wehub-resource-sync
107 lines
4.3 KiB
C#
107 lines
4.3 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.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm shows how to set a custom security initializer.
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/// A security initializer is run immediately after a new security object
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/// has been created and can be used to security models and other settings,
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/// such as data normalization mode
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="securities and portfolio" />
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/// <meta name="tag" content="trading and orders" />
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public class CustomSecurityInitializerAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// set our initializer to our custom type
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SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
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var funcSecuritySeeder = new FuncSecuritySeeder(CustomSeedFunction);
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SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, funcSecuritySeeder, DataNormalizationMode.Raw));
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SetStartDate(2013, 10, 01);
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SetEndDate(2013, 11, 01);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);
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}
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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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}
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}
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private BaseData CustomSeedFunction(Security security)
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{
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var resolution = Resolution.Hour;
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var history = History(new[] { security.Symbol }, 1, resolution);
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if (history.Any() && history.First().Values.Any())
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{
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return history.First().Values.First();
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}
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return null;
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}
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/// <summary>
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/// Our custom initializer that will set the data normalization mode.
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/// We sub-class the <see cref="BrokerageModelSecurityInitializer"/>
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/// so we can also take advantage of the default model/leverage setting
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/// behaviors
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/// </summary>
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class CustomSecurityInitializer : BrokerageModelSecurityInitializer
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{
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private readonly DataNormalizationMode _dataNormalizationMode;
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomSecurityInitializer"/> class
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/// with the specified normalization mode
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/// </summary>
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/// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
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/// <param name="securitySeeder">The security seeder to be used</param>
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/// <param name="dataNormalizationMode">The desired data normalization mode</param>
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public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
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: base(brokerageModel, securitySeeder)
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{
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_dataNormalizationMode = dataNormalizationMode;
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}
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/// <summary>
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/// Initializes the specified security by setting up the models
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/// </summary>
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/// <param name="security">The security to be initialized</param>
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public override void Initialize(Security security)
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{
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// first call the default implementation
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base.Initialize(security);
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// now apply our data normalization mode
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security.SetDataNormalizationMode(_dataNormalizationMode);
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}
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}
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}
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}
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