wehub-resource-sync
123 lines
4.4 KiB
C#
123 lines
4.4 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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*/
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Indicators;
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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 example demonstrates how to implement a cross moving average for the futures front contract
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="indicator" />
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/// <meta name="tag" content="futures" />
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public class EmaCrossFuturesFrontMonthAlgorithm : QCAlgorithm
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{
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private const decimal _tolerance = 0.001m;
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private Symbol _symbol;
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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private IDataConsolidator _consolidator;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 10);
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SetCash(1000000);
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var future = AddFuture(Futures.Metals.Gold);
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// Only consider the front month contract
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// Update the universe once per day to improve performance
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future.SetFilter(x => x.FrontMonth().OnlyApplyFilterAtMarketOpen());
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// Create two exponential moving averages
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_fast = new ExponentialMovingAverage(100);
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_slow = new ExponentialMovingAverage(300);
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// Add a custom chart to track the EMA cross
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var chart = new Chart("EMA Cross");
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chart.AddSeries(new Series("Fast", SeriesType.Line, 0));
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chart.AddSeries(new Series("Slow", SeriesType.Line, 0));
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AddChart(chart);
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}
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public override void OnData(Slice slice)
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{
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SecurityHolding holding;
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if (Portfolio.TryGetValue(_symbol, out holding))
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{
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// Buy the futures' front contract when the fast EMA is above the slow one
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if (_fast > _slow * (1 + _tolerance))
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{
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if (!holding.Invested)
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{
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SetHoldings(_symbol, .1);
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PlotEma();
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}
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}
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else if (holding.Invested)
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{
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Liquidate(_symbol);
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PlotEma();
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (changes.RemovedSecurities.Count > 0)
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{
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// Remove the consolidator for the previous contract
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// and reset the indicators
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if (_symbol != null && _consolidator != null)
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{
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SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
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_fast.Reset();
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_slow.Reset();
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}
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// We don't need to call Liquidate(_symbol),
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// since its positions are liquidated because the contract has expired.
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}
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// Only one security will be added: the new front contract
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_symbol = changes.AddedSecurities.SingleOrDefault().Symbol;
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// Create a new consolidator and register the indicators to it
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_consolidator = ResolveConsolidator(_symbol, Resolution.Minute);
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RegisterIndicator(_symbol, _fast, _consolidator);
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RegisterIndicator(_symbol, _slow, _consolidator);
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// Warm up the indicators
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WarmUpIndicator(_symbol, _fast, Resolution.Minute);
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WarmUpIndicator(_symbol, _slow, Resolution.Minute);
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PlotEma();
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}
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private void PlotEma()
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{
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Plot("EMA Cross", "Fast", _fast);
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Plot("EMA Cross", "Slow", _slow);
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}
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}
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}
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