Gerardo Salazar
050089a3ae
* Updates TradingEconomics algorithms to use new event definition * Separated Calendar and Indicator definitions into partial class * Refactors portions of TradingEconomicsCalendar * Makes TradingEconomicsCalendar.GetSource return RemoteFile for live * Fixes bugs in TradingEconomicsEventFilter * Fixes bugs in StreamReaderExtensions (thanks Martin :)) * Adds new unit tests to cover changes
80 lines
2.8 KiB
C#
80 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.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.TradingEconomics;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Trades on interest rate announcements from data provided by Trading Economics
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/// </summary>
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public class TradingEconomicsAlgorithm : QCAlgorithm
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{
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private Symbol _interestRate;
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public override void Initialize()
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{
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SetStartDate(2013, 11, 1);
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SetEndDate(2019, 10, 3);
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SetCash(100000);
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AddEquity("AGG", Resolution.Hour);
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AddEquity("SPY", Resolution.Hour);
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_interestRate = AddData<TradingEconomicsCalendar>(TradingEconomics.Calendar.UnitedStates.InterestRate).Symbol;
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// Request 365 days of interest rate history with the TradingEconomicsCalendar custom data Symbol.
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// We should expect no historical data because 2013-11-01 is before the absolute first point of data
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var history = History<TradingEconomicsCalendar>(_interestRate, 365, Resolution.Daily);
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// Count the number of items we get from our history request (should be zero)
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Debug($"We got {history.Count()} items from our history request");
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}
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public override void OnData(Slice data)
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{
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// Make sure we have an interest rate calendar event
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if (!data.ContainsKey(_interestRate))
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{
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return;
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}
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var announcement = data.Get<TradingEconomicsCalendar>(_interestRate);
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// Confirm it's a FED Rate Decision
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if (announcement.Event != TradingEconomics.Event.UnitedStates.FedInterestRateDecision)
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{
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return;
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}
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// In the event of a rate increase, rebalance 50% to Bonds.
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var interestRateDecreased = announcement.Actual <= announcement.Previous;
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if (interestRateDecreased)
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{
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SetHoldings("SPY", 1);
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SetHoldings("AGG", 0);
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}
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else
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{
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SetHoldings("SPY", 0.5);
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SetHoldings("AGG", 0.5);
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}
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}
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}
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} |