/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name + " UseSig=" + LiveSignalIndex;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_proformatransactions = new List<OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath)) File.Delete(filepath);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
symbol = new Symbol("AAPL");
#region "Read Symbols from File"
/**********************************************
THIS SECTION IS FOR READING SYMBOLS FROM A FILE
************************************************/
string symbols;
var filename = AssemblyLocator.ExecutingDirectory() + "symbols.txt";
using (StreamReader sr = new StreamReader(filename))
{
symbols = sr.ReadLine();
sr.Close();
}
//symbol = new Symbol(symbols);
#endregion
minuteReturns.AppendFormat("{0},{1}", symbol, _startDate.ToShortDateString());
minuteHeader.AppendFormat("Symbol,Date");
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .24m);
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List<OrderTransaction>();
_ticketsQueue = new List<OrderTicket>();
#region ITrend
iTrendSignal = new ITrendSignal(7);
LastOrderSent.Add(symbol, OrderSignal.doNothing);
#endregion
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//signalInfos.Add(new SignalInfo
//{
// Id = 1,
// Name = "ITrend",
// IsActive = true,
// SignalJson = string.Empty,
// Value = OrderSignal.doNothing,
// InternalState = string.Empty,
// SignalType = typeof(ITrendSignal)
//});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
#region "15 Minute"
// define our 15 minute consolidator
//var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
//fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteAAPL;
//trend15Min = new InstantaneousTrend(3);
//RegisterIndicator(symbol, trend15Min, fifteenMinuteConsolidator, Field.Close);
//int fast = 15;
//int slow = 30;
//// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
//var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA15", fast);
//var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA30", slow);
//// register our indicator and consolidator together. this will wire the consolidator up to receive
//// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
//RegisterIndicator("AAPL", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
//RegisterIndicator("AAPL", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
//private string sig7comment;
//private TradeBarConsolidator fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
//private InstantaneousTrend trend15Min;
//private bool CanMakeTrade = true;
//private bool MinuteDataActivated = false;
#endregion
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name + " UseSig=" + LiveSignalIndex;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_proformatransactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
symbol = new Symbol("AAPL");
#region "Read Symbols from File"
/**********************************************
* THIS SECTION IS FOR READING SYMBOLS FROM A FILE
************************************************/
string symbols;
var filename = AssemblyLocator.ExecutingDirectory() + "symbols.txt";
using (StreamReader sr = new StreamReader(filename))
{
symbols = sr.ReadLine();
sr.Close();
}
//symbol = new Symbol(symbols);
#endregion
minuteReturns.AppendFormat("{0},{1}", symbol, _startDate.ToShortDateString());
minuteHeader.AppendFormat("Symbol,Date");
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .24m);
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List <OrderTransaction>();
_ticketsQueue = new List <OrderTicket>();
#region ITrend
iTrendSignal = new ITrendSignal(7);
LastOrderSent.Add(symbol, OrderSignal.doNothing);
#endregion
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//signalInfos.Add(new SignalInfo
//{
// Id = 1,
// Name = "ITrend",
// IsActive = true,
// SignalJson = string.Empty,
// Value = OrderSignal.doNothing,
// InternalState = string.Empty,
// SignalType = typeof(ITrendSignal)
//});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
#region "15 Minute"
// define our 15 minute consolidator
//var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
//fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteAAPL;
//trend15Min = new InstantaneousTrend(3);
//RegisterIndicator(symbol, trend15Min, fifteenMinuteConsolidator, Field.Close);
//int fast = 15;
//int slow = 30;
//// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
//var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA15", fast);
//var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA30", slow);
//// register our indicator and consolidator together. this will wire the consolidator up to receive
//// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
//RegisterIndicator("AAPL", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
//RegisterIndicator("AAPL", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
