quantconnect--lean/Algorithm.CSharp/LiveFeaturesAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Globalization;
using Newtonsoft.Json;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;

namespace QuantConnect
{
    /// <summary>
    /// QuantConnect University: Live Trading Functionality Demonstration:
    /// This algorithm demonstrates the underlying functionality specifically for live trading.
    /// </summary>
    public class LiveTradingFeaturesAlgorithm : QCAlgorithm
    {
        /// <summary>
        /// Initialise the Algorithm and Prepare Required Data.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 7);
            SetEndDate(2013, 10, 11);
            SetCash(25000);

            //Equity Data for US Markets:
            AddSecurity(SecurityType.Equity, "IBM", Resolution.Second);

            //FOREX Data for Weekends: 24/6
            AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute);

            //Custom/Bitcoin Live Data: 24/7
            AddData<Bitcoin>("BTC", Resolution.Second);
        }

        /// <summary>
        /// New Bitcoin Data Event.
        /// </summary>
        /// <param name="data">Data.</param>
        public void OnData(Bitcoin data)
        {
            if (LiveMode) //Live Mode Property
            {
                //Configurable title header statistics numbers
                SetRuntimeStatistic("BTC", data.Close.ToString("C"));
            }

            if (!Portfolio.HoldStock)
            {
                Order("BTC", 100);

                //Send a notification email/SMS/web request on events:
                Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
                Notify.Sms("+11233456789", Time.ToString("u") + ">> Test message from live BTC server.");
                Notify.Web("http://api.quantconnect.com", Time.ToString("u") + ">> Test data packet posted from live BTC server.");
            }
        }

        /// <summary>
        /// Raises the data event.
        /// </summary>
        /// <param name="data">Data.</param>
        public void OnData(TradeBars data)
        {
            if (!Portfolio["IBM"].HoldStock && data.ContainsKey("IBM"))
            {
                int quantity = (int)Math.Floor(Portfolio.MarginRemaining / data["IBM"].Close);
                Order("IBM", quantity);
                Debug("Purchased IBM on " + Time.ToShortDateString());
                Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
            }
        }
    }

    /// <summary>
    /// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
    /// </summary>
    public class Bitcoin : BaseData
    {
        //Set the defaults:
        /// <summary>
        /// Open Price
        /// </summary>
        public decimal Open = 0;
        
        /// <summary>
        /// High Price
        /// </summary>
        public decimal High = 0;
        
        /// <summary>
        /// Low Price
        /// </summary>
        public decimal Low = 0;

        /// <summary>
        /// Closing Price
        /// </summary>
        public decimal Close = 0;

        /// <summary>
        /// Volume in BTC
        /// </summary>
        public decimal VolumeBTC = 0;

        /// <summary>
        /// Volume in USD
        /// </summary>
        public decimal VolumeUSD = 0;
        
        /// <summary>
        /// Volume in USD:
        /// </summary>
        public decimal WeightedPrice = 0;

        /// <summary>
        /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
        /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
        /// </summary>
        public Bitcoin()
        {
            Symbol = "BTC";
        }

        /// <summary>
        /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
        /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
        /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
        /// </summary>
        /// <param name="config">Configuration object</param>
        /// <param name="date">Date of this source file</param>
        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
        /// <returns>String URL of source file.</returns>
        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
        {
            if (isLiveMode)
            {
                return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
            }

            //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
            // OR simply return a fixed small data file. Large files will slow down your backtest
            return new SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);
        }

        /// <summary>
        /// 3. READER METHOD: Read 1 line from data source and convert it into Object.
        /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
        /// feeds it into your algorithm
        /// </summary>
        /// <param name="line">string line from the data source file submitted above</param>
        /// <param name="config">Subscription data, symbol name, data type</param>
        /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
        /// <returns>New Bitcoin Object which extends BaseData.</returns>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
        {
            var coin = new Bitcoin();
            if (isLiveMode)
            {
                //Example Line Format:
                //{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
                try
                {
                    var liveBTC = JsonConvert.DeserializeObject<LiveBitcoin>(line);
                    coin.Time = DateTime.Now;
                    coin.Open = liveBTC.Last;
                    coin.High = liveBTC.High;
                    coin.Low = liveBTC.Low;
                    coin.Close = liveBTC.Last;
                    coin.VolumeBTC = liveBTC.Volume;
                    coin.WeightedPrice = liveBTC.VWAP;
                    coin.Symbol = "BTC";
                    coin.Value = coin.Close;
                }
                catch { /* Do nothing, possible error in json decoding */ }
                return coin;
            }
            
            //Example Line Format:
            //Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
            //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
            try
            {
                string[] data = line.Split(',');
                coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
                coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
                coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
                coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
                coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
                coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
                coin.Symbol = "BTC";
                coin.Value = coin.Close;
            }
            catch { /* Do nothing, skip first title row */ }

            return coin;
        }
    }

    /// <summary>
    /// Live data structure
    /// </summary>
    public class LiveBitcoin
    {
        [JsonProperty("timestamp")]
        public int Timestamp = 0;
        [JsonProperty("last")]
        public decimal Last = 0;
        [JsonProperty("high")]
        public decimal High = 0;
        [JsonProperty("low")]
        public decimal Low = 0;
        [JsonProperty("bid")]
        public decimal Bid = 0;
        [JsonProperty("ask")]
        public decimal Ask = 0;
        [JsonProperty("vwap")]
        public decimal VWAP = 0;
        [JsonProperty("volume")]
        public decimal Volume = 0;
    }
}