wehub-resource-sync
241 lines
11 KiB
C#
241 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.Globalization;
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using Newtonsoft.Json;
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using QuantConnect.Brokerages;
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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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/// Live Trading Functionality Demonstration algorithm including SMS, Email and Web hook notifications.
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/// </summary>
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/// <meta name="tag" content="live trading" />
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/// <meta name="tag" content="alerts" />
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/// <meta name="tag" content="sms alerts" />
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/// <meta name="tag" content="web hooks" />
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/// <meta name="tag" content="email alerts" />
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/// <meta name="tag" content="runtime statistics" />
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public class LiveTradingFeaturesAlgorithm : QCAlgorithm
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{
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private bool _isConnected;
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/// <summary>
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/// Initialise the Algorithm and Prepare Required Data.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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SetCash(25000);
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//Equity Data for US Markets:
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AddSecurity(SecurityType.Equity, "IBM", Resolution.Second);
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//FOREX Data for Weekends: 24/6
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AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute);
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//Custom/Bitcoin Live Data: 24/7
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AddData<Bitcoin>("BTC", Resolution.Second, TimeZones.Utc);
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//if the algorithm is connected to the brokerage
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_isConnected = true;
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}
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/// <summary>
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/// Raises the data event.
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/// </summary>
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/// <param name="data">Data.</param>
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public override void OnData(Slice data)
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{
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if (!Portfolio["IBM"].HoldStock && data.ContainsKey("IBM"))
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{
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int quantity = (int)Math.Floor(Portfolio.MarginRemaining / data["IBM"].Close);
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Order("IBM", quantity);
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Debug("Purchased IBM on " + Time.ToShortDateString());
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Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
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}
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if (data.TryGet<Bitcoin>("BTC", out var bitcoinData))
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{
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if (LiveMode) //Live Mode Property
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{
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//Configurable title header statistics numbers
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SetRuntimeStatistic("BTC", bitcoinData.Close.ToStringInvariant("C"));
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}
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if (!Portfolio.HoldStock)
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{
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Order("BTC", 100);
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//Send a notification email/SMS/web request on events:
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Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
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Notify.Sms("+11233456789", Time.ToStringInvariant("u") + ">> Test message from live BTC server.");
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Notify.Web("http://api.quantconnect.com", Time.ToStringInvariant("u") + ">> Test data packet posted from live BTC server.");
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Notify.Telegram("id", Time.ToStringInvariant("u") + ">> Test message from live BTC server.");
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Notify.Ftp("ftp.quantconnect.com", "username", "password", "path/to/file.txt",
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Time.ToStringInvariant("u") + ">> Test file from live BTC server.");
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Notify.Sftp("ftp.quantconnect.com", "username", "password", "path/to/file.txt",
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Time.ToStringInvariant("u") + ">> Test file from live BTC server.");
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Notify.Sftp("ftp.quantconnect.com", "username", "privatekey", "optionalprivatekeypassphrase", "path/to/file.txt",
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Time.ToStringInvariant("u") + ">> Test file from live BTC server.");
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}
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}
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}
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/// <summary>
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/// Brokerage message event handler. This method is called for all types of brokerage messages.
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/// </summary>
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public override void OnBrokerageMessage(BrokerageMessageEvent messageEvent)
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{
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Debug($"Brokerage meesage received - {messageEvent.ToString()}");
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}
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/// <summary>
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/// Brokerage disconnected event handler. This method is called when the brokerage connection is lost.
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/// </summary>
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public override void OnBrokerageDisconnect()
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{
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_isConnected = false;
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Debug($"Brokerage disconnected!");
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}
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/// <summary>
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/// Brokerage reconnected event handler. This method is called when the brokerage connection is restored after a disconnection.
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/// </summary>
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public override void OnBrokerageReconnect()
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{
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_isConnected = true;
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Debug($"Brokerage reconnected!");
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}
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/// <summary>
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/// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
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/// </summary>
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public class Bitcoin : BaseData
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{
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[JsonProperty("timestamp")]
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public int Timestamp { get; set; }
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[JsonProperty("open")]
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public decimal Open { get; set; }
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[JsonProperty("high")]
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public decimal High { get; set; }
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[JsonProperty("low")]
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public decimal Low { get; set; }
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[JsonProperty("last")]
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public decimal Close { get; set; }
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[JsonProperty("bid")]
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public decimal Bid { get; set; }
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[JsonProperty("ask")]
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public decimal Ask { get; set; }
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[JsonProperty("vwap")]
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public decimal WeightedPrice { get; set; }
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[JsonProperty("volume")]
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public decimal VolumeBTC { get; set; }
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public decimal VolumeUSD { get; set; }
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/// <summary>
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/// The end time of this data. Some data covers spans (trade bars)
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/// and as such we want to know the entire time span covered
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/// </summary>
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/// <remarks>
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/// This property is overriden to allow different values for Time and EndTime
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/// if they are set in the Reader. In the base implementation EndTime equals Time
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/// </remarks>
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public override DateTime EndTime { get; set; }
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/// <summary>
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/// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
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/// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
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/// </summary>
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public Bitcoin()
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{
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Symbol = "BTC";
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}
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/// <summary>
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/// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
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/// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
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/// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
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/// </summary>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>String URL of source file.</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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if (isLiveMode)
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{
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return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
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}
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//return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
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// OR simply return a fixed small data file. Large files will slow down your backtest
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return new SubscriptionDataSource("https://www.quandl.com/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc", SubscriptionTransportMedium.RemoteFile);
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}
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/// <summary>
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/// 3. READER METHOD: Read 1 line from data source and convert it into Object.
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/// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
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/// feeds it into your algorithm
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/// </summary>
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/// <param name="line">string line from the data source file submitted above</param>
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/// <param name="config">Subscription data, symbol name, data type</param>
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/// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>New Bitcoin Object which extends BaseData.</returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var coin = new Bitcoin();
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if (isLiveMode)
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{
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//Example Line Format:
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//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
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try
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{
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coin = JsonConvert.DeserializeObject<Bitcoin>(line);
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coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone);
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coin.Value = coin.Close;
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}
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catch { /* Do nothing, possible error in json decoding */ }
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return coin;
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}
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//Example Line Format:
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//Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
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//2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
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try
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{
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string[] data = line.Split(',');
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coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
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coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
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coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
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coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
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coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
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coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
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coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
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coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
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coin.Value = coin.Close;
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}
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catch { /* Do nothing, skip first title row */ }
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return coin;
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}
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}
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}
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}
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