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;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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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 structure for structuring an algorithm with indicator and consolidator data for many tickers.
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/// </summary>
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/// <meta name="tag" content="consolidating data" />
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="strategy example" />
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public class MultipleSymbolConsolidationAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// This is the period of bars we'll be creating
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/// </summary>
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private readonly TimeSpan _barPeriod = TimeSpan.FromMinutes(10);
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/// <summary>
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/// This is the period of our sma indicators
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/// </summary>
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private readonly int _simpleMovingAveragePeriod = 10;
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/// <summary>
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/// This is the number of consolidated bars we'll hold in symbol data for reference
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/// </summary>
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private readonly int _rollingWindowSize = 10;
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/// <summary>
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/// Holds all of our data keyed by each symbol
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/// </summary>
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private readonly Dictionary<string, SymbolData> _data = new Dictionary<string, SymbolData>();
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/// <summary>
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/// Contains all of our equity symbols
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/// </summary>
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private IReadOnlyList<string> _equitySymbols = new List<string>
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{
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"AAPL",
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"SPY",
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"IBM"
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};
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/// <summary>
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/// Contains all of our forex symbols
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/// </summary>
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private IReadOnlyList<string> _forexSymbols = new List<string>
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{
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"EURUSD",
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"USDJPY",
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"EURGBP",
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"EURCHF",
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"USDCAD",
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"USDCHF",
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"AUDUSD",
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"NZDUSD",
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};
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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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/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
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/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
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/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
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public override void Initialize()
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{
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SetStartDate(2014, 12, 01);
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SetEndDate(2015, 02, 01);
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// initialize our equity data
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foreach (var symbol in _equitySymbols)
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{
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var equity = AddEquity(symbol);
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_data.Add(symbol, new SymbolData(equity.Symbol, _barPeriod, _rollingWindowSize));
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}
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// initialize our forex data
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foreach (var symbol in _forexSymbols)
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{
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var forex = AddForex(symbol);
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_data.Add(symbol, new SymbolData(forex.Symbol, _barPeriod, _rollingWindowSize));
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}
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// loop through all our symbols and request data subscriptions and initialize indicatora
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foreach (var kvp in _data)
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{
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// this is required since we're using closures below, for more information
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// see: http://stackoverflow.com/questions/14907987/access-to-foreach-variable-in-closure-warning
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var symbolData = kvp.Value;
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// define a consolidator to consolidate data for this symbol on the requested period
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var consolidator = symbolData.Symbol.SecurityType == SecurityType.Equity
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? (IDataConsolidator)new TradeBarConsolidator(_barPeriod)
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: (IDataConsolidator)new QuoteBarConsolidator(_barPeriod);
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// define our indicator
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symbolData.SMA = new SimpleMovingAverage(CreateIndicatorName(symbolData.Symbol, "SMA" + _simpleMovingAveragePeriod, Resolution.Minute), _simpleMovingAveragePeriod);
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// wire up our consolidator to update the indicator
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consolidator.DataConsolidated += (sender, baseData) =>
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{
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// 'bar' here is our newly consolidated data
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var bar = (IBaseDataBar)baseData;
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// update the indicator
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symbolData.SMA.Update(bar.Time, bar.Close);
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// we're also going to add this bar to our rolling window so we have access to it later
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symbolData.Bars.Add(bar);
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};
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// we need to add this consolidator so it gets auto updates
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SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator);
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}
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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">TradeBars IDictionary object with your stock data</param>
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public override void OnData(Slice slice)
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{
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// loop through each symbol in our structure
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foreach (var symbolData in _data.Values)
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{
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// this check proves that this symbol was JUST updated prior to this OnData function being called
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if (symbolData.IsReady && symbolData.WasJustUpdated(Time))
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{
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if (!Portfolio[symbolData.Symbol].Invested)
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{
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MarketOrder(symbolData.Symbol, 1);
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}
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}
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}
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}
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/// <summary>
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/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
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/// </summary>
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/// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>
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public override void OnEndOfDay(Symbol symbol)
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{
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int i = 0;
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foreach (var kvp in _data.OrderBy(x => x.Value.Symbol))
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{
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// we have too many symbols to plot them all, so plot ever other
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if (kvp.Value.IsReady && ++i%2 == 0)
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{
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Plot(kvp.Value.Symbol.ToString(), kvp.Value.SMA);
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}
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}
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}
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/// <summary>
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/// Contains data pertaining to a symbol in our algorithm
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/// </summary>
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public class SymbolData
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{
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/// <summary>
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/// This symbol the other data in this class is associated with
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/// </summary>
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public Symbol Symbol { get; init; }
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/// <summary>
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/// A rolling window of data, data needs to be pumped into Bars by using Bars.Update( tradeBar ) and
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/// can be accessed like:
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/// mySymbolData.Bars[0] - most first recent piece of data
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/// mySymbolData.Bars[5] - the sixth most recent piece of data (zero based indexing)
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/// </summary>
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public RollingWindow<IBaseDataBar> Bars { get; init; }
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/// <summary>
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/// The period used when populating the Bars rolling window.
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/// </summary>
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public TimeSpan BarPeriod { get; init; }
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/// <summary>
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/// The simple moving average indicator for our symbol
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/// </summary>
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public SimpleMovingAverage SMA { get; set; }
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/// <summary>
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/// Initializes a new instance of SymbolData
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/// </summary>
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public SymbolData(Symbol symbol, TimeSpan barPeriod, int windowSize)
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{
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Symbol = symbol;
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BarPeriod = barPeriod;
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Bars = new RollingWindow<IBaseDataBar>(windowSize);
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}
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/// <summary>
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/// Returns true if all the data in this instance is ready (indicators, rolling windows, ect...)
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/// </summary>
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public bool IsReady
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{
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get { return Bars.IsReady && SMA.IsReady; }
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}
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/// <summary>
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/// Returns true if the most recent trade bar time matches the current time minus the bar's period; this
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/// indicates that Update() was just called on this instance.
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/// </summary>
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/// <param name="current">The current algorithm time</param>
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/// <returns>True if this instance was just updated with new data, false otherwise</returns>
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public bool WasJustUpdated(DateTime current)
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{
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return Bars.Count > 0 && Bars[0].Time == current - BarPeriod;
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}
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}
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}
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}
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