snugs
4078d805fb
Includes new AddData<T> overload to accept fillforward and leverage parameters Moved the clone implementation in BaseData to ObjectActivator Added some test BaseData types that can be used as custom data but just patch through to default data locations
165 lines
4.2 KiB
C#
165 lines
4.2 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 System.Collections.Generic;
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using QuantConnect.Data.Test;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Securities.Forex;
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namespace QuantConnect.Algorithm.Examples
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{
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public class CustomDataWithFillForward : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2014, 05, 01);
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SetEndDate(2014, 05, 30);
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// create 'custom' data that just looks in the normal place for data
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AddData<FakeForexTradeBarCustom>("EURUSD", Resolution.Minute, true);
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Securities["EURUSD"].Exchange = new ForexExchange();
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AddData<FakeForexTradeBarCustom>("NZDUSD", Resolution.Minute, true);
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Securities["NZDUSD"].Exchange = new ForexExchange();
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AddData<FakeEquityTradeBarCustom>("MSFT", Resolution.Minute, true);
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Securities["MSFT"].Exchange = new EquityExchange();
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AddData<FakeEquityTradeBarCustom>("SPY", Resolution.Minute, true);
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Securities["SPY"].Exchange = new EquityExchange();
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}
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private int lastHour = 0;
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private DateTime? last = null;
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private readonly List<FakeTradeBarCustom> _data = new List<FakeTradeBarCustom>();
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public void OnData(FakeTradeBarCustom custom)
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{
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Console.WriteLine(custom.Time.ToString("o") + " FF " + (custom.IsFillForward ? "1" : "0") + " " + custom.Symbol);
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_data.Add(custom);
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}
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public static readonly List<string> StockSymbols = new List<string>
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{
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"ABT",
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"ABBV",
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"ACE",
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"ACN",
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"ACT",
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"ADBE",
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"ADT",
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"AES",
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"AET",
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"AFL",
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"AMG",
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"A",
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"GAS",
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"APD",
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"ARG",
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"AKAM",
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"AA",
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"ALXN",
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"ATI",
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"ALLE",
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"AGN",
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"ADS",
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"ALL",
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"ALTR",
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"MO",
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"AMZN",
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"AEE",
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"AEP",
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"AXP",
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"AIG",
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"AMT",
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"AMP",
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"ABC",
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"AME",
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"AMGN",
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"APH",
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"APC",
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"ADI",
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"AON",
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"APA",
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"AIV",
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"AAPL",
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"AMAT",
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"ADM",
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"AIZ",
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"T",
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"ADSK",
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"ADP",
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"AN",
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"AZO",
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"AVGO",
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"AVB",
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"AVY",
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"AVP",
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"BHI",
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"BLL",
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"BAC",
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"BK",
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"BCR",
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"BAX",
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"BBT",
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"BDX",
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"BBBY",
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"BMS",
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"BRK.B",
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"BBY",
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"BIIB",
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"BLK",
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"HRB",
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"BA",
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"BWA",
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"BXP",
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"BSX",
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"BMY",
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"BRCM",
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"BF.B",
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"CHRW",
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"CA",
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"CVC",
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"COG",
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"CAM",
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"CPB",
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"COF",
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"CAH",
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"CFN",
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"KMX",
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"CCL",
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"CAT",
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"CBG",
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"CBS",
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"CELG",
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"CNP",
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"CTL",
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"CERN",
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"CF",
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"SCHW"
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};
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public List<string> ForexSymbols = new List<string>
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{
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"EURUSD",
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"NZDUSD",
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"USDJPY",
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"USDCAD"
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};
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}
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}
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