Bryan Wang
645aba3eba
Use of class variables to pass converting strings to symbols implicitly. Warning Code: CS0618 AddRemoveSecurityRegressionAlgorithm.cs
74 lines
3.0 KiB
C#
74 lines
3.0 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.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// Uses daily data and a simple moving average cross to place trades and an ema for stop placement
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/// </summary>
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public class DailyAlgorithm : QCAlgorithm
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{
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private DateTime lastAction;
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private MovingAverageConvergenceDivergence macd;
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private ExponentialMovingAverage ema;
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private Symbol _ibm = QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA);
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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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, 01, 01); //Set Start Date
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SetEndDate(2014, 01, 01); //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, "IBM", Resolution.Hour);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
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macd = MACD(_spy, 12, 26, 9, MovingAverageType.Wilders, Resolution.Daily, Field.Close);
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ema = EMA(_ibm, 15*6, Resolution.Hour, Field.SevenBar);
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Securities[_ibm].SetLeverage(1.0m);
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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 (!macd.IsReady) return;
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if (!data.ContainsKey(_ibm)) return;
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if (lastAction.Date == Time.Date) return;
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lastAction = Time;
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var holding = Portfolio[_spy];
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if (holding.Quantity <= 0 && macd > macd.Signal && data[_ibm].Price > ema)
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{
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SetHoldings(_ibm, 0.25m);
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}
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else if (holding.Quantity >= 0 && macd < macd.Signal && data[_ibm].Price < ema)
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{
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SetHoldings(_ibm, -0.25m);
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}
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}
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}
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} |