QuantConnect
174 lines
4.1 KiB
C#
174 lines
4.1 KiB
C#
using System;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
using QuantConnect.Algorithm;
|
|
using QuantConnect.Data.Market;
|
|
|
|
namespace QuantConnect
|
|
{
|
|
public class StressSymbolsAlgorithm : QCAlgorithm
|
|
{
|
|
public IEnumerable<string> AllSymbols;
|
|
|
|
// Add Hundreds of Stock and Forex Symbol:
|
|
public override void Initialize()
|
|
{
|
|
AllSymbols = new List<string>();
|
|
|
|
//Backtest period:
|
|
SetStartDate(2014, 01, 01);
|
|
SetEndDate(2015, 01, 01);
|
|
|
|
//Set cash to 250k for test algorithm
|
|
SetCash(250000);
|
|
|
|
foreach (var symbol in StockSymbols)
|
|
{
|
|
AddSecurity(SecurityType.Equity, symbol, Resolution.Second, true);
|
|
}
|
|
|
|
foreach (var symbol in ForexSymbols)
|
|
{
|
|
AddSecurity(SecurityType.Forex, symbol, Resolution.Second, true);
|
|
}
|
|
|
|
AllSymbols = StockSymbols.Concat(ForexSymbols);
|
|
}
|
|
|
|
//On each data event, buy a few of each one:
|
|
public void OnData(TradeBars data)
|
|
{
|
|
Debug("REALTIME: " + DateTime.Now.ToString("o") + " DATATIME: " + data.Time.ToString("o") + " REALTIME DELTA: " + (DateTime.Now - data.Time).TotalSeconds.ToString("0.000") + "sec COUNT: " + data.Count + " FILLFORWARD: " + data.Count(x => x.Value.IsFillForward));
|
|
|
|
foreach (var symbol in AllSymbols)
|
|
{
|
|
if (!Portfolio.ContainsKey(symbol)) continue;
|
|
|
|
if (!Portfolio[symbol].Invested)
|
|
{
|
|
//Not invested, get invested:
|
|
Order(symbol, 10);
|
|
}
|
|
else
|
|
{
|
|
if (Time.Second % 15 == 0)
|
|
{
|
|
var holdings = Portfolio[symbol].Quantity;
|
|
Order(symbol, holdings * -2);
|
|
}
|
|
}
|
|
}
|
|
|
|
//Log timer:
|
|
if (Time.Second % 15 == 0) Log("Time: " + Time.ToShortTimeString());
|
|
}
|
|
|
|
public List<string> StockSymbols = new List<string>
|
|
{
|
|
"ABT",
|
|
"ABBV",
|
|
"ACE",
|
|
"ACN",
|
|
"ACT",
|
|
"ADBE",
|
|
"ADT",
|
|
"AES",
|
|
"AET",
|
|
"AFL",
|
|
"AMG",
|
|
"A",
|
|
"GAS",
|
|
"APD",
|
|
"ARG",
|
|
"AKAM",
|
|
"AA",
|
|
"ALXN",
|
|
"ATI",
|
|
"ALLE",
|
|
"AGN",
|
|
"ADS",
|
|
"ALL",
|
|
"ALTR",
|
|
"MO",
|
|
"AMZN",
|
|
"AEE",
|
|
"AEP",
|
|
"AXP",
|
|
"AIG",
|
|
"AMT",
|
|
"AMP",
|
|
"ABC",
|
|
"AME",
|
|
"AMGN",
|
|
"APH",
|
|
"APC",
|
|
"ADI",
|
|
"AON",
|
|
"APA",
|
|
"AIV",
|
|
"AAPL",
|
|
"AMAT",
|
|
"ADM",
|
|
"AIZ",
|
|
"T",
|
|
"ADSK",
|
|
"ADP",
|
|
"AN",
|
|
"AZO",
|
|
"AVGO",
|
|
"AVB",
|
|
"AVY",
|
|
"AVP",
|
|
"BHI",
|
|
"BLL",
|
|
"BAC",
|
|
"BK",
|
|
"BCR",
|
|
"BAX",
|
|
"BBT",
|
|
"BDX",
|
|
"BBBY",
|
|
"BMS",
|
|
"BRK.B",
|
|
"BBY",
|
|
"BIIB",
|
|
"BLK",
|
|
"HRB",
|
|
"BA",
|
|
"BWA",
|
|
"BXP",
|
|
"BSX",
|
|
"BMY",
|
|
"BRCM",
|
|
"BF.B",
|
|
"CHRW",
|
|
"CA",
|
|
"CVC",
|
|
"COG",
|
|
"CAM",
|
|
"CPB",
|
|
"COF",
|
|
"CAH",
|
|
"CFN",
|
|
"KMX",
|
|
"CCL",
|
|
"CAT",
|
|
"CBG",
|
|
"CBS",
|
|
"CELG",
|
|
"CNP",
|
|
"CTL",
|
|
"CERN",
|
|
"CF",
|
|
"SCHW"
|
|
};
|
|
|
|
public List<string> ForexSymbols = new List<string>
|
|
{
|
|
"EURUSD",
|
|
"NZDUSD",
|
|
"USDJPY",
|
|
"USDCAD"
|
|
};
|
|
}
|
|
} |