/// <summary>
/// Set live mode state of the algorithm run: Public setter for the algorithm property LiveMode.
/// </summary>
public void SetLiveMode(bool live)
{
if (!_locked)
{
_liveMode = live;
Notify = new NotificationManager(live);
TradeBuilder.SetLiveMode(live);
}
}
public override void OnData(Slice data)
{
//if (!isSent)
// return;
if (!data.Bars.ContainsKey(Symbol(BIST_SECURITY_NAME)))
{
return;
}
if (!security.Exchange.ExchangeOpen)
{
Debug("----------- security exchange is not open");
return;
}
decimal holdingQty = Portfolio.GetHoldingsQuantity(Symbol(BIST_SECURITY_NAME));
Debug("............Purchase Start.............. ");
Debug("----------- Portfolio is invested? : " + Portfolio.Invested);
Debug("----------- Portfolio.Count : " + Portfolio.Count);
Debug("----------- Holding Quantity : " + holdingQty);
Debug("----------- HasOpenPosition? : " + TradeBuilder.HasOpenPosition(Symbol(BIST_SECURITY_NAME)));
//int quantity = (int)Math.Floor(Portfolio.Cash / data["AAPL"].Close);
TradeBar bar = data.Bars[BIST_SECURITY_NAME];
if (bar.DataType != MarketDataType.TradeBar)
{
return;
}
DisplayBarInfo(bar);
OrderTicket marketTicket = PlaceMarketOrder(bar);
DisplayTicketInfo(marketTicket);
OrderTicket limitTicket = PlaceLimitOrder(bar);
DisplayTicketInfo(limitTicket);
DisplayPortfolioInfo();
//UpdateOrder(ticket);
//CancelOrder(ticket);
DisplayOpenOrders();
Debug("............Purchase End.............. ");
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Status == OrderStatus.Filled)
{
Log($"OnOrderEvent(): New filled order event: {orderEvent}");
// leave 1 unit as error in expected value
if (Math.Abs(orderEvent.FillQuantity - _expectedOrderQuantity) > 1)
{
throw new Exception($"Unexpected order event fill quantity: {orderEvent.FillQuantity}. " +
$"Expected {_expectedOrderQuantity}");
}
var orderFeeInAccountCurrency = Portfolio.CashBook.ConvertToAccountCurrency(orderEvent.OrderFee.Value).Amount;
var expectedOrderFee = _spy.Holdings.TotalFees - _previousHoldingsFees;
if (orderEvent.OrderFee.Value.Currency == AccountCurrency
// leave 0.00001m as error in expected fee value
|| Math.Abs(expectedOrderFee - orderFeeInAccountCurrency) > 0.00001m)
{
throw new Exception($"Unexpected order fee: {orderFeeInAccountCurrency}. " +
$"Expected {expectedOrderFee}");
}
if (!TradeBuilder.HasOpenPosition(_spy.Symbol))
{
var lastTrade = TradeBuilder.ClosedTrades.Last();
var expectedProfitLoss = (lastTrade.ExitPrice - lastTrade.EntryPrice)
* lastTrade.Quantity
* _spy.QuoteCurrency.ConversionRate
* (lastTrade.Direction == TradeDirection.Long ? 1 : -1);
if (Math.Abs(expectedProfitLoss - lastTrade.ProfitLoss) > 1)
{
throw new Exception($"Unexpected last trade ProfitLoss: {lastTrade.ProfitLoss}. " +
$"Expected {expectedProfitLoss}");
}
// There is a difference in what does Holdings and TradeBuilder consider LastTrade
if (TradeBuilder.ClosedTrades.Count - _previousClosedTradesCount > 1)
{
var trade = TradeBuilder.ClosedTrades[_previousClosedTradesCount];
expectedProfitLoss += trade.ProfitLoss;
}
if (Math.Abs(_spy.Holdings.LastTradeProfit - expectedProfitLoss) > 1)
{
throw new Exception($"Unexpected Holdings.NetProfit: {_spy.Holdings.LastTradeProfit}. " +
$"Expected {expectedProfitLoss}");
}
}
_previousHoldingsFees = _spy.Holdings.TotalFees;
_previousClosedTradesCount = TradeBuilder.ClosedTrades.Count;
}
}
public void ShouldGenerateTradeJson()
{
var trade = new TradeBuilder()
.Set(x => x.Order, new OrderBuilder().Build)
.Set(x => x.Product, new ProductBuilder().Build)
.Build();
var payload = JsonConvert.SerializeObject(trade, Formatting.Indented);
var dir = TestContext.CurrentContext.WorkDirectory;
var saveFile = Path.Combine(dir, "trade.json");
//File.WriteAllText(saveFile, payload);
var copyDir = Path.Combine(dir, "..\\..\\Artifacts\\trade.json");
File.WriteAllText(copyDir, payload);
}
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
// AlgorithmManager will flip this when we're caught up with realtime
IsWarmingUp = true;
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
UniverseSettings = new SubscriptionSettings(Resolution.Minute, 2m, true, false);
// initialize our scheduler, this acts as a liason to the real time handler
Schedule = new ScheduleManager(Securities, TimeZone);
// initialize the trade builder
TradeBuilder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
}
public override void OnData(Slice data)
{
//if (!isSent)
// return;
if (!data.Bars.ContainsKey(Symbol(BIST_SYMBOL)))
{
return;
}
if (!security.Exchange.ExchangeOpen)
{
Debug("----------- security exchange is not open");
return;
}
TradeBar bar = data.Bars[BIST_SYMBOL];
if (bar.DataType != MarketDataType.TradeBar)
{
Debug("............ bar is not TradeBar.............. ");
return;
}
// only once per day if (previous.Date == Time.Date)
//only once per second
if (previous.ToString("yyyyMMdd-HH:mm:ss") == Time.ToString("yyyyMMdd-HH:mm:ss"))
{
return;
}
if (!macd.IsReady)
{
return;
}
var holding = Portfolio[BIST_SYMBOL];
decimal signalDeltaPercent = (macd - macd.Signal) / macd.Fast;
var tolerance = 0.0025m;
bool isSent = false;
// if our macd is greater than our signal, then let's go long
if (holding.Quantity <= 0 && signalDeltaPercent > tolerance) // 0.01%
{
// longterm says buy as well
SetHoldings(BIST_SYMBOL, 1.0);
isSent = true;
}
// of our macd is less than our signal, then let's go short
else if (holding.Quantity >= 0 && signalDeltaPercent < -tolerance)
{
Liquidate(BIST_SYMBOL);
isSent = true;
}
// plot both lines
Plot("MACD", macd, macd.Signal);
Plot(BIST_SYMBOL, "Open", data[BIST_SYMBOL].Open);
Plot(BIST_SYMBOL, macd.Fast, macd.Slow);
previous = Time;
if (isSent)
{
decimal holdingQty = Portfolio.GetHoldingsQuantity(Symbol(BIST_SYMBOL));
Debug("----------- Portfolio is invested? : " + Portfolio.Invested);
Debug("----------- Portfolio.Count : " + Portfolio.Count);
Debug("----------- Holding Quantity : " + holdingQty);
Debug("----------- HasOpenPosition? : " + TradeBuilder.HasOpenPosition(Symbol(BIST_SYMBOL)));
//int quantity = (int)Math.Floor(Portfolio.Cash / data["AAPL"].Close);
DisplayBarInfo(bar);
//OrderTicket marketTicket = PlaceMarketOrder(bar);
//DisplayTicketInfo(marketTicket);
//OrderTicket limitTicket = PlaceLimitOrder(bar);
//DisplayTicketInfo(limitTicket);
DisplayPortfolioInfo();
//UpdateOrder(ticket);
//CancelOrder(ticket);
DisplayOpenOrders();
}
}
