Noah Misch
2b1136e446
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Commit d24f665ee4 removed the
Engine/AlgorithmManager.cs support for OnData(TradeBars), making these
methods dead code. Hence, some of these algorithms no longer placed
orders. Fix by changing OnData(TradeBars) to OnData(Slice). Files that
use the TradeBars argument or use OnData(Dividends) have the same
trouble; leave them for future work.
107 lines
4.3 KiB
C#
107 lines
4.3 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.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm shows how to set a custom security initializer.
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/// A security initializer is run immediately after a new security object
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/// has been created and can be used to security models and other settings,
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/// such as data normalization mode
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="securities and portfolio" />
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/// <meta name="tag" content="trading and orders" />
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public class CustomSecurityInitializerAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// set our initializer to our custom type
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SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
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var funcSecuritySeeder = new FuncSecuritySeeder(CustomSeedFunction);
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SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, funcSecuritySeeder, DataNormalizationMode.Raw));
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SetStartDate(2013, 10, 01);
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SetEndDate(2013, 11, 01);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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}
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}
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private BaseData CustomSeedFunction(Security security)
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{
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var resolution = Resolution.Hour;
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var history = History(new[] { security.Symbol }, 1, resolution);
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if (history.Any() && history.First().Values.Any())
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{
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return history.First().Values.First();
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}
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return null;
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}
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/// <summary>
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/// Our custom initializer that will set the data normalization mode.
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/// We sub-class the <see cref="BrokerageModelSecurityInitializer"/>
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/// so we can also take advantage of the default model/leverage setting
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/// behaviors
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/// </summary>
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class CustomSecurityInitializer : BrokerageModelSecurityInitializer
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{
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private readonly DataNormalizationMode _dataNormalizationMode;
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomSecurityInitializer"/> class
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/// with the specified normalization mode
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/// </summary>
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/// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
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/// <param name="securitySeeder">The security seeder to be used</param>
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/// <param name="dataNormalizationMode">The desired data normalization mode</param>
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public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
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: base(brokerageModel, securitySeeder)
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{
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_dataNormalizationMode = dataNormalizationMode;
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}
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/// <summary>
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/// Initializes the specified security by setting up the models
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/// </summary>
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/// <param name="security">The security to be initialized</param>
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public override void Initialize(Security security)
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{
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// first call the default implementation
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base.Initialize(security);
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// now apply our data normalization mode
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security.SetDataNormalizationMode(_dataNormalizationMode);
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}
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}
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}
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}
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