AlexCatarino
48 lines
1.9 KiB
Python
48 lines
1.9 KiB
Python
# 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.
|
|
|
|
from clr import AddReference
|
|
AddReference("System.Core")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Data.Custom import DailyFx
|
|
from QCAlgorithm import QCAlgorithm
|
|
import numpy as np
|
|
|
|
### <summary>
|
|
### Use event/fundamental calendar information (DailyFx) to design event based forex algorithms.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="custom data" />
|
|
### <meta name="tag" content="forex" />
|
|
### <meta name="tag" content="dailyfx" />
|
|
class DailyFxAlgorithm(QCAlgorithm):
|
|
''' Add the Daily FX type to our algorithm and use its events. '''
|
|
|
|
def Initialize(self):
|
|
# Set the cash we'd like to use for our backtest
|
|
self.SetCash(100000)
|
|
# Set the start and the end date
|
|
self.SetStartDate(2016,5,26)
|
|
self.SetEndDate(2016,5,27)
|
|
self._sliceCount = 0
|
|
self._eventCount = 0
|
|
self.AddData(DailyFx, "DFX", Resolution.Second, TimeZones.Utc)
|
|
|
|
def OnData(self, data):
|
|
# Daily Fx demonstration to call on
|
|
result = data["DFX"]
|
|
self._sliceCount +=1
|
|
self.Debug("ONDATA >> {0} : {1}".format(self._sliceCount, result)) |