wehub-resource-sync
101 lines
4.3 KiB
C#
101 lines
4.3 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.Data.UniverseSelection;
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using QuantConnect.Indicators;
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using System.Collections.Concurrent;
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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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/// Provides an example where WarmUpIndicator method is used to warm up indicators
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/// after their security is added and before (Universe Selection scenario)
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/// </summary>
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public class SmaCrossUniverseSelectionAlgorithm : QCAlgorithm
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{
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private const int _count = 10;
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private const decimal _tolerance = 0.01m;
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private const decimal _targetPercent = 1m / _count;
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public override void Initialize()
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{
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UniverseSettings.Leverage = 2.0m;
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UniverseSettings.Resolution = Resolution.Daily;
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SetStartDate(2018, 01, 01);
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SetEndDate(2019, 01, 01);
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SetCash(1000000);
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Settings.AutomaticIndicatorWarmUp = true;
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var ibm = AddEquity("IBM", Resolution.Tick).Symbol;
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var ibmSma = SMA(ibm, 40);
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Log($"{ibmSma.Name}: {ibmSma.Current.Time} - {ibmSma}. IsReady? {ibmSma.IsReady}");
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var spy = AddEquity("SPY", Resolution.Hour).Symbol;
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var spySma = SMA(spy, 10); // Data point indicator
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var spyAtr = ATR(spy, 10); // Bar indicator
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var spyVwap = VWAP(spy, 10); // TradeBar indicator
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Log($"SPY - Is ready? SMA: {spySma.IsReady}, ATR: {spyAtr.IsReady}, VWAP: {spyVwap.IsReady}");
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var eur = AddForex("EURUSD", Resolution.Hour).Symbol;
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var eurSma = SMA(eur, 20, Resolution.Daily);
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var eurAtr = ATR(eur, 20, resolution: Resolution.Daily);
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Log($"EURUSD - Is ready? SMA: {eurSma.IsReady}, ATR: {eurAtr.IsReady}");
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AddUniverse(coarse =>
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{
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var averages = new ConcurrentDictionary<Symbol, IndicatorBase<IndicatorDataPoint>>();
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return (from cf in coarse
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where cf.HasFundamentalData
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// grab the SMA instance for this symbol
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let avg = averages.GetOrAdd(cf.Symbol, sym =>
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{
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var sma = new SimpleMovingAverage(100);
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WarmUpIndicator(cf.Symbol, sma, Resolution.Daily);
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return sma;
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})
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// Update returns true when the indicators are ready, so don't accept until they are
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where avg.Update(cf.EndTime, cf.AdjustedPrice)
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// only pick symbols who have their price over their 100 day sma
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where avg > cf.AdjustedPrice * _tolerance
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// prefer symbols with a larger delta by percentage between the two averages
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orderby (avg - cf.AdjustedPrice) / ((avg + cf.AdjustedPrice) / 2m) descending
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// we only need to return the symbol and return 'Count' symbols
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select cf.Symbol).Take(_count);
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});
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// Since the indicators are ready, we will receive error messages
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// reporting that the algorithm manager is trying to add old information
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SetWarmUp(10);
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var security in changes.RemovedSecurities.Where(x => x.Invested))
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{
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Liquidate(security.Symbol);
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}
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foreach (var security in changes.AddedSecurities)
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{
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SetHoldings(security.Symbol, _targetPercent);
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}
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}
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}
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}
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