Martin Molinero
1d43dcd601
- Adding `BaseData.AdjustResolution()` that should return a valid resolution for the given data and security type. This allows us to set a limitation which is useful to avoid invalid data requests or unnecessary fill forward situations. The user will be notified through a console message. - Adding unit and regression test - Updating example algorithms custom data resolution - Some performance improvements. Wont change console color if `SelectedOptimization` is defined
53 lines
2.2 KiB
C#
53 lines
2.2 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.USTreasury;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm showing how to use and access U.S. Treasury yield curve data
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="yield curve" />
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public class USTreasuryYieldCurveDataAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2017, 1, 1);
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SetEndDate(2019, 6, 30);
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SetCash(100000);
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// Since yield data isn't associated with any ticker, we must put a placeholder ticker
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AddData<USTreasuryYieldCurveRate>("USTYC", Resolution.Daily);
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}
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public override void OnData(Slice slice)
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{
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var data = slice.Get<USTreasuryYieldCurveRate>();
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foreach (var curve in data.Values)
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{
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Log($"{curve.Time} - 1M: {curve.OneMonth}, 2M: {curve.TwoMonth}, 3M: {curve.ThreeMonth}, 6M: {curve.SixMonth}, 1Y: {curve.OneYear}, 2Y: {curve.TwoYear}, 3Y: {curve.ThreeYear}, 5Y: {curve.FiveYear}, 10Y: {curve.TenYear}, 20Y: {curve.TwentyYear}, 30Y: {curve.ThirtyYear}");
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}
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}
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}
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}
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