Michael Handschuh
2fa9b0b6f7
Some algorithms had dependencies outside of the file that needed to be copied into each project. The alternative here is to move the Bitcoin and QuandlFuture type into Common\Data or similar
73 lines
2.8 KiB
C#
73 lines
2.8 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 System;
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using QuantConnect.Data.Custom;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Futures demonstration algorithm.
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/// QuantConnect allows importing generic data sources! This example demonstrates importing a futures
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/// data from the popular open data source Quandl. QuantConnect has a special deal with Quandl giving you access
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/// to Stevens Continuous Futurs (SCF) for free. If you'd like to download SCF for local backtesting, you can download it through Quandl.com.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="quandl" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="futures" />
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public class QCUQuandlFutures : QCAlgorithm
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{
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private string _crude = "SCF/CME_CL1_ON";
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/// <summary>
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/// Initialize the data and resolution you require for your strategy
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2000, 1, 1);
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SetEndDate(DateTime.Now.Date.AddDays(-1));
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SetCash(25000);
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AddData<QuandlFuture>(_crude, Resolution.Daily);
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}
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/// <summary>
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/// Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
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/// </summary>
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/// <param name="data">Data.</param>
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public void OnData(Quandl data)
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{
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if (!Portfolio.HoldStock)
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{
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SetHoldings(_crude, 1);
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Debug(Time.ToString("u") + " Purchased Crude Oil: " + _crude);
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}
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}
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/// <summary>
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/// Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.
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/// </summary>
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public class QuandlFuture : Quandl
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="QuandlFuture"/> class.
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/// </summary>
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public QuandlFuture()
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: base(valueColumnName: "Settle")
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{
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}
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}
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}
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} |