AlexCatarino
77d1b537ee
Adds overloads to Plot and PlotIndicator to handle calls from python. Adds CustomChartingAlgorithm and changes MACDTrendAlgorithm to showcase the feature
81 lines
3.3 KiB
Python
81 lines
3.3 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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import clr
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clr.AddReference("System")
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clr.AddReference("System.Collections")
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clr.AddReference("QuantConnect.Algorithm")
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clr.AddReference("QuantConnect.Indicators")
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clr.AddReference("QuantConnect.Common")
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from System import *
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from System.Collections.Generic import List
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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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import numpy as np
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import decimal as d
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from datetime import timedelta, datetime
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class CustomChartingAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2016,1,1)
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self.SetEndDate(2017,1,1)
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self.SetCash(100000)
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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# In your initialize method:
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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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stockPlot.AddSeries(Series("Buy", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("Sell", SeriesType.Scatter, 0))
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stockPlot.AddSeries(Series("Price", SeriesType.Line, 0))
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self.AddChart(stockPlot)
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avgCross = Chart("Strategy Equity")
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avgCross.AddSeries(Series("FastMA", SeriesType.Line, 1))
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avgCross.AddSeries(Series("SlowMA", SeriesType.Line, 1))
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self.AddChart(avgCross)
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self.fastMA = 0
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self.slowMA = 0
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self.resample = datetime.min
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self.resamplePeriod = (self.EndDate - self.StartDate) / 2000
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def OnData(self, slice):
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self.lastPrice = slice[self.spy].Close
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if self.fastMA == 0: self.fastMA = self.lastPrice
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if self.slowMA == 0: self.slowMA = self.lastPrice
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self.fastMA = (d.Decimal(0.01) * self.lastPrice) + (d.Decimal(0.99) * self.fastMA);
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self.slowMA = (d.Decimal(0.001) * self.lastPrice) + (d.Decimal(0.999) * self.slowMA);
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if self.Time > self.resample:
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self.resample = self.Time + 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 not self.Portfolio.Invested and self.Time.day % 13 == 0:
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self.Order(self.spy, (int)(self.Portfolio.MarginRemaining / self.lastPrice))
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self.Plot("Trade Plot", "Buy", self.lastPrice)
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elif self.Time.day % 21 == 0 and self.Portfolio.Invested:
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self.Plot("Trade Plot", "Sell", self.lastPrice)
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self.Liquidate()
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def OnEndOfDay(self):
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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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