wehub-resource-sync
80 lines
2.9 KiB
C#
80 lines
2.9 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 QuantConnect.Data;
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using QuantConnect.Data.Custom.Tiingo;
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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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/// This example algorithm shows how to import and use Tiingo daily prices data.
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/// </summary>
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/// <meta name="tag" content="strategy example" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="tiingo" />
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public class TiingoPriceAlgorithm : QCAlgorithm
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{
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private const string Ticker = "AAPL";
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private Symbol _symbol;
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private ExponentialMovingAverage _emaFast;
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private ExponentialMovingAverage _emaSlow;
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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(2017, 1, 1);
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SetEndDate(2017, 12, 31);
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SetCash(100000);
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// Set your Tiingo API Token here
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Tiingo.SetAuthCode("my-tiingo-api-token");
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_symbol = AddData<TiingoPrice>(Ticker, Resolution.Daily).Symbol;
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_emaFast = EMA(_symbol, 5);
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_emaSlow = EMA(_symbol, 10);
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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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// Extract Tiingo data from the slice
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var tiingoData = slice.Get<TiingoPrice>();
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foreach (var row in tiingoData.Values)
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{
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Log($"{Time} - {row.Symbol.Value} - {row.Close} {row.Value} {row.Price} - EmaFast:{_emaFast} - EmaSlow:{_emaSlow}");
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}
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// Simple EMA cross
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if (!Portfolio.Invested && _emaFast > _emaSlow)
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{
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SetHoldings(_symbol, 1);
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}
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else if (Portfolio.Invested && _emaFast < _emaSlow)
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{
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Liquidate(_symbol);
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}
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}
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}
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}
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