Jared Broad
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="importing 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(2014, 05, 07); //Set Start Date
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SetEndDate(2014, 05, 15); //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, Market.FXCM).Symbol;
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AddData<FxcmVolume>("EURUSD", Resolution.Minute, DateTimeZone.Utc);
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var _price = Identity(EURUSD);
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fastVWMA = _price.WeightedBy(volume, period: 15);
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slowVWMA = _price.WeightedBy(volume, period: 300);
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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.Value
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});
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}
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}
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} |