QuantConnect
62 lines
2.5 KiB
C#
62 lines
2.5 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 System;
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using System.Collections.Generic;
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using QuantConnect.Data.Test;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Securities.Forex;
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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// Custom Data Example Algorithm using Fillforward to
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/// </summary>
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public class CustomDataWithFillForwardAlgorithm : 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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SetStartDate(2014, 05, 01);
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SetEndDate(2014, 05, 30);
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// create 'custom' data that just looks in the normal place for data
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AddData<FakeForexTradeBarCustom>("EURUSD", Resolution.Minute, true);
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Securities["EURUSD"].Exchange = new ForexExchange();
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AddData<FakeForexTradeBarCustom>("NZDUSD", Resolution.Minute, true);
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Securities["NZDUSD"].Exchange = new ForexExchange();
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AddData<FakeEquityTradeBarCustom>("MSFT", Resolution.Minute, true);
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Securities["MSFT"].Exchange = new EquityExchange();
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AddData<FakeEquityTradeBarCustom>("SPY", Resolution.Minute, true);
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Securities["SPY"].Exchange = new EquityExchange();
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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="custom">TradeBars IDictionary object with your stock data</param>
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public void OnData(FakeTradeBarCustom custom)
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{
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Console.WriteLine(custom.Time.ToString("o") + " FF " + (custom.IsFillForward ? "1" : "0") + " " + custom.Symbol);
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}
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}
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}
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