wehub-resource-sync
298 lines
11 KiB
C#
298 lines
11 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.Globalization;
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using System.Linq;
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using QuantConnect.Data;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This demonstration imports indian NSE index "NIFTY" as a tradable security in addition to the USDINR currency pair. We move into the
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/// NSE market when the economy is performing well.s
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/// </summary>
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/// <meta name="tag" content="strategy example" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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public class CustomDataNiftyAlgorithm : QCAlgorithm
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{
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//Create variables for analyzing Nifty
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private CorrelationPair _today = new CorrelationPair();
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private readonly List<CorrelationPair> _prices = new List<CorrelationPair>();
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private const int _minimumCorrelationHistory = 50;
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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(2008, 1, 8);
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SetEndDate(2014, 7, 25);
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//Set the cash for the strategy:
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SetCash(100000);
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//Define the symbol and "type" of our generic data:
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var rupee = AddData<DollarRupee>("USDINR", Resolution.Daily).Symbol;
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var nifty = AddData<Nifty>("NIFTY", Resolution.Daily).Symbol;
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Settings.AutomaticIndicatorWarmUp = true;
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var rupeeSma = SMA(rupee, 20);
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var niftySma = SMA(rupee, 20);
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Log($"SMA - Is ready? USDINR: {rupeeSma.IsReady} NIFTY: {niftySma.IsReady}");
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}
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/// <summary>
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/// Event Handler for Nifty Data Events: These Nifty objects are created from our
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/// "Nifty" type below and fired into this event handler.
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/// </summary>
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/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>
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public override void OnData(Slice slice)
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{
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if (slice.ContainsKey("USDINR"))
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{
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_today = new CorrelationPair(Time) { CurrencyPrice = Convert.ToDouble(slice["USDINR"].Close) };
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}
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if (!slice.ContainsKey("NIFTY"))
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{
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return;
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}
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try
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{
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_today.NiftyPrice = Convert.ToDouble(slice["NIFTY"].Close);
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if (_today.Date == slice["NIFTY"].Time)
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{
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_prices.Add(_today);
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if (_prices.Count > _minimumCorrelationHistory)
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{
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_prices.RemoveAt(0);
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}
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}
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//Strategy
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var quantity = (int)(Portfolio.MarginRemaining * 0.9m / slice["NIFTY"].Close);
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var highestNifty = (from pair in _prices select pair.NiftyPrice).Max();
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var lowestNifty = (from pair in _prices select pair.NiftyPrice).Min();
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if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&
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{
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//List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();
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//List<double> currencyPrices = (from pair in prices select pair.CurrencyPrice).ToList();
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//double correlation = Correlation.Pearson(niftyPrices, currencyPrices);
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//double niftyFraction = (correlation)/2;
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if (Convert.ToDouble(slice["NIFTY"].Open) >= highestNifty)
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{
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var code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);
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Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + slice["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
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}
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else if (Convert.ToDouble(slice["NIFTY"].Open) <= lowestNifty)
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{
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var code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);
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Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + slice["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
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}
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}
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}
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catch (RegressionTestException err)
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{
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Debug("Error: " + err.Message);
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}
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}
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/// <summary>
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/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
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/// </summary>
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/// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>
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public override void OnEndOfDay(Symbol symbol)
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{
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Plot("Nifty Closing Price", _today.NiftyPrice);
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}
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}
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/// <summary>
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/// NIFTY Custom Data Class
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/// </summary>
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public class Nifty : BaseData
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{
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/// <summary>
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/// Opening Price
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/// </summary>
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public decimal Open { get; set; }
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/// <summary>
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/// High Price
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/// </summary>
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public decimal High { get; set; }
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/// <summary>
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/// Low Price
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/// </summary>
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public decimal Low { get; set; }
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/// <summary>
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/// Closing Price
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/// </summary>
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public decimal Close { get; set; }
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/// <summary>
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/// Default initializer for NIFTY.
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/// </summary>
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public Nifty()
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{
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Symbol = "NIFTY";
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}
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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return new SubscriptionDataSource("https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
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}
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/// <summary>
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/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
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/// each time it is called.
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/// </summary>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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//New Nifty object
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var index = new Nifty();
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try
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{
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//Example File Format:
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//Date, Open High Low Close Volume Turnover
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//2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
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var data = line.Split(',');
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index.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
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index.EndTime = index.Time.AddDays(1);
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index.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
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index.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
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index.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
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index.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
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index.Symbol = "NIFTY";
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index.Value = index.Close;
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}
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catch
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{
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}
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return index;
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}
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}
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/// <summary>
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/// Dollar Rupe is a custom data type we create for this algorithm
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/// </summary>
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public class DollarRupee : BaseData
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{
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/// <summary>
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/// Open Price
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/// </summary>
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public decimal Open { get; set; } = 0;
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/// <summary>
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/// High Price
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/// </summary>
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public decimal High { get; set; } = 0;
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/// <summary>
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/// Low Price
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/// </summary>
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public decimal Low { get; set; } = 0;
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/// <summary>
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/// Closing Price
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/// </summary>
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public decimal Close { get; set; }
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/// <summary>
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/// Default constructor for the custom data class.
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/// </summary>
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public DollarRupee()
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{
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Symbol = "USDINR";
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}
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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return new SubscriptionDataSource("https://www.dropbox.com/s/m6ecmkg9aijwzy2/USDINR.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
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}
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/// <summary>
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/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
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/// each time it is called.
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/// </summary>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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//New USDINR object
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var currency = new DollarRupee();
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try
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{
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var data = line.Split(',');
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currency.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
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currency.EndTime = currency.Time.AddDays(1);
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currency.Close = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
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currency.Symbol = "USDINR";
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currency.Value = currency.Close;
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}
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catch
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{
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}
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return currency;
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}
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}
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/// <summary>
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/// Correlation Pair is a helper class to combine two data points which we'll use to perform the correlation.
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/// </summary>
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public class CorrelationPair
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{
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/// <summary>
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/// Date of the correlation pair
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/// </summary>
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public DateTime Date { get; set; }
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/// <summary>
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/// Nifty price for this correlation pair
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/// </summary>
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public double NiftyPrice { get; set; }
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/// <summary>
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/// Currency price for this correlation pair
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/// </summary>
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public double CurrencyPrice { get; set; }
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/// <summary>
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/// Default initializer
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/// </summary>
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public CorrelationPair()
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{ }
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/// <summary>
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/// Date based correlation pair initializer
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/// </summary>
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public CorrelationPair(DateTime date)
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{
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Date = date.Date;
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}
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}
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}
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