chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating custom charting support in QuantConnect.
+    /// The entire charting system of quantconnect is adaptable. You can adjust it to draw whatever you'd like.
+    /// Charts can be stacked, or overlayed on each other. Series can be candles, lines or scatter plots.
+    /// Even the default behaviours of QuantConnect can be overridden.
+    /// </summary>
+    /// <meta name="tag" content="charting" />
+    /// <meta name="tag" content="adding charts" />
+    /// <meta name="tag" content="series types" />
+    /// <meta name="tag" content="plotting indicators" />
+    public class CustomChartingAlgorithm : QCAlgorithm
+    {
+        private decimal _fastMa;
+        private decimal _slowMa;
+        private decimal _lastPrice;
+        private DateTime _resample;
+        private TimeSpan _resamplePeriod;
+        private readonly DateTime _startDate = new DateTime(2010, 3, 3);
+        private readonly DateTime _endDate = new DateTime(2014, 3, 3);
+
+        /// <summary>
+        /// Called at the start of your algorithm to setup your requirements:
+        /// </summary>
+        public override void Initialize()
+        {
+            //Set the date range you want to run your algorithm:
+            SetStartDate(_startDate);
+            SetEndDate(_endDate);
+
+            //Set the starting cash for your strategy:
+            SetCash(100000);
+
+            //Add any stocks you'd like to analyse, and set the resolution:
+            // Find more symbols here: http://quantconnect.com/data
+            var spy = AddSecurity(SecurityType.Equity, "SPY").Symbol;
+
+            //Chart - Master Container for the Chart:
+            var stockPlot = new Chart("Trade Plot");
+            //On the Trade Plotter Chart we want 3 series: trades and price:
+            var buyOrders = new Series("Buy", SeriesType.Scatter, 0);
+            var sellOrders = new Series("Sell", SeriesType.Scatter, 0);
+            var assetPrice = new Series("Price", SeriesType.Line, 0);
+            stockPlot.AddSeries(buyOrders);
+            stockPlot.AddSeries(sellOrders);
+            stockPlot.AddSeries(assetPrice);
+            AddChart(stockPlot);
+
+            var avgCross = new Chart("Strategy Equity");
+            var fastMa = new Series("FastMA", SeriesType.Line, 1);
+            var slowMa = new Series("SlowMA", SeriesType.Line, 1);
+            avgCross.AddSeries(fastMa);
+            avgCross.AddSeries(slowMa);
+            AddChart(avgCross);
+
+            _resamplePeriod = TimeSpan.FromMinutes((_endDate - _startDate).TotalMinutes / 2000);
+
+            // There's support for candlestick charts built-in:
+            var dailySpyPlot = new Chart("Daily SPY");
+            var spyCandlesticks = new CandlestickSeries("SPY");
+            dailySpyPlot.AddSeries(spyCandlesticks);
+            AddChart(dailySpyPlot);
+
+            Consolidate<TradeBar>(spy, TimeSpan.FromDays(1), (bar) =>
+            {
+                Plot("Daily SPY", "SPY", bar);
+            });
+        }
+
+
+        /// <summary>
+        /// OnEndOfDay Event Handler - At the end of each trading day we fire this code.
+        /// To avoid flooding, we recommend running your plotting at the end of each day.
+        /// </summary>
+        public override void OnEndOfDay(Symbol symbol)
+        {
+            //Log the end of day prices:
+            Plot("Trade Plot", "Price", _lastPrice);
+        }
+
+
+        /// <summary>
+        /// On receiving new tradebar data it will be passed into this function. The general pattern is:
+        /// "public void OnData( CustomType name ) {...s"
+        /// </summary>
+        /// <param name="data">TradeBars data type synchronized and pushed into this function. The tradebars are grouped in a dictionary.</param>
+        public void OnData(TradeBars data)
+        {
+            _lastPrice = data["SPY"].Close;
+
+            if (_fastMa == 0) _fastMa = _lastPrice;
+            if (_slowMa == 0) _slowMa = _lastPrice;
+
+            _fastMa = (0.01m * _lastPrice) + (0.99m * _fastMa);
+            _slowMa = (0.001m * _lastPrice) + (0.999m * _slowMa);
+
+            if (Time > _resample)
+            {
+                _resample = Time.Add(_resamplePeriod);
+                Plot("Strategy Equity", "FastMA", _fastMa);
+                Plot("Strategy Equity", "SlowMA", _slowMa);
+            }
+
+
+            //On the 5th days when not invested buy:
+            if (!Portfolio.Invested && Time.Day % 13 == 0)
+            {
+                Order("SPY", (int)(Portfolio.MarginRemaining / data["SPY"].Close));
+                Plot("Trade Plot", "Buy", _lastPrice);
+            }
+            else if (Time.Day % 21 == 0 && Portfolio.Invested)
+            {
+                Plot("Trade Plot", "Sell", _lastPrice);
+                Liquidate();
+            }
+        }
+    }
+}