wehub-resource-sync
67 lines
2.2 KiB
C#
67 lines
2.2 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 System;
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using QuantConnect.Data;
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using Python.Runtime;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class BasicPythonIntegrationTemplateAlgorithm : QCAlgorithm
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{
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// Create class field for numpy library
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private dynamic _numpy;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7); // 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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AddEquity("SPY", Resolution.Minute);
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// Assign numpy library
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using (Py.GIL())
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{
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_numpy = Py.Import("numpy");
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}
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}
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private decimal ComputeSin(decimal value)
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{
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// Calculate python sin(10)
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using (Py.GIL())
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{
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return (decimal)_numpy.sin(value);
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}
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}
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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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/// Slice object keyed by symbol containing the stock data
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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var sin = ComputeSin(10);
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// Calculate C# sin(10)
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var sinOfTen = Math.Sin(10);
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Debug($"According to Python, the value of sin(10) is: {sin}");
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Debug($"According to C#, the value of sin(10) is: {sinOfTen}");
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}
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}
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}
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}
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