QuantConnect
64 lines
2.3 KiB
C#
64 lines
2.3 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 System;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Custom;
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namespace QuantConnect
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{
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/*
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* QuantConnect University: Futures Example
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*
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* QuantConnect allows importing generic data sources! This example demonstrates importing a futures
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* data from the popular open data source Quandl.
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*
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* QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free.
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* If you'd like to download SCF for local backtesting, you can download it through Quandl.com.
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*/
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public class QCUQuandlFutures : QCAlgorithm
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{
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string _crude = "SCF/CME_CL1_ON";
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//Initialize the data and resolution you require for your strategy:
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public override void Initialize()
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{
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SetStartDate(2000, 1, 1);
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SetEndDate(DateTime.Now.Date.AddDays(-1));
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SetCash(25000);
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AddData<QuandlFuture>(_crude, Resolution.Daily);
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}
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//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
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public void OnData(Quandl data)
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{
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if (!Portfolio.HoldStock)
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{
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SetHoldings(_crude, 1);
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Debug(Time.ToString("u") + " Purchased Crude Oil: " + _crude);
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}
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}
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}
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/// <summary>
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/// Custom quandl data type for setting customized value column name. Value column is used for the primary trading calculations and charting.
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/// </summary>
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public class QuandlFuture : Quandl
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{
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public QuandlFuture()
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: base(valueColumnName: "Settle")
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{
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}
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}
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} |