/* * 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; namespace QuantConnect.Algorithm.Examples { /// /// 3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc). /// /// The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source. /// /// This includes any data source which has a TIME and VALUE. These are the *only* requirements. To demonstrate this we're loading /// in "Bitcoin" data. /// /// public class CustomDataBitcoinAlgorithm : QCAlgorithm { /// /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// public override void Initialize() { //Weather data we have is within these days: SetStartDate(2011, 9, 13); SetEndDate(DateTime.Now.Date.AddDays(-1)); //Set the cash for the strategy: SetCash(100000); //Define the symbol and "type" of our generic data: AddData("BTC"); } /// /// Event Handler for Bitcoin Data Events: These weather objects are created from our /// "Weather" type below and fired into this event handler. /// /// One(1) Weather Object, streamed into our algorithm synchronised in time with our other data streams public void OnData(Bitcoin data) { //If we don't have any weather "SHARES" -- invest" if (!Portfolio.Invested) { //Weather used as a tradable asset, like stocks, futures etc. if (data.Close != 0) { Order("BTC", (Portfolio.Cash / Math.Abs(data.Close + 1))); } Console.WriteLine("Buying BTC 'Shares': BTC: " + data.Close); } Console.WriteLine("Time: " + Time.ToLongDateString() + " " + Time.ToLongTimeString() + data.Close.ToString()); } } }