wehub-resource-sync
77 lines
3.0 KiB
C#
77 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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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm demonstrates using the history provider to retrieve data
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/// to warm up indicators before data is received.
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/// </summary>
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="history" />
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/// <meta name="tag" content="history and warm up" />
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/// <meta name="tag" content="using data" />
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public class WarmupHistoryAlgorithm : QCAlgorithm
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{
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private ExponentialMovingAverage fast, slow;
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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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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Second);
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fast = EMA("EURUSD", 60);
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slow = EMA("EURUSD", 3600);
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// 3601 because rolling window waits for one to fall off the back to be considered ready
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var history = History<QuoteBar>("EURUSD", 3601);
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foreach (var bar in history)
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{
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fast.Update(bar.EndTime, bar.Close);
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slow.Update(bar.EndTime, bar.Close);
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}
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Log($"FAST IS {(fast.IsReady ? "" : "NOT")} READY. Samples: {fast.Samples.ToStringInvariant()}");
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Log($"SLOW IS {(slow.IsReady ? "" : "NOT")} READY. Samples: {slow.Samples.ToStringInvariant()}");
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (fast > slow)
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{
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SetHoldings("EURUSD", 1);
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}
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else
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{
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SetHoldings("EURUSD", -1);
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}
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}
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}
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}
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