wehub-resource-sync
108 lines
4.6 KiB
C#
108 lines
4.6 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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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Expiry Helper algorithm uses <see cref="Expiry"/> helper class in an Alpha Model
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/// </summary>
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public class ExpiryHelperAlphaModelFrameworkAlgorithm : QCAlgorithm
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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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public override void Initialize()
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{
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// Set requested data resolution
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UniverseSettings.Resolution = Resolution.Hour;
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2014, 1, 1); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// set algorithm framework models
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SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
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SetAlpha(new ExpiryHelperAlphaModel());
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
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InsightsGenerated += (s, e) =>
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{
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foreach (var insight in e.Insights)
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{
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Log($"{e.DateTimeUtc.DayOfWeek}: Close Time {insight.CloseTimeUtc} {insight.CloseTimeUtc.DayOfWeek}");
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}
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};
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}
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/// <summary>
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/// <see cref="ExpiryHelperAlphaModel"/> shows how we can use the <see cref="Expiry"/> helper class
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/// to set an insight with a calendar expiry.
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/// </summary>
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private class ExpiryHelperAlphaModel : AlphaModel
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{
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private const InsightDirection _direction = InsightDirection.Up;
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private DateTime _nextUpdate = DateTime.MinValue;
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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if (_nextUpdate > algorithm.Time)
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{
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yield break;
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}
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var expiry = Expiry.EndOfDay;
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// Use the Expiry helper to calculate a date/time in the future
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_nextUpdate = expiry(algorithm.Time);
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foreach (var symbol in data.Bars.Keys)
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{
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switch (algorithm.Time.DayOfWeek)
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{
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// Expected CloseTime: next month on the same day and time
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case DayOfWeek.Monday:
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yield return Insight.Price(symbol, Expiry.OneMonth, _direction);
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break;
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// Expected CloseTime: next month on the 1st at market open time
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case DayOfWeek.Tuesday:
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yield return Insight.Price(symbol, Expiry.EndOfMonth, _direction);
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break;
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// Expected CloseTime: next Monday at market open time
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case DayOfWeek.Wednesday:
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yield return Insight.Price(symbol, Expiry.EndOfWeek, _direction);
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break;
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// Expected CloseTime: next day (Friday) at market open time
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case DayOfWeek.Thursday:
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yield return Insight.Price(symbol, Expiry.EndOfDay, _direction);
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break;
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default:
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yield break;
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}
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}
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}
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}
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}
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} |