Jing Wu
76 lines
3.3 KiB
Python
76 lines
3.3 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")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Indicators")
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from System import *
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from QuantConnect import *
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from QuantConnect.Indicators import *
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from QuantConnect.Data.Custom import *
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from QuantConnect.Algorithm import *
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from NodaTime import DateTimeZone
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from QuantConnect.Data.Custom import FxcmVolume
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import decimal as d
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import pandas as pd
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from datetime import datetime
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### <summary>
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### Example demonstrating importing custom forex volume data to use with your algorithm from FXCM.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="plotting indicators" />
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### <meta name="tag" content="forex" />
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class BasicTemplateFxcmVolumeAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(100000) # Set Strategy Cash
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self.SetStartDate(2015, 2, 1) # Set Start Date
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self.SetEndDate(2015, 3, 1) # Set End Date
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# Add the forex asset
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# Find more symbols here: https://www.quantconnect.com/docs/data-library/forex
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self.syl = self.AddForex("EURUSD", Resolution.Minute, Market.FXCM).Symbol
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# Add the FXCM volume data
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self.vol_syl = self.AddData(FxcmVolume, "EURUSD_Vol", Resolution.Hour, TimeZones.Utc).Symbol
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self.price = self.Identity(self.syl, Resolution.Hour)
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self.volume = Identity("volIdentity")
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self.fastVWMA = IndicatorExtensions.WeightedBy(self.price, self.volume, 15)
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self.slowVWMA = IndicatorExtensions.WeightedBy(self.price, self.volume, 300)
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# plot the difference between fastVWMA and slowVWMA
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self.PlotIndicator("VWMA", IndicatorExtensions.Minus(self.fastVWMA, self.slowVWMA))
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def OnData(self, data):
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if data.ContainsKey("EURUSD_VOL"):
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self.volume.Update(IndicatorDataPoint(self.Time,data[self.vol_syl].Volume))
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if not self.slowVWMA.IsReady: return
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if (not self.Portfolio.Invested) or self.Portfolio[self.syl].IsShort:
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if self.fastVWMA.Current.Value > self.slowVWMA.Current.Value:
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self.SetHoldings(self.syl, 1)
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self.Log(str(self.Time) + " Take a Long Position.")
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elif self.fastVWMA.Current.Value < self.slowVWMA.Current.Value:
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self.SetHoldings(self.syl, -1)
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self.Log(str(self.Time) + " Take a Short Position.") |