AlexCatarino
65 lines
2.5 KiB
Python
65 lines
2.5 KiB
Python
# 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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Indicators")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Data import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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from datetime import timedelta
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import numpy as np
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### <summary>
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### Algorithm demonstrating FOREX asset types and requesting history on them in bulk. As FOREX uses
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### QuoteBars you should request slices or
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="history and warm up" />
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### <meta name="tag" content="history" />
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### <meta name="tag" content="forex" />
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class BasicTemplateForexAlgorithm(QCAlgorithm):
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def Initialize(self):
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# Set the cash we'd like to use for our backtest
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self.SetCash(100000)
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# Start and end dates for the backtest.
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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# Add FOREX contract you want to trade
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# find available contracts here https://www.quantconnect.com/data#forex/oanda/cfd
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self.AddForex("EURUSD", Resolution.Minute)
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self.AddForex("GBPUSD", Resolution.Minute)
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self.AddForex("EURGBP", Resolution.Minute)
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self.History(5, Resolution.Daily)
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self.History(5, Resolution.Hour)
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self.History(5, Resolution.Minute)
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history = self.History(TimeSpan.FromSeconds(5), Resolution.Second)
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for data in sorted(history, key=lambda x: x.Time):
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for key in data.Keys:
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self.Log(str(key.Value) + ": " + str(data.Time) + " > " + str(data[key].Value))
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def OnData(self, data):
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# Print to console to verify that data is coming in
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for key in data.Keys:
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self.Log(str(key.Value) + ": " + str(data.Time) + " > " + str(data[key].Value)) |