/* * 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.Globalization; using Newtonsoft.Json; using QuantConnect.Algorithm; using QuantConnect.Data; using QuantConnect.Data.Market; namespace QuantConnect { /// /// QuantConnect University: Live Trading Functionality Demonstration: /// This algorithm demonstrates the underlying functionality specifically for live trading. /// public class LiveTradingFeaturesAlgorithm : QCAlgorithm { /// /// Initialise the Algorithm and Prepare Required Data. /// public override void Initialize() { SetStartDate(2013, 1, 1); SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); //Equity Data for US Markets: AddSecurity(SecurityType.Equity, "AAPL", Resolution.Second); //FOREX Data for Weekends: 24/6 AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute); //Custom/Bitcoin Live Data: 24/7 AddData("BTC", Resolution.Second); } /// /// New Bitcoin Data Event. /// /// Data. public void OnData(Bitcoin data) { if (LiveMode) //Live Mode Property { //Configurable title header statistics numbers SetRuntimeStatistic("BTC", data.Close.ToString("C")); } if (!Portfolio.HoldStock) { Order("BTC", 100); //Send a notification email/SMS/web request on events: Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment"); Notify.Sms("+11233456789", Time.ToString("u") + ">> Test message from live BTC server."); Notify.Web("http://api.quantconnect.com", Time.ToString("u") + ">> Test data packet posted from live BTC server."); } } /// /// Raises the data event. /// /// Data. public void OnData(TradeBars data) { if (!Portfolio.HoldStock && data.ContainsKey("AAPL")) { int quantity = (int)Math.Floor(Portfolio.Cash / data["AAPL"].Close); Order("AAPL", quantity); Debug("Purchased SPY on " + Time.ToShortDateString()); Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment"); } } } /// /// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data /// public class Bitcoin : BaseData { //Set the defaults: /// /// Open Price /// public decimal Open = 0; /// /// High Price /// public decimal High = 0; /// /// Low Price /// public decimal Low = 0; /// /// Closing Price /// public decimal Close = 0; /// /// Volume in BTC /// public decimal VolumeBTC = 0; /// /// Volume in USD /// public decimal VolumeUSD = 0; /// /// Volume in USD: /// public decimal WeightedPrice = 0; /// /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor. /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory". /// public Bitcoin() { Symbol = "BTC"; } /// /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA: /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year. /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file. /// /// Configuration object /// Date of this source file /// true if we're in live mode, false for backtesting mode /// String URL of source file. public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { if (isLiveMode) { return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest); } //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip"; // OR simply return a fixed small data file. Large files will slow down your backtest return new SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile); } /// /// 3. READER METHOD: Read 1 line from data source and convert it into Object. /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line /// feeds it into your algorithm /// /// string line from the data source file submitted above /// Subscription data, symbol name, data type /// Current date we're requesting. This allows you to break up the data source into daily files. /// true if we're in live mode, false for backtesting mode /// New Bitcoin Object which extends BaseData. public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { var coin = new Bitcoin(); if (isLiveMode) { //Example Line Format: //{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"} try { var liveBTC = JsonConvert.DeserializeObject(line); coin.Time = DateTime.Now; coin.Open = liveBTC.Last; coin.High = liveBTC.High; coin.Low = liveBTC.Low; coin.Close = liveBTC.Last; coin.VolumeBTC = liveBTC.Volume; coin.WeightedPrice = liveBTC.VWAP; coin.Symbol = "BTC"; coin.Value = coin.Close; } catch { /* Do nothing, possible error in json decoding */ } return coin; } //Example Line Format: //Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price //2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356 try { string[] data = line.Split(','); coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture); coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture); coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture); coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture); coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture); coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture); coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture); coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture); coin.Symbol = "BTC"; coin.Value = coin.Close; } catch { /* Do nothing, skip first title row */ } return coin; } } /// /// Live data structure /// public class LiveBitcoin { [JsonProperty("timestamp")] public int Timestamp = 0; [JsonProperty("last")] public decimal Last = 0; [JsonProperty("high")] public decimal High = 0; [JsonProperty("low")] public decimal Low = 0; [JsonProperty("bid")] public decimal Bid = 0; [JsonProperty("ask")] public decimal Ask = 0; [JsonProperty("vwap")] public decimal VWAP = 0; [JsonProperty("volume")] public decimal Volume = 0; } }