Stefano Raggi
76 lines
3.0 KiB
C#
76 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 System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm is a regression test case using consolidators with SetBenchmark and duplicate securities.
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/// </summary>
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public class DuplicateSecurityWithBenchmarkRegressionAlgorithm : QCAlgorithm
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{
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private SimpleMovingAverage _spyMovingAverage;
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private Equity _spy1;
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private Equity _spy2;
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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, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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_spy1 = AddEquity("SPY", Resolution.Daily);
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// SetBenchmark call prevents SMA update
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SetBenchmark("SPY");
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_spy2 = AddEquity("SPY", Resolution.Daily);
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_spyMovingAverage = SMA("SPY", 3, Resolution.Daily);
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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">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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Log($"{Time} - {Securities["SPY"].Price}, {_spyMovingAverage}");
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}
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/// <summary>
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/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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Log($"_spy1.Subscriptions.Count(): {_spy1.Subscriptions.Count()}");
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Log($"_spy2.Subscriptions.Count(): {_spy2.Subscriptions.Count()}");
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Log($"_spy1.Subscriptions.First().Consolidators.Count: {_spy1.Subscriptions.First().Consolidators.Count}");
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Log($"_spy2.Subscriptions.First().Consolidators.Count: {_spy2.Subscriptions.First().Consolidators.Count}");
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if (_spyMovingAverage == 0)
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{
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throw new Exception("SMA was not updated.");
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}
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}
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}
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} |