AlexCatarino
e7680d0b25
The previous version was using unexisting data. At the moment, we only have hour and daily-resolution data for forex volume. Once the resolution is changed, we have to modify the resolution of the indicator since both indicators in WeightedBy must have the same resolution.
91 lines
3.5 KiB
C#
91 lines
3.5 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 NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom;
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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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/// 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="custom data" />
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/// <meta name="tag" content="history" />
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/// <meta name="tag" content="forex" />
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public class BasicTemplateFxcmVolumeAlgorithm : QCAlgorithm
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{
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private Symbol EURUSD;
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private CompositeIndicator<IndicatorDataPoint> fastVWMA;
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private CompositeIndicator<IndicatorDataPoint> slowVWMA;
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private readonly Identity volume = new Identity("volIdentity");
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/// <summary>
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/// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All
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/// 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(2015, 02, 01); //Set Start Date
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SetEndDate(2015, 03, 01); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: https://www.quantconnect.com/data
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EURUSD = AddForex("EURUSD", Resolution.Minute).Symbol;
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AddData<FxcmVolume>("EURUSD_Vol", Resolution.Hour, DateTimeZone.Utc);
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var _price = Identity(EURUSD, Resolution.Hour);
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fastVWMA = _price.WeightedBy(volume, period: 15);
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slowVWMA = _price.WeightedBy(volume, period: 300);
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PlotIndicator("VWMA", fastVWMA.Minus(slowVWMA));
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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 (!slowVWMA.IsReady) return;
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if (!Portfolio.Invested || Portfolio[EURUSD].IsShort)
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{
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if (fastVWMA > slowVWMA)
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{
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SetHoldings(EURUSD, percentage: 1);
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Log(Time.ToString("g") + " Take a Long Position.");
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}
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}
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else
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{
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if (fastVWMA < slowVWMA)
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{
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SetHoldings(EURUSD, percentage: -1);
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Log(Time.ToString("g") + " Take a Short Position.");
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}
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}
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}
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public void OnData(FxcmVolume fxVolume)
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{
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volume.Update(new IndicatorDataPoint
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{
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Time = Time,
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Value = fxVolume.Volume
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});
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}
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}
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} |