chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,214 @@
|
||||
/*
|
||||
* 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 System.Collections.Generic;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Consolidators;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Indicators;
|
||||
|
||||
namespace QuantConnect.Algorithm.Framework.Alphas
|
||||
{
|
||||
/// <summary>
|
||||
/// Uses Wilder's RSI to create insights. Using default settings, a cross over below 30 or above 70 will
|
||||
/// trigger a new insight.
|
||||
/// </summary>
|
||||
public class RsiAlphaModel : AlphaModel
|
||||
{
|
||||
private readonly Dictionary<Symbol, SymbolData> _symbolDataBySymbol = new Dictionary<Symbol, SymbolData>();
|
||||
|
||||
private readonly int _period;
|
||||
private readonly Resolution _resolution;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="RsiAlphaModel"/> class
|
||||
/// </summary>
|
||||
/// <param name="period">The RSI indicator period</param>
|
||||
/// <param name="resolution">The resolution of data sent into the RSI indicator</param>
|
||||
public RsiAlphaModel(
|
||||
int period = 14,
|
||||
Resolution resolution = Resolution.Daily
|
||||
)
|
||||
{
|
||||
_period = period;
|
||||
_resolution = resolution;
|
||||
Name = $"{nameof(RsiAlphaModel)}({_period},{_resolution})";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates this alpha model with the latest data from the algorithm.
|
||||
/// This is called each time the algorithm receives data for subscribed securities
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance</param>
|
||||
/// <param name="data">The new data available</param>
|
||||
/// <returns>The new insights generated</returns>
|
||||
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
|
||||
{
|
||||
var insights = new List<Insight>();
|
||||
foreach (var kvp in _symbolDataBySymbol)
|
||||
{
|
||||
var symbol = kvp.Key;
|
||||
var rsi = kvp.Value.RSI;
|
||||
var previousState = kvp.Value.State;
|
||||
var state = GetState(rsi, previousState);
|
||||
|
||||
if (state != previousState && rsi.IsReady)
|
||||
{
|
||||
var insightPeriod = _resolution.ToTimeSpan().Multiply(_period);
|
||||
|
||||
switch (state)
|
||||
{
|
||||
case State.TrippedLow:
|
||||
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Up));
|
||||
break;
|
||||
|
||||
case State.TrippedHigh:
|
||||
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Down));
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
kvp.Value.State = state;
|
||||
}
|
||||
|
||||
return insights;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Cleans out old security data and initializes the RSI for any newly added securities.
|
||||
/// This functional also seeds any new indicators using a history request.
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
||||
/// <param name="changes">The security additions and removals from the algorithm</param>
|
||||
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
|
||||
{
|
||||
// clean up data for removed securities
|
||||
foreach (var security in changes.RemovedSecurities)
|
||||
{
|
||||
SymbolData symbolData;
|
||||
if (_symbolDataBySymbol.TryGetValue(security.Symbol, out symbolData))
|
||||
{
|
||||
_symbolDataBySymbol.Remove(security.Symbol);
|
||||
symbolData.Dispose();
|
||||
}
|
||||
}
|
||||
|
||||
// initialize data for added securities
|
||||
var addedSymbols = new List<Symbol>();
|
||||
foreach (var added in changes.AddedSecurities)
|
||||
{
|
||||
if (!_symbolDataBySymbol.ContainsKey(added.Symbol))
|
||||
{
|
||||
var symbolData = new SymbolData(algorithm, added.Symbol, _period, _resolution);
|
||||
_symbolDataBySymbol[added.Symbol] = symbolData;
|
||||
addedSymbols.Add(added.Symbol);
|
||||
}
|
||||
}
|
||||
|
||||
if (addedSymbols.Count > 0)
|
||||
{
|
||||
// warmup our indicators by pushing history through the consolidators
|
||||
algorithm.History(addedSymbols, _period, _resolution)
|
||||
.PushThrough(data =>
|
||||
{
|
||||
SymbolData symbolData;
|
||||
if (_symbolDataBySymbol.TryGetValue(data.Symbol, out symbolData))
|
||||
{
|
||||
symbolData.Update(data);
|
||||
}
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines the new state. This is basically cross-over detection logic that
|
||||
/// includes considerations for bouncing using the configured bounce tolerance.
|
||||
/// </summary>
|
||||
private State GetState(RelativeStrengthIndex rsi, State previous)
|
||||
{
|
||||
if (rsi > 70m)
|
||||
{
|
||||
return State.TrippedHigh;
|
||||
}
|
||||
|
||||
if (rsi < 30m)
|
||||
{
|
||||
return State.TrippedLow;
|
||||
}
|
||||
|
||||
if (previous == State.TrippedLow)
|
||||
{
|
||||
if (rsi > 35m)
|
||||
{
|
||||
return State.Middle;
|
||||
}
|
||||
}
|
||||
|
||||
if (previous == State.TrippedHigh)
|
||||
{
|
||||
if (rsi < 65m)
|
||||
{
|
||||
return State.Middle;
|
||||
}
|
||||
}
|
||||
|
||||
return previous;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Contains data specific to a symbol required by this model
|
||||
/// </summary>
|
||||
private class SymbolData : IDisposable
|
||||
{
|
||||
public State State { get; set; }
|
||||
public RelativeStrengthIndex RSI { get; }
|
||||
private Symbol _symbol { get; }
|
||||
private QCAlgorithm _algorithm;
|
||||
private IDataConsolidator _consolidator;
|
||||
|
||||
public SymbolData(QCAlgorithm algorithm, Symbol symbol, int period, Resolution resolution)
|
||||
{
|
||||
_algorithm = algorithm;
|
||||
_symbol = symbol;
|
||||
State = State.Middle;
|
||||
|
||||
RSI = new RelativeStrengthIndex(period, MovingAverageType.Wilders);
|
||||
_consolidator = _algorithm.ResolveConsolidator(symbol, resolution);
|
||||
algorithm.RegisterIndicator(symbol, RSI, _consolidator);
|
||||
}
|
||||
|
||||
public void Update(BaseData bar)
|
||||
{
|
||||
_consolidator.Update(bar);
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
_algorithm.SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Defines the state. This is used to prevent signal spamming and aid in bounce detection.
|
||||
/// </summary>
|
||||
private enum State
|
||||
{
|
||||
TrippedLow,
|
||||
Middle,
|
||||
TrippedHigh
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user