wehub-resource-sync
88 lines
3.4 KiB
C#
88 lines
3.4 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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using System;
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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.Statistics;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Adds daily data, then switches over to minute data after a few days.
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/// This is to test the behavior of the sampling that occurs while the algorithm
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/// is executing and its final alignment to the benchmark series in the <see cref="StatisticsBuilder"/> class.
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/// </summary>
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/// <remarks>
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/// -=-=-= WARNING =-=-=-
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///
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/// if you are a user of the platform looking for how to switch the resolution of a symbol, we recommend
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/// you add data in a high resolution (i.e. minute, second) and use a <see cref="TradeBarConsolidator"/> to aggregate the
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/// data to your desired resolution.
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///
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/// This algorithm exists to test the internals of LEAN, and should not be used in any algorithm.
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///
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/// -=-=-= WARNING =-=-=-
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/// </remarks>
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public class ResolutionSwitchingAlgorithm : QCAlgorithm
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{
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private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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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(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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AddEquity("SPY", Resolution.Daily);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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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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// Wait for the security to be re-added in the OnSecuritiesChanged event before trying to trade it
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Securities.TryGetValue(_spy, out var security) && security.IsTradable)
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{
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MarketOrder(_spy, 651); // QTY 651 is equal to `SetHoldings(_spy, 1)`
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Debug("Purchased Stock");
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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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AddEquity("SPY", Resolution.Minute);
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}
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}
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public override void OnEndOfDay(Symbol symbol)
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{
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if (UtcTime.Date == new DateTime(2013, 10, 9))
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{
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RemoveSecurity(symbol);
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}
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}
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}
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}
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