Michael Handschuh
92c5e64024
VWAP will submit market orders while the current price is more favorable than VWAP. STD will submit market orders while the current price is a configured number of standard deviations away from the mean in the favorable direction.
59 lines
2.4 KiB
C#
59 lines
2.4 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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*/
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using QuantConnect.Algorithm.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm for the StandardDeviationExecutionModel.
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/// This algorithm shows how the execution model works to split up orders and submit them only when
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/// the price is 2 standard deviations from the 60min mean (default model settings).
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/// </summary>
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public class StandardDeviationExecutionModelRegressionAlgorithm : QCAlgorithmFramework
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{
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(1000000);
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UniverseSelection = new ManualUniverseSelectionModel(
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QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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);
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// using hourly rsi to generate more insights
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Alpha = new RsiAlphaModel(14, Resolution.Hour);
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PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
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Execution = new StandardDeviationExecutionModel();
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log($"{Time}: {orderEvent}");
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}
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}
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} |