wehub-resource-sync
73 lines
2.6 KiB
C#
73 lines
2.6 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 System;
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using System.Collections.Generic;
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using System.Linq;
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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.Benchmarks
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{
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/// <summary>
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/// Constructs a displaced moving average ribbon
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/// </summary>
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public class IndicatorRibbonBenchmark : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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private IndicatorBase<IndicatorDataPoint>[] _ribbon;
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public override void Initialize()
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{
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SetStartDate(2010, 01, 01);
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SetEndDate(2022, 01, 01);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
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const int count = 50;
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const int offset = 5;
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const int period = 15;
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// define our sma as the base of the ribbon
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var sma = new SimpleMovingAverage(period);
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_ribbon = Enumerable.Range(0, count).Select(x =>
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{
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// define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
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var delay = new Delay(offset * (x + 1));
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// define an indicator that takes the output of the sma and pipes it into our delay indicator
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var delayedSma = delay.Of(sma);
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// register our new 'delayedSma' for automatic updates on a daily resolution
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RegisterIndicator(_spy, delayedSma, Resolution.Daily, data => data.Value);
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return delayedSma;
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}).ToArray();
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}
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public override void OnData(Slice slice)
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{
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// wait for our entire ribbon to be ready
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if (!_ribbon.All(x => x.IsReady)) return;
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foreach (var indicator in _ribbon)
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{
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var value = indicator.Current.Value;
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}
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}
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}
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}
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