wehub-resource-sync
86 lines
3.3 KiB
C#
86 lines
3.3 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.Algorithm.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Orders;
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using System;
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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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/// Framework algorithm that uses the G10CurrencySelectionModel,
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/// a Universe Selection Model that inherits from ManualUniverseSelectionModel
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/// </summary>
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public class G10CurrencySelectionModelFrameworkAlgorithm : QCAlgorithm
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{
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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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// Set requested data resolution
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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// set algorithm framework models
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SetUniverseSelection(new G10CurrencySelectionModel());
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SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status.IsFill())
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{
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Debug($"Purchased Stock: {orderEvent.Symbol}");
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}
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}
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private class G10CurrencySelectionModel : ManualUniverseSelectionModel
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="G10CurrencySelectionModel"/> class
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/// using the algorithm's security initializer and universe settings
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/// </summary>
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public G10CurrencySelectionModel()
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: base(new[]
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{
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"EURUSD",
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"GBPUSD",
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"USDJPY",
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"AUDUSD",
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"NZDUSD",
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"USDCAD",
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"USDCHF",
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"USDNOK",
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"USDSEK"
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}.Select(x => QuantConnect.Symbol.Create(x, SecurityType.Forex, Market.Oanda)))
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{
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}
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}
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}
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}
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