wehub-resource-sync
81 lines
3.0 KiB
C#
81 lines
3.0 KiB
C#
/*
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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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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Data.Consolidators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// A demonstration of consolidating futures data into larger bars for your algorithm.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="benchmarks" />
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/// <meta name="tag" content="consolidating data" />
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/// <meta name="tag" content="futures" />
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public class BasicTemplateFuturesConsolidationAlgorithm : QCAlgorithm
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{
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private const string RootSP500 = Futures.Indices.SP500EMini;
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private HashSet<Symbol> _futureContracts = new HashSet<Symbol>();
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public override void Initialize()
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{
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SetStartDate(2013, 10, 8);
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SetEndDate(2013, 10, 11);
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SetCash(1000000);
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var futureSP500 = AddFuture(RootSP500);
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// set our expiry filter for this future chain
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// SetFilter method accepts TimeSpan objects or integer for days.
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// The following statements yield the same filtering criteria
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futureSP500.SetFilter(0, 182);
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// futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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SetBenchmark(x => 0);
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}
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public override void OnData(Slice slice)
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{
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foreach (var chain in slice.FutureChains)
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{
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foreach (var contract in chain.Value)
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{
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if (!_futureContracts.Contains(contract.Symbol))
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{
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_futureContracts.Add(contract.Symbol);
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var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(5));
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consolidator.DataConsolidated += OnDataConsolidated;
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SubscriptionManager.AddConsolidator(contract.Symbol, consolidator);
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Log("Added new consolidator for " + contract.Symbol.Value);
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}
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}
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}
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}
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public void OnDataConsolidated(object sender, QuoteBar quoteBar)
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{
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Log("OnDataConsolidated called");
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Log(quoteBar.ToString());
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}
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}
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}
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