wehub-resource-sync
83 lines
3.6 KiB
C#
83 lines
3.6 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.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Using rolling windows for efficient storage of historical data; which automatically clears after a period of time.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="history and warm up" />
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/// <meta name="tag" content="history" />
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/// <meta name="tag" content="warm up" />
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/// <meta name="tag" content="indicators" />
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/// <meta name="tag" content="rolling windows" />
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public class RollingWindowAlgorithm : QCAlgorithm
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{
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private RollingWindow<TradeBar> _window;
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private RollingWindow<IndicatorDataPoint> _smaWin;
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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(2013,10,1); // Set Start Date
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SetEndDate(2013,11,1); // Set End Date
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SetCash(100000); // Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddEquity("SPY", Resolution.Daily);
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// Creates a Rolling Window indicator to keep the 2 TradeBar
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_window = new RollingWindow<TradeBar>(2); // For other security types, use QuoteBar
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// Creates an indicator and adds to a rolling window when it is updated
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var sma = SMA("SPY", 5);
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sma.Updated += (sender, updated) => _smaWin.Add(updated);
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_smaWin = new RollingWindow<IndicatorDataPoint>(5);
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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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// Add SPY TradeBar in rollling window
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_window.Add(slice["SPY"]);
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// Wait for windows to be ready.
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if (!_window.IsReady || !_smaWin.IsReady) return;
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var currBar = _window[0]; // Current bar had index zero.
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var pastBar = _window[1]; // Past bar has index one.
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Log($"Price: {pastBar.Time} -> {pastBar.Close} ... {currBar.Time} -> {currBar.Close}");
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var currSma = _smaWin[0]; // Current SMA had index zero.
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var pastSma = _smaWin[_smaWin.Count - 1]; // Oldest SMA has index of window count minus 1.
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Log($"SMA: {pastSma.Time} -> {pastSma.Value} ... {currSma.Time} -> {currSma.Value}");
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if (!Portfolio.Invested && currSma > pastSma)
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{
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SetHoldings("SPY", 1);
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}
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}
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}
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}
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