Stefano Raggi
92 lines
3.5 KiB
C#
92 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 System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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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 test case for adding forex symbols at a higher resolution of an existing internal feed.
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/// The second symbol is added in the OnData method.
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/// </summary>
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public class ForexInternalFeedOnDataHigherResolutionRegressionAlgorithm : QCAlgorithm
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{
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private readonly Dictionary<Symbol, int> _dataPointsPerSymbol = new Dictionary<Symbol, int>();
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private bool _added;
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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, 7);
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SetEndDate(2013, 10, 8);
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SetCash(100000);
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var eurgbp = AddForex("EURGBP", Resolution.Daily);
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_dataPointsPerSymbol.Add(eurgbp.Symbol, 0);
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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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if (!_added)
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{
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var eurusd = AddForex("EURUSD", Resolution.Hour);
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_dataPointsPerSymbol.Add(eurusd.Symbol, 0);
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_added = true;
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}
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foreach (var kvp in data)
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{
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var symbol = kvp.Key;
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_dataPointsPerSymbol[symbol]++;
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Log($"{Time} {symbol.Value} {kvp.Value.Price}");
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}
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}
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/// <summary>
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/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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// EURUSD has only one day of hourly data, because it was added on the first time step instead of during Initialize
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var expectedDataPointsPerSymbol = new Dictionary<string, int>
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{
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{ "EURGBP", 3 },
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{ "EURUSD", 24 }
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};
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foreach (var kvp in _dataPointsPerSymbol)
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{
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var symbol = kvp.Key;
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var actualDataPoints = _dataPointsPerSymbol[symbol];
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Log($"Data points for symbol {symbol.Value}: {actualDataPoints}");
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if (actualDataPoints != expectedDataPointsPerSymbol[symbol.Value])
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{
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throw new Exception($"Data point count mismatch for symbol {symbol.Value}: expected: {expectedDataPointsPerSymbol}, actual: {actualDataPoints}");
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}
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}
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}
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}
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} |