Juan José D'Ambrosio
97 lines
4.1 KiB
C#
97 lines
4.1 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 QuantConnect.Data;
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using QuantConnect.Data.Custom.Intrinio;
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using QuantConnect.Indicators;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Basic template algorithm simply initializes the date range and cash. This is a skeleton
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/// framework you can use for designing an algorithm.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class BasicTemplateIntrinioEconomicData : QCAlgorithm
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{
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private Symbol _uso; // United States Oil Fund LP
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private Symbol _bno; // United States Brent Oil Fund LP
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Identity _wti = new Identity("WTI");
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Identity _brent = new Identity("Brent");
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private CompositeIndicator<IndicatorDataPoint> _spread;
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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(2010, 01, 01); //Set Start Date
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SetEndDate(2013, 12, 31); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Set your Intrinino user and password.
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IntrinioConfig.User = "";
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IntrinioConfig.Password = "";
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// The Intrinio user and password can be also defined in the config.json file for local backtest.
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// Find more symbols here: http://quantconnect.com/data
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// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
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// Futures Resolution: Tick, Second, Minute
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// Options Resolution: Minute Only.
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_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
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_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
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AddData<IntrinioEconomicData>(EconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
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AddData<IntrinioEconomicData>(EconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
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_spread = _brent.Minus(_wti);
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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 ((_spread > 0 && !Portfolio[_bno].IsLong) ||
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(_spread < 0 && !Portfolio[_uso].IsShort))
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{
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SetHoldings(_bno, 0.25 * Math.Sign(_spread));
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SetHoldings(_uso, -0.25 * Math.Sign(_spread));
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}
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}
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public void OnData(IntrinioEconomicData economicData)
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{
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string oilMarket;
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if (economicData.Symbol.Value == EconomicDataSources.Commodities.CrudeOilWTI)
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{
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oilMarket = "West Texas Intermediate";
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_wti.Update(economicData.Time, economicData.Price);
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}
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else
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{
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oilMarket = "Brent";
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_brent.Update(economicData.Time, economicData.Price);
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}
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// Log(string.Format("Crude Oil {0} price {1:F4}", oilMarket, economicData.Value));
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}
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}
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} |