AlexCatarino
b145521c72
In some examples, we have been using Portfolio.Cash to calculate the quantity of shares in orders. This is a bad advice for users, since Portfolio.Cash does not account loses in other positions and its use can lead to invalid orders due to insufficient capital. Instead, users should use Portfolio.MarginRemaining. FuzzyInferenceAlgorithm and LiveFeaturesAlgorithm had minor changes to perform backtests with available data
69 lines
2.8 KiB
C#
69 lines
2.8 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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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// 3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc).
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///
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/// The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source.
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///
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/// This includes any data source which has a TIME and VALUE. These are the *only* requirements. To demonstrate this we're loading
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/// in "Bitcoin" data.
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///
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/// </summary>
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public class CustomDataBitcoinAlgorithm : QCAlgorithm
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{
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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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//Weather data we have is within these days:
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SetStartDate(2011, 9, 13);
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SetEndDate(DateTime.Now.Date.AddDays(-1));
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//Set the cash for the strategy:
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SetCash(100000);
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//Define the symbol and "type" of our generic data:
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AddData<Bitcoin>("BTC");
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}
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/// <summary>
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/// Event Handler for Bitcoin Data Events: These weather objects are created from our
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/// "Weather" type below and fired into this event handler.
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/// </summary>
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/// <param name="data">One(1) Weather Object, streamed into our algorithm synchronised in time with our other data streams</param>
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public void OnData(Bitcoin data)
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{
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//If we don't have any weather "SHARES" -- invest"
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if (!Portfolio.Invested)
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{
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//Weather used as a tradable asset, like stocks, futures etc.
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if (data.Close != 0)
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{
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Order("BTC", (Portfolio.MarginRemaining / Math.Abs(data.Close + 1)));
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}
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Console.WriteLine("Buying BTC 'Shares': BTC: " + data.Close);
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}
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Console.WriteLine("Time: " + Time.ToLongDateString() + " " + Time.ToLongTimeString() + data.Close.ToString());
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}
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}
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} |