Jing Wu
95 lines
3.6 KiB
C#
95 lines
3.6 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.Data;
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using QuantConnect.Data.Custom;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// The algorithm creates new indicator value with the existing indicator method by Indicator Extensions
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/// Demonstration of using the external custom datasource Quandl to request the VIX and VXV daily data
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="indicator classes" />
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/// <meta name="tag" content="plotting indicators" />
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/// <meta name="tag" content="charting" />
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public class CustomDataIndicatorExtensionsAlgorithm : QCAlgorithm
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{
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private const string VIX = "CBOE/VIX";
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private const string VXV = "CBOE/VXV";
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private SimpleMovingAverage smaVIX;
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private SimpleMovingAverage smaVXV;
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private IndicatorBase<IndicatorDataPoint> ratio;
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/// <summary>
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/// Initialize the data and resolution you require for your strategy
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2014, 1, 1);
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SetEndDate(2018, 1, 1);
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SetCash(25000);
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// Define the symbol and "type" of our generic data
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AddData<QuandlVix>(VIX, Resolution.Daily);
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AddData<Quandl>(VXV, Resolution.Daily);
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// Set up default Indicators, these are just 'identities' of the closing price
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smaVIX = SMA(VIX, 1);
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smaVXV = SMA(VXV, 1);
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// This will create a new indicator whose value is smaVXV / smaVIX
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ratio = smaVXV.Over(smaVIX);
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}
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/// <summary>
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/// Custom data event handler:
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/// </summary>
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/// <param name="data">Quandl - dictionary Bars of Quandl Data</param>
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public void OnData(Quandl data)
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{
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// Wait for all indicators to fully initialize
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if (smaVIX.IsReady && smaVXV.IsReady && ratio.IsReady)
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{
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if (!Portfolio.Invested && ratio > 1)
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{
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MarketOrder(VIX, 100);
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}
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else if (ratio < 1)
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{
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Liquidate();
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}
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// plot our indicators
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Plot("SMA", smaVIX, smaVXV);
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Plot("Ratio", ratio);
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}
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}
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}
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/// <summary>
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/// In CBOE/VIX data, there is a "vix close" column instead of "close" which is the
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/// default column namein LEAN Quandl custom data implementation.
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/// This class assigns new column name to match the the external datasource setting.
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/// </summary>
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public class QuandlVix : Quandl
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{
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public QuandlVix() : base(valueColumnName: "vix close") { }
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}
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} |