AlexCatarino
88 lines
3.7 KiB
Python
88 lines
3.7 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.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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import numpy as np
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import decimal as d
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from datetime import timedelta, datetime
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### <summary>
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### Algorithm demonstrating custom charting support in QuantConnect.
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### The entire charting system of quantconnect is adaptable. You can adjust it to draw whatever you'd like.
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### Charts can be stacked, or overlayed on each other. Series can be candles, lines or scatter plots.
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### Even the default behaviours of QuantConnect can be overridden.
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### </summary>
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### <meta name="tag" content="charting" />
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### <meta name="tag" content="adding charts" />
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### <meta name="tag" content="series types" />
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### <meta name="tag" content="plotting indicators" />
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class CustomChartingAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2016,1,1)
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self.SetEndDate(2017,1,1)
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self.SetCash(100000)
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self.AddEquity("SPY", Resolution.Daily)
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# In your initialize method:
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# Chart - Master Container for the Chart:
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stockPlot = Chart("Trade Plot")
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# On the Trade Plotter Chart we want 3 series: trades and price:
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stockPlot.AddSeries(Series("Buy", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("Sell", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("Price", SeriesType.Line, 0))
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self.AddChart(stockPlot)
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avgCross = Chart("Average Cross")
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avgCross.AddSeries(Series("FastMA", SeriesType.Line, 1))
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avgCross.AddSeries(Series("SlowMA", SeriesType.Line, 1))
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self.AddChart(avgCross)
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self.fastMA = 0
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self.slowMA = 0
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self.lastPrice = 0
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self.resample = datetime.min
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self.resamplePeriod = (self.EndDate - self.StartDate) / 2000
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def OnData(self, slice):
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if slice["SPY"] is None: return
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self.lastPrice = slice["SPY"].Close
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if self.fastMA == 0: self.fastMA = self.lastPrice
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if self.slowMA == 0: self.slowMA = self.lastPrice
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self.fastMA = (d.Decimal(0.01) * self.lastPrice) + (d.Decimal(0.99) * self.fastMA)
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self.slowMA = (d.Decimal(0.001) * self.lastPrice) + (d.Decimal(0.999) * self.slowMA)
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if self.Time > self.resample:
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self.resample = self.Time + self.resamplePeriod
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self.Plot("Average Cross", "FastMA", self.fastMA);
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self.Plot("Average Cross", "SlowMA", self.slowMA);
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# On the 5th days when not invested buy:
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if not self.Portfolio.Invested and self.Time.day % 13 == 0:
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self.Order("SPY", (int)(self.Portfolio.MarginRemaining / self.lastPrice))
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self.Plot("Trade Plot", "Buy", self.lastPrice)
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elif self.Time.day % 21 == 0 and self.Portfolio.Invested:
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self.Plot("Trade Plot", "Sell", self.lastPrice)
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self.Liquidate()
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def OnEndOfDay(self):
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#Log the end of day prices:
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self.Plot("Trade Plot", "Price", self.lastPrice) |