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
93 lines
3.6 KiB
C#
93 lines
3.6 KiB
C#
/*
|
|
* 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 QuantConnect.Data;
|
|
using QuantConnect.Data.Custom;
|
|
using QuantConnect.Data.Custom.Tiingo;
|
|
using QuantConnect.Indicators;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// This example algorithm shows how to import and use Tiingo daily prices data.
|
|
/// </summary>
|
|
/// <meta name="tag" content="strategy example" />
|
|
/// <meta name="tag" content="using data" />
|
|
/// <meta name="tag" content="custom data" />
|
|
/// <meta name="tag" content="tiingo" />
|
|
public class USEnergyInformationAdministrationAlgorithm : QCAlgorithm
|
|
{
|
|
private const string tiingoTicker = "AAPL";
|
|
private const string energyTicker = "NUC_STATUS.OUT.US.D"; // US nuclear capacity outage (Daily)
|
|
private Symbol _tiingoSymbol;
|
|
private Symbol _energySymbol;
|
|
|
|
private ExponentialMovingAverage _emaFast;
|
|
private ExponentialMovingAverage _emaSlow;
|
|
|
|
/// <summary>
|
|
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
/// </summary>
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2017, 1, 1);
|
|
SetEndDate(2017, 12, 31);
|
|
SetCash(100000);
|
|
|
|
// Set your Tiingo API Token here
|
|
Tiingo.SetAuthCode("my-tiingo-api-token");
|
|
// Set your US Energy Information Administration (EIA) Token here
|
|
USEnergyAPI.SetAuthCode("my-us-energy-information-api-token");
|
|
|
|
_tiingoSymbol = AddData<TiingoPrice>(tiingoTicker, Resolution.Daily).Symbol;
|
|
_energySymbol = AddData<USEnergyAPI>(energyTicker, Resolution.Hour).Symbol;
|
|
|
|
_emaFast = EMA(_tiingoSymbol, 5);
|
|
_emaSlow = EMA(_tiingoSymbol, 10);
|
|
}
|
|
|
|
/// <summary>
|
|
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
/// </summary>
|
|
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
|
|
public override void OnData(Slice slice)
|
|
{
|
|
// Extract Tiingo data from the slice
|
|
var tiingoData = slice.Get<TiingoPrice>();
|
|
foreach (var row in tiingoData.Values)
|
|
{
|
|
Log($"{Time} - {row.Symbol.Value} - {row.Close} {row.Value} {row.Price} - EmaFast:{_emaFast} - EmaSlow:{_emaSlow}");
|
|
}
|
|
|
|
// Extract US EIA data from the slice
|
|
var energyData = slice.Get<USEnergyAPI>();
|
|
foreach (var row in energyData.Values)
|
|
{
|
|
Log($"{Time} - {row.Symbol.Value} - {row.Value} ");
|
|
}
|
|
|
|
// Simple EMA cross
|
|
if (!Portfolio.Invested && _emaFast > _emaSlow)
|
|
{
|
|
SetHoldings(_tiingoSymbol, 1);
|
|
}
|
|
else if (Portfolio.Invested && _emaFast < _emaSlow)
|
|
{
|
|
Liquidate(_tiingoSymbol);
|
|
}
|
|
}
|
|
}
|
|
}
|