/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
//New Nifty object
var index = new Nifty();
try
{
//Example File Format:
//Date, Open High Low Close Volume Turnover
//2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78
var data = line.Split(',');
index.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
index.EndTime = index.Time.AddDays(1);
index.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
index.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
index.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
index.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
index.Symbol = "NIFTY";
index.Value = index.Close;
}
catch
{
}
return(index);
}
/// <summary>
/// OnData is the primary entry point for youm algorithm. New data is piped into your algorithm here
/// via TradeBars objects.
/// </summary>
/// <param name="data">TradeBars IDictionary object</param>
public void OnData(Nifty data)
{
try
{
var quantity = (int)(Portfolio.TotalPortfolioValue * 0.9m / data.Close);
_today.NiftyPrice = Convert.ToDouble(data.Close);
if (_today.Date == data.Time)
{
_prices.Add(_today);
if (_prices.Count > _minimumCorrelationHistory)
{
_prices.RemoveAt(0);
}
}
//Strategy
var highestNifty = (from pair in _prices select pair.NiftyPrice).Max();
var lowestNifty = (from pair in _prices select pair.NiftyPrice).Min();
if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&
{
//List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();
//List<double> currencyPrices = (from pair in prices select pair.CurrencyPrice).ToList();
//double correlation = Correlation.Pearson(niftyPrices, currencyPrices);
//double niftyFraction = (correlation)/2;
if (Convert.ToDouble(data.Open) >= highestNifty)
{
var code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);
Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
else if (Convert.ToDouble(data.Open) <= lowestNifty)
{
var code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);
Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
}
}
catch (Exception err)
{
Debug("Error: " + err.Message);
}
}