wehub-resource-sync
222 lines
9.2 KiB
C#
222 lines
9.2 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.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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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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/// This algorithm sends a list of portfolio targets to Collective2 API every time the ema indicators crosses between themselves
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="securities and portfolio" />
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public class Collective2SignalExportDemonstrationAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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/// <summary>
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/// Collective2 APIv4 KEY: This value is provided by Collective2 in your account section (See https://collective2.com/account-info)
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/// See API documentation at https://trade.collective2.com/c2-api
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/// </summary>
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private const string _collective2ApiKey = "YOUR APIV4 KEY";
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/// <summary>
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/// Collective2 System ID: This value is found beside the system's name (strategy's name) on the main system page
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/// </summary>
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private const int _collective2SystemId = 0;
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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private bool _emaFastWasAbove;
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private bool _emaFastIsNotSet;
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private bool _firstCall = true;
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private PortfolioTarget[] _targets = new PortfolioTarget[4];
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/// <summary>
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/// Symbols accepted by Collective2. Collective2 accepts stock,
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/// future, forex and US stock option symbols
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/// </summary>
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private List<Symbol> _symbols = new()
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{
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QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
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QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15)),
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QuantConnect.Symbol.CreateOption("GOOG", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)),
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};
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/// <summary>
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/// Initialize the date and add all equity symbols present in _symbols list.
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/// Besides, make a new PortfolioTarget for each symbol in _symbols, assign it
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/// an initial quantity and save it in _targets array
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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);
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SetEndDate(2013, 10, 11);
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SetCash(100 * 1000);
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var index = 0;
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foreach (var item in _symbols)
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{
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var symbol = AddSecurity(item).Symbol;
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if (symbol.SecurityType == SecurityType.Equity
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|| symbol.SecurityType == SecurityType.Forex)
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{
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_targets[index] = new PortfolioTarget(symbol, (decimal)0.05);
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}
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else
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{
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_targets[index] = new PortfolioTarget(symbol, 1);
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}
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index++;
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}
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_fast = EMA("SPY", 10);
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_slow = EMA("SPY", 100);
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// Initialize this flag, to check when the ema indicators crosses between themselves
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_emaFastIsNotSet = true;
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// Disable automatic exports as we manually set them
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SignalExport.AutomaticExportTimeSpan = null;
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// Set Collective2 signal export provider.
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// If using the Collective2 white-label API, you can specify it in the constructor with the optional parameter `useWhiteLabelApi`:
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// e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId, useWhiteLabelApi: true)
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// The API url can also be overridden by setting the Destination property:
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// e.g. new Collective2SignalExport(_collective2ApiKey, _collective2SystemId) { Destination = new Uri("your url") }
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SignalExport.AddSignalExportProvider(new Collective2SignalExport(_collective2ApiKey, _collective2SystemId));
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SetWarmUp(100);
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}
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/// <summary>
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/// Reduce the quantity of holdings for SPY or increase it, depending the case,
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/// when the EMA's indicators crosses between themselves, then send a signal to
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/// Collective2 API
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/// </summary>
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/// <param name="slice"></param>
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public override void OnData(Slice slice)
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{
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if (IsWarmingUp) return;
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// Place an order as soon as possible to send a signal.
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if (_firstCall)
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{
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SetHoldings("SPY", 0.1);
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_targets[0] = new PortfolioTarget(Portfolio["SPY"].Symbol, (decimal)0.1);
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SignalExport.SetTargetPortfolio(_targets);
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_firstCall = false;
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}
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// Set the value of flag _emaFastWasAbove, to know when the ema indicators crosses between themselves
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if (_emaFastIsNotSet)
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{
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if (_fast > _slow * 1.001m)
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{
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_emaFastWasAbove = true;
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}
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else
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{
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_emaFastWasAbove = false;
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}
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_emaFastIsNotSet = false;
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}
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// Check whether ema fast and ema slow crosses. If they do, set holdings to SPY
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// or reduce its holdings, change its value in _targets array and send signals
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// to the Collective2 API from _targets array
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if ((_fast > _slow * 1.001m) && (!_emaFastWasAbove))
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{
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SetHoldings("SPY", 0.1);
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_targets[0] = new PortfolioTarget(Portfolio["SPY"].Symbol, (decimal)0.1);
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SignalExport.SetTargetPortfolio(_targets);
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}
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else if ((_fast < _slow * 0.999m) && (_emaFastWasAbove))
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{
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SetHoldings("SPY", 0.01);
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_targets[0] = new PortfolioTarget(Portfolio["SPY"].Symbol, (decimal)0.01);
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SignalExport.SetTargetPortfolio(_targets);
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public virtual List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 4155;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 50;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "14.180%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000.00"},
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{"End Equity", "100169.68"},
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{"Net Profit", "0.170%"},
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{"Sharpe Ratio", "4.88"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "66.206%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.088"},
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{"Beta", "0.099"},
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{"Annual Standard Deviation", "0.022"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-9.315"},
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{"Tracking Error", "0.201"},
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{"Treynor Ratio", "1.086"},
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{"Total Fees", "$2.00"},
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{"Estimated Strategy Capacity", "$260000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "2.00%"},
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{"Drawdown Recovery", "3"},
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{"OrderListHash", "006af1a065fca33ac1f1e9cd6bd02c11"}
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};
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}
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}
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