Jared Broad
71 lines
3.0 KiB
C#
71 lines
3.0 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 QuantConnect.Data;
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using RDotNet;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of the R-integration for calling external statistics operations in QuantConnect.
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/// </summary>
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/// <meta name="tag" content="using r" />
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/// <meta name="tag" content="statistics libraries" />
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public class CallingRFromCSharp : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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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(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddEquity("SPY", Resolution.Second);
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var engine = REngine.GetInstance();
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engine.Evaluate("print('This is from R command.')");
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// .NET Framework array to R vector.
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var group1 = engine.CreateNumericVector(new double[] { 30.02, 29.99, 30.11, 29.97, 30.01, 29.99 });
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engine.SetSymbol("group1", group1);
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// Direct parsing from R script.
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var group2 = engine.Evaluate("group2 <- c(29.89, 29.93, 29.72, 29.98, 30.02, 29.98)").AsNumeric();
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// Test difference of mean and get the P-value.
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var testResult = engine.Evaluate("t.test(group1, group2)").AsList();
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var p = testResult["p.value"].AsNumeric().First();
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// you should always dispose of the REngine properly.
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// After disposing of the engine, you cannot reinitialize nor reuse it
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engine.Dispose();
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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 (!Portfolio.Invested)
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{
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SetHoldings(_spy, 1);
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}
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}
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}
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}
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