chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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.Collections.Generic;
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using QuantConnect.Data;
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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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/// Regression test for history and warm up using the data available in open source.
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/// </summary>
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/// <meta name="tag" content="history and warm up" />
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/// <meta name="tag" content="history" />
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="warm up" />
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public class IndicatorWarmupAlgorithm : QCAlgorithm
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{
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private const string SPY = "SPY";
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private const string GOOG = "GOOG";
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private const string IBM = "IBM";
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private const string BAC = "BAC";
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private const string GOOGL = "GOOGL";
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private readonly Dictionary<Symbol, SymbolData> _sd = new Dictionary<Symbol, SymbolData>();
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 11);
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SetCash(1000000);
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AddSecurity(SecurityType.Equity, SPY, Resolution.Minute);
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AddSecurity(SecurityType.Equity, IBM, Resolution.Minute);
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AddSecurity(SecurityType.Equity, BAC, Resolution.Minute);
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AddSecurity(SecurityType.Equity, GOOG, Resolution.Daily);
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AddSecurity(SecurityType.Equity, GOOGL, Resolution.Daily);
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foreach (var security in Securities)
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{
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_sd.Add(security.Key, new SymbolData(security.Key, this));
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}
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// we want to warm up our algorithm
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SetWarmup(SymbolData.RequiredBarsWarmup);
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}
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public override void OnData(Slice slice)
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{
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// we are only using warmup for indicator spooling, so wait for us to be warm then continue
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if (IsWarmingUp) return;
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foreach (var sd in _sd.Values)
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{
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var lastPriceTime = sd.Close.Current.Time;
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// only make decisions when we have data on our requested resolution
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if (lastPriceTime.RoundDown(sd.Security.Resolution.ToTimeSpan()) == lastPriceTime)
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{
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sd.Update();
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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SymbolData sd;
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if (_sd.TryGetValue(orderEvent.Symbol, out sd))
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{
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sd.OnOrderEvent(orderEvent);
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}
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}
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class SymbolData
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{
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public const int RequiredBarsWarmup = 40;
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public const decimal PercentTolerance = 0.001m;
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public const decimal PercentGlobalStopLoss = 0.01m;
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private const int LotSize = 10;
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public readonly Symbol Symbol;
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public readonly Security Security;
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public decimal Quantity
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{
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get { return Security.Holdings.Quantity; }
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}
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public readonly Identity Close;
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public readonly AverageDirectionalIndex ADX;
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public readonly ExponentialMovingAverage EMA;
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public readonly MovingAverageConvergenceDivergence MACD;
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private readonly QCAlgorithm _algorithm;
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private OrderTicket _currentStopLoss;
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public SymbolData(Symbol symbol, QCAlgorithm algorithm)
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{
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Symbol = symbol;
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Security = algorithm.Securities[symbol];
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Close = algorithm.Identity(symbol);
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ADX = algorithm.ADX(symbol, 14);
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EMA = algorithm.EMA(symbol, 14);
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MACD = algorithm.MACD(symbol, 12, 26, 9, MovingAverageType.Simple);
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// if we're receiving daily
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_algorithm = algorithm;
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}
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public bool IsReady
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{
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get { return Close.IsReady && ADX.IsReady & EMA.IsReady && MACD.IsReady; }
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}
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public bool IsUptrend
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{
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get
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{
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const decimal tolerance = 1 + PercentTolerance;
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return MACD.Signal > MACD*tolerance
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&& EMA > Close*tolerance;
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}
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}
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public bool IsDowntrend
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{
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get
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{
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const decimal tolerance = 1 - PercentTolerance;
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return MACD.Signal < MACD*tolerance
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&& EMA < Close*tolerance;
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}
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}
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public void OnOrderEvent(OrderEvent fill)
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{
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if (fill.Status != OrderStatus.Filled)
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{
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return;
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}
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// if we just finished entering, place a stop loss as well
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if (Security.Invested)
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{
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var stop = Security.Holdings.IsLong
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? fill.FillPrice*(1 - PercentGlobalStopLoss)
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: fill.FillPrice*(1 + PercentGlobalStopLoss);
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_currentStopLoss = _algorithm.StopMarketOrder(Symbol, -Quantity, stop, tag: "StopLoss at: " + stop);
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}
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// check for an exit, cancel the stop loss
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else
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{
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if (_currentStopLoss != null && _currentStopLoss.Status.IsOpen())
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{
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// cancel our current stop loss
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_currentStopLoss.Cancel("Exited position");
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_currentStopLoss = null;
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}
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}
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}
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public void Update()
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{
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OrderTicket ticket;
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TryEnter(out ticket);
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TryExit(out ticket);
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}
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public bool TryEnter(out OrderTicket ticket)
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{
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ticket = null;
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if (Security.Invested)
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{
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// can't enter if we're already in
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return false;
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}
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int qty = 0;
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decimal limit = 0m;
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if (IsUptrend)
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{
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// 100 order lots
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qty = LotSize;
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limit = Security.Low;
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}
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else if (IsDowntrend)
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{
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limit = Security.High;
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qty = -LotSize;
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}
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if (qty != 0)
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{
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ticket = _algorithm.LimitOrder(Symbol, qty, limit, tag: "TryEnter at: " + limit);
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}
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return qty != 0;
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}
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public bool TryExit(out OrderTicket ticket)
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{
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const decimal exitTolerance = 1 + 2 * PercentTolerance;
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ticket = null;
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if (!Security.Invested)
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{
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// can't exit if we haven't entered
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return false;
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}
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decimal limit = 0m;
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if (Security.Holdings.IsLong && Close*exitTolerance < EMA)
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{
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limit = Security.High;
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}
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else if (Security.Holdings.IsShort && Close > EMA*exitTolerance)
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{
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limit = Security.Low;
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}
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if (limit != 0)
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{
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ticket = _algorithm.LimitOrder(Symbol, -Quantity, limit, tag: "TryExit at: " + limit);
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}
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return -Quantity != 0;
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}
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}
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}
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}
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