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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Using rolling windows for efficient storage of historical data; which automatically clears after a period of time.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="history and warm up" />
+    /// <meta name="tag" content="history" />
+    /// <meta name="tag" content="warm up" />
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="rolling windows" />
+    public class RollingWindowAlgorithm : QCAlgorithm
+    {
+        private RollingWindow<TradeBar> _window;
+        private RollingWindow<IndicatorDataPoint> _smaWin;
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013,10,1);  // Set Start Date
+            SetEndDate(2013,11,1);    // Set End Date
+            SetCash(100000);          // Set Strategy Cash
+
+            // Find more symbols here: http://quantconnect.com/data
+            AddEquity("SPY", Resolution.Daily);
+
+            // Creates a Rolling Window indicator to keep the 2 TradeBar
+            _window = new RollingWindow<TradeBar>(2);    // For other security types, use QuoteBar
+
+            // Creates an indicator and adds to a rolling window when it is updated
+            var sma = SMA("SPY", 5);
+            sma.Updated += (sender, updated) => _smaWin.Add(updated);
+            _smaWin = new RollingWindow<IndicatorDataPoint>(5);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            // Add SPY TradeBar in rollling window
+            _window.Add(slice["SPY"]);
+
+            // Wait for windows to be ready.
+            if (!_window.IsReady || !_smaWin.IsReady) return;
+
+            var currBar = _window[0];                   // Current bar had index zero.
+            var pastBar = _window[1];                   // Past bar has index one.
+            Log($"Price: {pastBar.Time} -> {pastBar.Close} ... {currBar.Time} -> {currBar.Close}");
+
+            var currSma = _smaWin[0];                   // Current SMA had index zero.
+            var pastSma = _smaWin[_smaWin.Count - 1];   // Oldest SMA has index of window count minus 1.
+            Log($"SMA: {pastSma.Time} -> {pastSma.Value} ... {currSma.Time} -> {currSma.Value}");
+
+            if (!Portfolio.Invested && currSma > pastSma)
+            {
+                SetHoldings("SPY", 1);
+            }
+        }
+    }
+}