Stefano Raggi
58 lines
2.0 KiB
Python
58 lines
2.0 KiB
Python
# 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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from clr import AddReference
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AddReference("System.Core")
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AddReference("System.Collections")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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import numpy as np
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### <summary>
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### Use event/fundamental calendar information (DailyFx) to design event based forex algorithms.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="forex" />
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### <meta name="tag" content="dailyfx" />
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class DailyFxAlgorithm(QCAlgorithm):
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''' Add the Daily FX type to our algorithm and use its events. '''
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def Initialize(self):
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# Set the cash we'd like to use for our backtest
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self.SetCash(100000)
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# Set the start and the end date
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self.SetStartDate(2016,05,26)
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self.SetEndDate(2016,05,27)
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self._sliceCount = 0
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self._eventCount = 0
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self.AddData[DailyFx]("DFX",Resolution.Second)
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def OnData(self, data):
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# Daily Fx demonstration to call on
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if "DFX" not in data: return
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result = data["DFX"]
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self._sliceCount +=1
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self.Log("SLICE >> {0} : {1}".format(self._sliceCount, result.ToString()))
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