +50); // -50 Holdings } else if (Time == new DateTime(2013, 12, 1)) { Order("CASH", +100); // +50 Holdings } else if (Time == new DateTime(2013, 12, 15)) { Order("CASH", -50); // +0 Holdings } } catch (Exception err) { Debug("Err: " + err.Message); } } // PLOT OUR CASH POSITION: public override void OnEndOfDay() { try { Plot("Cash", Portfolio.Cash); Plot("PortfolioValue", Portfolio.TotalPortfolioValue); Plot("HoldingValue", Portfolio["CASH"].HoldingsValue); Plot("HoldingQuantity", Portfolio["CASH"].Quantity); } catch (Exception err) { Debug("Err: " + err.Message); } } } public class CashType : BaseData { public CashType() { this.Symbol = "CASH"; } public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed) { return "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"; } public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed) { //New Bitcoin object CashType cash = new CashType(); try { string[] data = line.Split(','); cash.Time = DateTime.ParseExact(data[0], "yyyy-MM-dd", CultureInfo.InvariantCulture); cash.Value = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture); } catch { /* Do nothing, skip first title row */ } return cash; } } }