snugs
70 lines
3.5 KiB
C#
70 lines
3.5 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 QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// This algorithm is used to benchmark the Lean engine data points per second
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/// </summary>
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/// <remarks>
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/// date | commit | time (s) | K points/sec | Total points | Description
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/// 15.04.09 | 9924b0a | 47.50 | 338 | ~16M | Update all securities prices before any events
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/// 15.04.13 | 9acf934 | 45.77 | 350 | ~16M | Forex portfolio modelling
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/// 15.04.23 | 6fd357b | 44.38 | 361 | ~16M | Adds support for dividends and splits
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/// 15.04.24 | d80b173 | 43.18 | 372 | ~16M | Pre IB launch review
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/// 15.04.24 | 8b4fc17 | 43.43 | 369 | ~16M | AlgorithmManager clean up
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/// 15.04.30 | 9918628 | 43.11 | 372 | ~16M | Improve ObjectActivator performance
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/// 15.04.30 | 49b398f | 43.02 | 373 | ~16M | DataStream sync at end of bar
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/// </remarks>
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public class BenchmarkAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 09, 15); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick);
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AddSecurity(SecurityType.Equity, "AAPL", Resolution.Second);
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AddSecurity(SecurityType.Equity, "ADBE", Resolution.Minute);
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AddSecurity(SecurityType.Equity, "IBM", Resolution.Tick);
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AddSecurity(SecurityType.Equity, "JNJ", Resolution.Second);
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AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);
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AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Tick);
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AddSecurity(SecurityType.Forex, "EURGBP", Resolution.Second);
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AddSecurity(SecurityType.Forex, "GBPUSD", Resolution.Minute);
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AddSecurity(SecurityType.Forex, "USDJPY", Resolution.Tick);
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AddSecurity(SecurityType.Forex, "NZDUSD", Resolution.Second);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">TradeBars IDictionary object with your stock data</param>
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public void OnData(TradeBars data)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", .75); // leave some room lest we experience a margin call!
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Debug("Purchased Stock");
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}
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}
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}
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} |