AlexCatarino
114 lines
4.5 KiB
Python
114 lines
4.5 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 datetime import datetime, timedelta
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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.Algorithm import *
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from QuantConnect.Indicators import *
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from QuantConnect.Data.Market import *
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class CustomChartingAlgorithm(QCAlgorithm):
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'''4.0 DEMONSTRATION OF CUSTOM CHARTING FLEXIBILITY:
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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.
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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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def __init__(self):
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self.__fastMA = None
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self.__slowMA = None
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self.__lastPrice = None
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self.__resample = None
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self.__resamplePeriod = None
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def Initialize(self):
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'''Called at the start of your algorithm to setup your requirements'''
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self.SetStartDate(2010, 3, 3) #Set Start Date
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self.SetEndDate(2014, 3, 3) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute)
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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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buyOrders = Series("Buy", SeriesType.Scatter, 0)
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sellOrders = Series("Sell", SeriesType.Scatter, 0)
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assetPrice = Series("Price", SeriesType.Line, 0)
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stockPlot.AddSeries(buyOrders)
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stockPlot.AddSeries(sellOrders)
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stockPlot.AddSeries(assetPrice)
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self.AddChart(stockPlot)
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avgCross = Chart("Strategy Equity")
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fastMA = Series("FastMA", SeriesType.Line, 1)
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slowMA = Series("SlowMA", SeriesType.Line, 1)
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avgCross.AddSeries(fastMA)
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avgCross.AddSeries(slowMA)
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self.AddChart(avgCross)
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self.__resample = datetime(self.StartDate)
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self.__resamplePeriod = timedelta(minutes = (self.EndDate - self.StartDate).TotalMinutes / 2000)
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def OnEndOfDay(self):
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'''OnEndOfDay Event Handler - At the end of each trading day we fire this code.
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To avoid flooding, we recommend running your plotting at the end of each day.'''
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#Log the end of day prices:
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self.Plot("Trade Plot", "Price", self.__lastPrice)
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def OnData(self, data):
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'''On receiving new tradebar data it will be passed into this function. The general pattern is:
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"public void OnData( CustomType name ) {...}"
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not data.ContainsKey("SPY") or data["SPY"] is None: return
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pyTime = datetime(self.Time)
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self.__lastPrice = data["SPY"].Close
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if self.__fastMA == None: self.__fastMA = self.__lastPrice
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if self.__slowMA == None: self.__slowMA = self.__lastPrice
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self.__fastMA = (0.01 * self.__lastPrice) + (0.99 * self.__fastMA)
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self.__slowMA = (0.001 * self.__lastPrice) + (0.999 * self.__slowMA)
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if pyTime > self.__resample:
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self.__resample = pyTime + self.__resamplePeriod
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self.Plot("Strategy Equity", "FastMA", self.__fastMA)
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self.Plot("Strategy Equity", "SlowMA", self.__slowMA)
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#On the 5th days when not invested buy:
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if pyTime.day % 13 == 0 and not self.Portfolio.Invested:
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self.Order("SPY", int(self.Portfolio.Cash / data["SPY"].Close))
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self.Plot("Trade Plot", "Buy", self.__lastPrice)
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elif pyTime.day % 21 == 0 and self.Portfolio.Invested:
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self.Plot("Trade Plot", "Sell", self.__lastPrice)
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self.Liquidate() |