quant1729
221 lines
11 KiB
C#
221 lines
11 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 System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom;
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using QuantConnect.Data.Market;
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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 demonstrates the various ways you can call the History function,
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/// what it returns, and what you can do with the returned values.
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/// </summary>
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public class HistoryAlgorithm : QCAlgorithm
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{
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public SimpleMovingAverage spyDailySma;
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private int _count = 0;
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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, 08); //Set Start Date
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SetEndDate(2013, 10, 11); //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, "SPY", Resolution.Daily);
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AddData<Quandl>("YAHOO/INDEX_SPY", Resolution.Daily);
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// specifying the exchange will allow the history methods that accept a number of bars to return to work properly
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Securities["YAHOO/INDEX_SPY"].Exchange = new EquityExchange();
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// we can get history in initialize to set up indicators and such
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spyDailySma = new SimpleMovingAverage(14);
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// get the last calendar year's worth of SPY data at the configured resolution (daily)
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var tradeBarHistory = History("SPY", TimeSpan.FromDays(365));
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AssertHistoryCount("History(\"SPY\", TimeSpan.FromDays(365))", tradeBarHistory, 250);
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// get the last calendar day's worth of SPY data at the specified resolution
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tradeBarHistory = History("SPY", TimeSpan.FromDays(1), Resolution.Minute);
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AssertHistoryCount("History(\"SPY\", TimeSpan.FromDays(1), Resolution.Minute)", tradeBarHistory, 390);
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// get the last 14 bars of SPY at the configured resolution (daily)
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tradeBarHistory = History("SPY", 14).ToList();
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AssertHistoryCount("History(\"SPY\", 14)", tradeBarHistory, 14);
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// get the last 14 minute bars of SPY
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tradeBarHistory = History("SPY", 14, Resolution.Minute);
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AssertHistoryCount("History(\"SPY\", 14, Resolution.Minute)", tradeBarHistory, 14);
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// we can loop over the return value from these functions and we get TradeBars
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// we can use these TradeBars to initialize indicators or perform other math
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foreach (TradeBar tradeBar in tradeBarHistory)
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{
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spyDailySma.Update(tradeBar.EndTime, tradeBar.Close);
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}
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// get the last calendar year's worth of quandl data at the configured resolution (daily)
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var quandlHistory = History<Quandl>("YAHOO/INDEX_SPY", TimeSpan.FromDays(365));
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AssertHistoryCount("History<Quandl>(\"YAHOO/INDEX_SPY\", TimeSpan.FromDays(365))", quandlHistory, 250);
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// get the last 14 bars of SPY at the configured resolution (daily)
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quandlHistory = History<Quandl>("YAHOO/INDEX_SPY", 14);
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AssertHistoryCount("History<Quandl>(\"YAHOO/INDEX_SPY\", 14)", quandlHistory, 14);
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// get the last 14 minute bars of SPY
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// we can loop over the return values from these functions and we'll get Quandl data
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// this can be used in much the same way as the tradeBarHistory above
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spyDailySma.Reset();
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foreach (Quandl quandl in quandlHistory)
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{
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spyDailySma.Update(quandl.EndTime, quandl.Value);
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}
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// get the last year's worth of all configured Quandl data at the configured resolution (daily)
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var allQuandlData = History<Quandl>(TimeSpan.FromDays(365));
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AssertHistoryCount("History<Quandl>(TimeSpan.FromDays(365))", allQuandlData, 250);
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// get the last 14 bars worth of Quandl data for the specified symbols at the configured resolution (daily)
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allQuandlData = History<Quandl>(Securities.Keys, 14);
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AssertHistoryCount("History<Quandl>(Securities.Keys, 14)", allQuandlData, 14);
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// NOTE: using different resolutions require that they are properly implemented in your data type, since
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// Quandl doesn't support minute data, this won't actually work, but if your custom data source has
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// different resolutions, it would need to be implemented in the GetSource and Reader methods properly
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//quandlHistory = History<Quandl>("YAHOO/INDEX_SPY", TimeSpan.FromDays(7), Resolution.Minute);
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//quandlHistory = History<Quandl>("YAHOO/INDEX_SPY", 14, Resolution.Minute);
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//allQuandlData = History<Quandl>(TimeSpan.FromDays(365), Resolution.Minute);
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//allQuandlData = History<Quandl>(Securities.Keys, 14, Resolution.Minute);
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//allQuandlData = History<Quandl>(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
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//allQuandlData = History<Quandl>(Securities.Keys, 14, Resolution.Minute);
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// get the last calendar year's worth of all quandl data
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allQuandlData = History<Quandl>(Securities.Keys, TimeSpan.FromDays(365));
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AssertHistoryCount("History<Quandl>(Securities.Keys, TimeSpan.FromDays(365))", allQuandlData, 250);
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// the return is a series of dictionaries containing all quandl data at each time
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// we can loop over it to get the individual dictionaries
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foreach (DataDictionary<Quandl> quandlsDataDictionary in allQuandlData)
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{
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// we can access the dictionary to get the quandl data we want
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var quandl = quandlsDataDictionary["YAHOO/INDEX_SPY"];
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}
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// we can also access the return value from the multiple symbol functions to request a single
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// symbol and then loop over it
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var singleSymbolQuandl = allQuandlData.Get("YAHOO/INDEX_SPY");
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AssertHistoryCount("allQuandlData.Get(\"YAHOO/INDEX_SPY\")", singleSymbolQuandl, 250);
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foreach (Quandl quandl in singleSymbolQuandl)
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{
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// do something with 'YAHOO/INDEX_SPY' quandl data
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}
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// we can also access individual properties on our data, this will
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// get the 'YAHOO/INDEX_SPY' quandls like above, but then only return the Low properties
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var quandlSpyLows = allQuandlData.Get("YAHOO/INDEX_SPY", "Low");
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AssertHistoryCount("allQuandlData.Get(\"YAHOO/INDEX_SPY\", \"Low\")", quandlSpyLows, 250);
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foreach (decimal low in quandlSpyLows)
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{
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// do something we each low value
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}
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// sometimes it's necessary to get the history for many configured symbols
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// request the last year's worth of history for all configured symbols at their configured resolutions
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var allHistory = History(TimeSpan.FromDays(365));
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AssertHistoryCount("History(TimeSpan.FromDays(365))", allHistory, 250);
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// request the last days's worth of history at the minute resolution
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allHistory = History(TimeSpan.FromDays(1), Resolution.Minute);
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AssertHistoryCount("History(TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391);
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// request the last 100 bars for the specified securities at the configured resolution
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allHistory = History(Securities.Keys, 100);
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AssertHistoryCount("History(Securities.Keys, 100)", allHistory, 100);
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// request the last 100 minute bars for the specified securities
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allHistory = History(Securities.Keys, 100, Resolution.Minute);
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AssertHistoryCount("History(Securities.Keys, 100, Resolution.Minute)", allHistory, 101);
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// request the last calendar years worth of history for the specified securities
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allHistory = History(Securities.Keys, TimeSpan.FromDays(365));
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AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(365))", allHistory, 250);
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// we can also specify the resolutin
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allHistory = History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
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AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391);
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// if we loop over this allHistory, we get Slice objects
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foreach (Slice slice in allHistory)
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{
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// do something with each slice, these will come in time order
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// and will NOT have auxilliary data, just price data and your custom data
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// if those symbols were specified
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}
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// we can access the history for individual symbols from the all history by specifying the symbol
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// the type must be a trade bar!
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tradeBarHistory = allHistory.Get("SPY");
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AssertHistoryCount("allHistory.Get(\"SPY\")", tradeBarHistory, 390);
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// we can access all the closing prices in chronological order using this get function
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var closeHistory = allHistory.Get("SPY", Field.Close);
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AssertHistoryCount("allHistory.Get(\"SPY\", Field.Close)", closeHistory, 390);
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foreach (decimal close in closeHistory)
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{
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// do something with each closing value in order
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}
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// we can convert the close history into your normal double array (double[]) using the ToDoubleArray method
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double[] doubleArray = closeHistory.ToDoubleArray();
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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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_count++;
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if (_count > 5)
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{
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throw new Exception("Invalid number of bars arrived. Expected exactly 5");
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}
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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Debug("Purchased Stock");
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}
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}
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private static void AssertHistoryCount<T>(string methodCall, IEnumerable<T> tradeBarHistory, int expected)
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{
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var count = tradeBarHistory.Count();
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if (count != expected)
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{
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throw new Exception(methodCall + " expected " + expected + ", but received " + count);
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}
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}
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}
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} |