wehub-resource-sync
104 lines
3.9 KiB
C#
104 lines
3.9 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.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Randomly selects the specified number of symbols from the lists below
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/// </summary>
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/// <meta name="tag" content="regression test" />
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public class StressSymbolsAlgorithm : QCAlgorithm
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{
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public const int TickSymbolsToRun = 0;
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public const int SecondSymbolsToRun = 0;
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public const int MinuteSymbolsToRun = 0;
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public const int HourSymbolsToRun = 0;
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public const int DailySymbolsToRun = 1000;
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/// <summary>
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/// Add Hundreds of Stock and Forex Symbol
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2001, 10, 07);
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SetEndDate(2010, 10, 11);
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SetCash(250000);
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var allSymbols = StressSymbols.StockSymbols.ToList();//.Concat(ForexSymbols).ToList();
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if (TickSymbolsToRun + SecondSymbolsToRun + HourSymbolsToRun + DailySymbolsToRun > allSymbols.Count)
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{
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throw new RegressionTestException("Too many symbols, all symbols: " + allSymbols.Count);
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}
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var hash = new HashSet<string> {"DNY", "MLNK"};
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var ticks = GetRandomSymbols(allSymbols, hash, TickSymbolsToRun).ToList();
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var seconds = GetRandomSymbols(allSymbols, hash, SecondSymbolsToRun).ToList();
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var minutes = GetRandomSymbols(allSymbols, hash, MinuteSymbolsToRun).ToList();
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var hours = GetRandomSymbols(allSymbols, hash, HourSymbolsToRun).ToList();
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var daily = GetRandomSymbols(allSymbols, hash, DailySymbolsToRun).ToList();
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AddSecurity(ticks, Resolution.Tick);
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AddSecurity(seconds, Resolution.Second);
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AddSecurity(minutes, Resolution.Minute);
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AddSecurity(hours, Resolution.Hour);
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AddSecurity(daily, Resolution.Daily);
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//SetUniverse(coarse => coarse.Take(1));
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}
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private void AddSecurity(IEnumerable<string> symbols, Resolution resolution)
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{
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foreach (var symbol in symbols)
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{
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var securityType = StressSymbols.ForexSymbols.Contains(symbol) ? SecurityType.Forex : SecurityType.Equity;
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AddSecurity(securityType, symbol, resolution);
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}
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}
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private IEnumerable<string> GetRandomSymbols(List<string> allSymbols, HashSet<string> hash, int numberOfSymbols)
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{
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return Enumerable.Range(0, numberOfSymbols).Select(x => GetRandomItem(allSymbols, hash));
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}
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private readonly Random _random = new Random();
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private string GetRandomItem(IReadOnlyList<string> list, HashSet<string> hash)
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{
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var count = 0;
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string item;
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do
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{
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item = list[_random.Next(list.Count)];
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count++;
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}
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while (!hash.Add(item) && count < list.Count*2);
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return item;
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}
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/// <summary>
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/// data event handler
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/// </summary>
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public override void OnData(Slice slice)
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{
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}
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}
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} |