snugs
4ae1f4f5b6
Fixes bug in backtest history provider Requests for bar counts were always incorrect because the history provider was emitting bars whose end time is equal to the start time. Implemented a FilterEnumerator<T> privately so he can filter those out when using non-tick data
71 lines
2.7 KiB
C#
71 lines
2.7 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 QuantConnect.Data;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm demonstrates using the history provider to retrieve data
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/// to warm up indicators before data is received
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/// </summary>
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public class WarmupHistoryAlgorithm : QCAlgorithm
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{
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private ExponentialMovingAverage fast, slow;
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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); //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.Forex, "EURUSD", Resolution.Second);
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fast = EMA("EURUSD", 60);
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slow = EMA("EURUSD", 3600);
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// 3601 because rolling window waits for one to fall off the back to be considered ready
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var history = History("EURUSD", 3601);
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foreach (var bar in history)
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{
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fast.Update(bar.EndTime, bar.Close);
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slow.Update(bar.EndTime, bar.Close);
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}
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Log(string.Format("FAST IS {0} READY. Samples: {1}", fast.IsReady ? "" : "NOT", fast.Samples));
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Log(string.Format("SLOW IS {0} READY. Samples: {1}", slow.IsReady ? "" : "NOT", slow.Samples));
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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 (fast > slow)
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{
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SetHoldings("EURUSD", 1);
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}
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else
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{
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SetHoldings("EURUSD", -1);
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}
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}
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}
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} |