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.Data.UniverseSelection;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Alpha model that uses an EMA cross to create insights
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/// </summary>
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public class EmaCrossAlphaModel : AlphaModel
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{
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private readonly int _fastPeriod;
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private readonly int _slowPeriod;
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private readonly Resolution _resolution;
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private readonly int _predictionInterval;
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/// <summary>
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/// This is made protected for testing purposes
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/// </summary>
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protected Dictionary<Symbol, SymbolData> SymbolDataBySymbol { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="EmaCrossAlphaModel"/> class
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/// </summary>
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/// <param name="fastPeriod">The fast EMA period</param>
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/// <param name="slowPeriod">The slow EMA period</param>
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/// <param name="resolution">The resolution of data sent into the EMA indicators</param>
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public EmaCrossAlphaModel(
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int fastPeriod = 12,
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int slowPeriod = 26,
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Resolution resolution = Resolution.Daily
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)
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{
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_fastPeriod = fastPeriod;
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_slowPeriod = slowPeriod;
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_resolution = resolution;
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_predictionInterval = fastPeriod;
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SymbolDataBySymbol = new Dictionary<Symbol, SymbolData>();
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Name = $"{nameof(EmaCrossAlphaModel)}({fastPeriod},{slowPeriod},{resolution})";
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}
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/// <summary>
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/// Updates this alpha model with the latest data from the algorithm.
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/// This is called each time the algorithm receives data for subscribed securities
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="data">The new data available</param>
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/// <returns>The new insights generated</returns>
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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var insights = new List<Insight>();
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foreach (var symbolData in SymbolDataBySymbol.Values)
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{
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if (symbolData.Fast.IsReady && symbolData.Slow.IsReady)
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{
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var insightPeriod = _resolution.ToTimeSpan().Multiply(_predictionInterval);
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if (symbolData.FastIsOverSlow)
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{
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if (symbolData.Slow > symbolData.Fast)
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{
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insights.Add(Insight.Price(symbolData.Symbol, insightPeriod, InsightDirection.Down));
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}
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}
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else if (symbolData.SlowIsOverFast)
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{
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if (symbolData.Fast > symbolData.Slow)
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{
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insights.Add(Insight.Price(symbolData.Symbol, insightPeriod, InsightDirection.Up));
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}
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}
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}
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symbolData.FastIsOverSlow = symbolData.Fast > symbolData.Slow;
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}
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return insights;
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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foreach (var added in changes.AddedSecurities)
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{
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SymbolData symbolData;
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if (!SymbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
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{
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SymbolDataBySymbol[added.Symbol] = new SymbolData(added, _fastPeriod, _slowPeriod, algorithm, _resolution);
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}
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else
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{
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// a security that was already initialized was re-added, reset the indicators
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symbolData.Fast.Reset();
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symbolData.Slow.Reset();
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}
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}
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foreach (var removed in changes.RemovedSecurities)
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{
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SymbolData symbolData;
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if (SymbolDataBySymbol.TryGetValue(removed.Symbol, out symbolData))
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{
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// clean up our consolidators
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symbolData.RemoveConsolidators();
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SymbolDataBySymbol.Remove(removed.Symbol);
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}
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}
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}
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/// <summary>
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/// Contains data specific to a symbol required by this model
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/// </summary>
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public class SymbolData
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{
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private readonly QCAlgorithm _algorithm;
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private readonly IDataConsolidator _fastConsolidator;
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private readonly IDataConsolidator _slowConsolidator;
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private readonly ExponentialMovingAverage _fast;
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private readonly ExponentialMovingAverage _slow;
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private readonly Security _security;
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/// <summary>
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/// Symbol associated with the data
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/// </summary>
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public Symbol Symbol => _security.Symbol;
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/// <summary>
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/// Fast Exponential Moving Average (EMA)
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/// </summary>
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public ExponentialMovingAverage Fast => _fast;
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/// <summary>
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/// Slow Exponential Moving Average (EMA)
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/// </summary>
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public ExponentialMovingAverage Slow => _slow;
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/// <summary>
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/// True if the fast is above the slow, otherwise false.
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/// This is used to prevent emitting the same signal repeatedly
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/// </summary>
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public bool FastIsOverSlow { get; set; }
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/// <summary>
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/// Flag indicating if the Slow EMA is over the Fast one
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/// </summary>
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public bool SlowIsOverFast => !FastIsOverSlow;
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/// <summary>
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/// Initializes an instance of the class SymbolData with the given arguments
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/// </summary>
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public SymbolData(
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Security security,
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int fastPeriod,
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int slowPeriod,
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QCAlgorithm algorithm,
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Resolution resolution)
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{
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_algorithm = algorithm;
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_security = security;
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_fastConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution);
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_slowConsolidator = algorithm.ResolveConsolidator(security.Symbol, resolution);
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algorithm.SubscriptionManager.AddConsolidator(security.Symbol, _fastConsolidator);
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algorithm.SubscriptionManager.AddConsolidator(security.Symbol, _slowConsolidator);
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// create fast/slow EMAs
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_fast = new ExponentialMovingAverage(security.Symbol, fastPeriod, ExponentialMovingAverage.SmoothingFactorDefault(fastPeriod));
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_slow = new ExponentialMovingAverage(security.Symbol, slowPeriod, ExponentialMovingAverage.SmoothingFactorDefault(slowPeriod));
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algorithm.RegisterIndicator(security.Symbol, _fast, _fastConsolidator);
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algorithm.RegisterIndicator(security.Symbol, _slow, _slowConsolidator);
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algorithm.WarmUpIndicator(security.Symbol, _fast, resolution);
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algorithm.WarmUpIndicator(security.Symbol, _slow, resolution);
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}
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/// <summary>
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/// Remove Fast and Slow consolidators
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/// </summary>
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public void RemoveConsolidators()
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{
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_algorithm.SubscriptionManager.RemoveConsolidator(Symbol, _fastConsolidator);
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_algorithm.SubscriptionManager.RemoveConsolidator(Symbol, _slowConsolidator);
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}
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}
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}
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}
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