Noah Misch
2b1136e446
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Commit d24f665ee4 removed the
Engine/AlgorithmManager.cs support for OnData(TradeBars), making these
methods dead code. Hence, some of these algorithms no longer placed
orders. Fix by changing OnData(TradeBars) to OnData(Slice). Files that
use the TradeBars argument or use OnData(Dividends) have the same
trouble; leave them for future work.
104 lines
3.9 KiB
C#
104 lines
3.9 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Randomly selects the specified number of symbols from the lists below
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/// </summary>
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/// <meta name="tag" content="regression test" />
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public class StressSymbolsAlgorithm : QCAlgorithm
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{
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public const int TickSymbolsToRun = 0;
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public const int SecondSymbolsToRun = 0;
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public const int MinuteSymbolsToRun = 0;
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public const int HourSymbolsToRun = 0;
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public const int DailySymbolsToRun = 1000;
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/// <summary>
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/// Add Hundreds of Stock and Forex Symbol
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2001, 10, 07);
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SetEndDate(2010, 10, 11);
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SetCash(250000);
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var allSymbols = StressSymbols.StockSymbols.ToList();//.Concat(ForexSymbols).ToList();
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if (TickSymbolsToRun + SecondSymbolsToRun + HourSymbolsToRun + DailySymbolsToRun > allSymbols.Count)
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{
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throw new RegressionTestException("Too many symbols, all symbols: " + allSymbols.Count);
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}
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var hash = new HashSet<string> {"DNY", "MLNK"};
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var ticks = GetRandomSymbols(allSymbols, hash, TickSymbolsToRun).ToList();
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var seconds = GetRandomSymbols(allSymbols, hash, SecondSymbolsToRun).ToList();
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var minutes = GetRandomSymbols(allSymbols, hash, MinuteSymbolsToRun).ToList();
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var hours = GetRandomSymbols(allSymbols, hash, HourSymbolsToRun).ToList();
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var daily = GetRandomSymbols(allSymbols, hash, DailySymbolsToRun).ToList();
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AddSecurity(ticks, Resolution.Tick);
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AddSecurity(seconds, Resolution.Second);
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AddSecurity(minutes, Resolution.Minute);
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AddSecurity(hours, Resolution.Hour);
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AddSecurity(daily, Resolution.Daily);
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//SetUniverse(coarse => coarse.Take(1));
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}
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private void AddSecurity(IEnumerable<string> symbols, Resolution resolution)
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{
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foreach (var symbol in symbols)
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{
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var securityType = StressSymbols.ForexSymbols.Contains(symbol) ? SecurityType.Forex : SecurityType.Equity;
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AddSecurity(securityType, symbol, resolution);
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}
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}
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private IEnumerable<string> GetRandomSymbols(List<string> allSymbols, HashSet<string> hash, int numberOfSymbols)
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{
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return Enumerable.Range(0, numberOfSymbols).Select(x => GetRandomItem(allSymbols, hash));
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}
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private readonly Random _random = new Random();
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private string GetRandomItem(IReadOnlyList<string> list, HashSet<string> hash)
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{
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var count = 0;
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string item;
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do
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{
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item = list[_random.Next(list.Count)];
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count++;
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}
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while (!hash.Add(item) && count < list.Count*2);
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return item;
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}
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/// <summary>
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/// data event handler
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/// </summary>
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public override void OnData(Slice slice)
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{
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}
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}
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} |