public override IEnumerable <Insight> Update(QCAlgorithm algorithm, Slice data)
{
var insights = new List <Insight>();
// Check for all Quandl Symbols in current data Slice
if (!(data.ContainsKey(_highs) && data.ContainsKey(_lows)))
{
return(insights);
}
// Higher numbers of stocks at their 52-week low naturally correlate with recessions or
// large stock market corrections, and the opposite can be said of large numbers of stocks
// reaching their 52-week highs at the same time. When viewed like this, the spread between
// the two numbers can tell us a lot about the overall direction of the US equities
// market. If the spread between High and Low decreases and/or inverts, this is likely a
// significant indicator of a bear market. This and other metrics can be used to generate
// valuable Insights
// More URC market data can be found at Quandl
// https://www.quandl.com/data/URC-Unicorn-Research-Corporation
// Generate Insights here!
return(insights);
}
public override void OnData(Slice data)
{
if (!data.ContainsKey(Usdinr) || !data.ContainsKey(Nifty))
{
return;
}
_today = new CorrelationPair(data.Time);
_today.Add(Usdinr, data[Usdinr].Price);
try
{
_today.Add(Nifty, data[Nifty].Close);
if (_today.Date == data.Time)
{
Log("Date: " + data.Time + " Price: " + data[Nifty].Price);
_prices.Add(_today);
if (_prices.Count > MinimumCorrelationHistory)
{
_prices.RemoveAt(0);
}
}
if (_prices.Count < 2)
{
return;
}
var maxAsset = string.Empty;
var maxGain = double.MinValue;
foreach (var symbol in _today.Prices.Keys)
{
var last = (from pair in _prices select pair.Prices[symbol]).Last();
var first = (from pair in _prices select pair.Prices[symbol]).First();
var gain = (last - first) / first;
if (!(gain > maxGain))
{
continue;
}
maxAsset = symbol;
maxGain = gain;
}
if (!maxAsset.Equals(string.Empty))
{
CustomSetHoldings(maxAsset, 1, true);
}
}
catch (Exception ex)
{
Debug("Exception: " + ex.Message);
}
}
/// <summary>
/// Event Handler for Nifty Data Events: These Nifty objects are created from our
/// "Nifty" type below and fired into this event handler.
/// </summary>
/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>
public void OnData(Slice data)
{
if (data.ContainsKey("USDINR"))
{
_today = new CorrelationPair(Time)
{
CurrencyPrice = Convert.ToDouble(data["USDINR"].Close)
};
}
if (!data.ContainsKey("NIFTY"))
{
return;
}
try
{
_today.NiftyPrice = Convert.ToDouble(data["NIFTY"].Close);
if (_today.Date == data["NIFTY"].Time)
{
_prices.Add(_today);
if (_prices.Count > _minimumCorrelationHistory)
{
_prices.RemoveAt(0);
}
}
//Strategy
var quantity = (int)(Portfolio.MarginRemaining * 0.9m / data["NIFTY"].Close);
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["NIFTY"].Open) >= highestNifty)
{
var code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);
Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
else if (Convert.ToDouble(data["NIFTY"].Open) <= lowestNifty)
{
var code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);
Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
}
}
catch (Exception err)
{
Debug("Error: " + err.Message);
}
}
public override void OnData(Slice slice)
{
if (!slice.ContainsKey(Securities[_symbol1].Symbol))
{
Console.WriteLine("No " + _symbol1 + " data on " + slice.Time);
return;
}
if (!slice.ContainsKey(Securities[_symbol2].Symbol))
{
Console.WriteLine("No " + _symbol2 + " data on " + slice.Time);
return;
}
if (slice.Time.DayOfYear == _dayOfYear)
return;
else
_dayOfYear = slice.Time.DayOfYear;
var price1 = slice.Bars[_symbol1].Close;
var price2 = slice.Bars[_symbol2].Close;
if (_initialized)
{
var return1 = price1 / _lastPrice1 - 1;
var return2 = price2 / _lastPrice2 - 1;
if (return1 > return2)
{
int shortQuantity = Portfolio.Securities[_symbol1].Holdings.Quantity;
if (shortQuantity > 0)
Order(Securities[_symbol1].Symbol, -shortQuantity);
decimal actualCash = Portfolio.Cash - Portfolio.Securities[_symbol1].Holdings.Quantity * price1;
int longQuantity = Decimal.ToInt32(Math.Floor(actualCash / price2));
if (longQuantity > 0)
Order(Securities[_symbol2].Symbol, longQuantity);
}
else if (return2 > return1)
{
int shortQuantity = Portfolio.Securities[_symbol2].Holdings.Quantity;
if (shortQuantity > 0)
Order(Securities[_symbol2].Symbol, -shortQuantity);
decimal actualCash = Portfolio.Cash - Portfolio.Securities[_symbol1].Holdings.Quantity * price1;
Console.WriteLine("2>1: " + actualCash);
int longQuantity = Decimal.ToInt32(Math.Floor(actualCash / price1));
if (longQuantity > 0)
Order(Securities[_symbol1].Symbol, longQuantity);
}
}
else
_initialized = true;
_lastPrice1 = price1;
_lastPrice2 = price2;
}
public override void OnData(Slice slice)
{
if (!slice.ContainsKey(_spx))
{
return;
}
if (_addOption)
{
var contracts = OptionChainProvider.GetOptionContractList(_spx, Time);
contracts = contracts.Where(x =>
x.ID.OptionRight == OptionRight.Put &&
x.ID.Date.Date == new DateTime(2021, 1, 15));
var option = AddIndexOptionContract(contracts.First(), Resolution.Minute);
_optionExpiry = option.Expiry;
_optionSymbol = option.Symbol;
_addOption = false;
}
if (slice.ContainsKey(_optionSymbol))
{
if (!Portfolio.Invested)
{
SetHoldings(_optionSymbol, 0.25);
}
// Verify the order of delisting; warning then delisting
Delisting delisting;
if (slice.Delistings.TryGetValue(_optionSymbol, out delisting))
{
switch (delisting.Type)
{
case DelistingType.Warning:
_receivedWarning = true;
break;
case DelistingType.Delisted:
if (!_receivedWarning)
{
throw new Exception("Did not receive warning before delisting");
}
break;
}
}
// Verify we aren't receiving expired option data.
if (_optionExpiry < Time.Date)
{
throw new Exception($"Received expired contract {_optionSymbol} expired: {_optionExpiry} current time: {Time}");
}
}
}
public override void OnData(Slice data)
{
if (data.ContainsKey(_cboeVix))
{
var vix = data.Get <CBOE>(_cboeVix);
Log($"VIX: {vix}");
}
if (data.ContainsKey(_usEnergy))
{
var inputIntoRefineries = data.Get <USEnergy>(_usEnergy);
Log($"U.S. Input Into Refineries: {Time}, {inputIntoRefineries.Value}");
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!_equityBought && data.ContainsKey(_spy))
{
//Buy our Equity
var quantity = CalculateOrderQuantity(_spy, .1m);
_equityBuy = MarketOrder(_spy, quantity, asynchronous: true);
_equityBought = true;
}
if (!_optionBought)
{
// Buy our option
OptionChain chain;
if (data.OptionChains.TryGetValue(_optionSymbol, out chain))
{
// Find the second call strike under market price expiring today
var contracts = (
from optionContract in chain.OrderByDescending(x => x.Strike)
where optionContract.Right == OptionRight.Call
where optionContract.Expiry == Time.Date
where optionContract.Strike < chain.Underlying.Price
select optionContract
).Take(2);
if (contracts.Any())
{
var optionToBuy = contracts.FirstOrDefault();
_optionStrikePrice = optionToBuy.Strike;
_optionBuy = MarketOrder(optionToBuy.Symbol, 1);
_optionBought = true;
}
}
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!data.ContainsKey("SPY"))
{
return;
}
// After an order is placed, it will decrease in quantity by one for each minute, being cancelled altogether
// if not filled within 10 minutes.
if (Transactions.GetOpenOrders().Count == 0)
{
var goLong = Time.Day < 9;
_negative = goLong ? 1 : -1;
var orderRequest = new SubmitOrderRequest(OrderType.LimitIfTouched, SecurityType.Equity, "SPY",
_negative * 10, 0,
data["SPY"].Price - (decimal)_negative, data["SPY"].Price - (decimal)0.25 * _negative, UtcTime,
$"LIT - Quantity: {_negative * 10}");
_request = Transactions.AddOrder(orderRequest);
return;
}
// Order updating if request exists
if (_request != null)
{
if (_request.Quantity == 1)
{
Transactions.CancelOpenOrders();
_request = null;
return;
}
var newQuantity = _request.Quantity - _negative;
_request.UpdateQuantity(newQuantity, $"LIT - Quantity: {newQuantity}");
}
}
public void EquitiesIgnoreQuoteBars()
{
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var slice = new Slice(DateTime.Now, new[] { quoteBar });
Assert.IsFalse(slice.HasData);
Assert.IsTrue(slice.ToList().Count == 0);
Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
Assert.Throws <KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
Assert.AreEqual(0, slice.Count);
var tickQuoteBar = new Tick {
Symbol = Symbols.SPY, Time = DateTime.Now, TickType = TickType.Quote
};
slice = new Slice(DateTime.Now, new[] { tickQuoteBar });
Assert.IsFalse(slice.HasData);
Assert.IsTrue(slice.ToList().Count == 0);
Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
Assert.Throws <KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
Assert.AreEqual(0, slice.Count);
}
public override void OnData(Slice data)
{
// Make sure we have an interest rate calendar event
if (!data.ContainsKey(_interestRate))
{
return;
}
var announcement = data.Get <TradingEconomicsCalendar>(_interestRate);
// Confirm it's a FED Rate Decision
if (announcement.Event != "Fed Interest Rate Decision")
{
return;
}
// In the event of a rate increase, rebalance 50% to Bonds.
var interestRateDecreased = announcement.Actual <= announcement.Previous;
if (interestRateDecreased)
{
SetHoldings("SPY", 1);
SetHoldings("AGG", 0);
}
else
{
SetHoldings("SPY", 0.5);
SetHoldings("AGG", 0.5);
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
//foreach (string symbol in Securities.Keys)
//{
// if (Securities[symbol].Holdings.UnrealizedProfit > 0)
// {
// Order(symbol, -Securities[symbol].Holdings.Quantity);
// }
//}
//if (Portfolio["SPY"].UnrealizedProfit > 0)
//{
//}
if (!data.ContainsKey(securityName))
{
return;
}
TradeBar bar = data.Bars[securityName];
if (!Portfolio.Invested)
{
//SetHoldings(securityName, 10);
OrderTicket ticket = Order(securityName, 100);
WriteTicketInfo(ticket);
Debug("Purchased Stock");
WriteBarInfo(bar);
WritePortfolioInfo();
}
}
public override void OnData(Slice data)
{
if (_contractSymbol != null)
{
return;
}
// Buy the underlying for our covered put
if (data.ContainsKey(_equity) && !_purchasedUnderlying)
{
MarketOrder(_equity, 100 * quantity);
}
// Buy a contract and exercise it immediately
if (_purchasedUnderlying && data.OptionChains.TryGetValue(_option, out OptionChain chain))
{
var contract = chain
.Where(x => x.Right == OptionRight.Put)
.OrderByDescending(x => x.Strike - data[_equity].Price)
.FirstOrDefault();
_contractSymbol = contract.Symbol;
MarketOrder(_contractSymbol, quantity);
// Exercise option
Log("Quantity before: " + Portfolio[_equity].Quantity);
ExerciseOption(_contractSymbol, quantity);
Log("Quantity after: " + Portfolio[_equity].Quantity);
}
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithm algorithm, Slice data)
{
if (!data.ContainsKey(_calendar))
{
return(Enumerable.Empty <Insight>());
}
var insights = new List <Insight>();
// Forecast Interest Rate
var foreIR = System.Convert.ToDecimal(data[_calendar].Forecast.Replace("%", ""), CultureInfo.InvariantCulture);
// Previous released actual Interest Rate
var prevIR = System.Convert.ToDecimal(data[_calendar].Previous.Replace("%", ""), CultureInfo.InvariantCulture);
var usdValueUp = foreIR >= prevIR;
foreach (var pair in _pairs)
{
var direction = pair.Value.StartsWith("USD") && usdValueUp ||
pair.Value.EndsWith("USD") && !usdValueUp
? InsightDirection.Up
: InsightDirection.Down;
insights.Add(Insight.Price(pair, _predictionInterval, direction));
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
int mag = 0;
var symbol = _symbolDataBySymbol.Keys.First();
if (data.ContainsKey(symbol))
{
for (int i = 0; i < _prices.Length; i++)
{
if (_magnitudes[i] > 0)
{
if ((double)((TradeBar)data[symbol]).Price > _prices[i])
{
mag = _magnitudes[i];
}
}
else
{
if ((double)((TradeBar)data[symbol]).Price < _prices[i])
{
mag = _magnitudes[i];
}
}
if ((mag > 0 && mag > _lastMag) || (mag < 0 && mag < _lastMag))
{
_lastMag = mag;
insights.Add(Insight.Price(symbol, TimeSpan.FromMinutes(15), ((mag < 0 && _inverted) || (mag > 0 && !_inverted)) ? InsightDirection.Up : InsightDirection.Down, mag));
}
}
/*
* OptionChain chain;
* if (!TryGetOptionChain(algorithm, symbol, out chain))
* return insights;
*
* var options = chain.Where((o) => Math.Abs((o.Expiry - data.Time).TotalDays) <= _period);
* if (options.Count()>0)
* {
* if (!_symbolDataBySymbol[symbol])
* {
* _symbolDataBySymbol[symbol] = true; //debounce
* //indicate a 'short' signal for expiring options
* insights.Add(Insight.Price(symbol, TimeSpan.FromDays(_period + 1), _inverted ? InsightDirection.Up : InsightDirection.Down, 1));
* }
* }
* else if (_symbolDataBySymbol[symbol])
* {
* _symbolDataBySymbol[symbol] = false; //debounce
* insights.Add(Insight.Price(symbol, TimeSpan.FromDays(_period + 1), InsightDirection.Flat));
* }
*/
}
return(insights);
}
public override void OnData(Slice data)
{
if (!data.HasData)
{
return;
}
_onDataReached = true;
var hasOptionQuoteBars = false;
foreach (var qb in data.QuoteBars.Values)
{
if (qb.Symbol.SecurityType != SecurityType.FutureOption)
{
continue;
}
hasOptionQuoteBars = true;
_symbolsReceived.Add(qb.Symbol);
if (!_dataReceived.ContainsKey(qb.Symbol))
{
_dataReceived[qb.Symbol] = new List <QuoteBar>();
}
_dataReceived[qb.Symbol].Add(qb);
}
if (_invested || !hasOptionQuoteBars)
{
return;
}
if (data.ContainsKey(_es20h20) && data.ContainsKey(_es19m20))
{
SetHoldings(_es20h20, 0.2);
SetHoldings(_es19m20, 0.2);
_invested = true;
}
}
public override void OnData(Slice data)
{
if (data.ContainsKey(_cboeVix))
{
var vix = data.Get <CBOE>(_cboeVix);
Log($"VIX: {vix}");
}
if (data.ContainsKey(_usEnergy))
{
var inputIntoRefineries = data.Get <USEnergy>(_usEnergy);
Log($"U.S. Input Into Refineries: {Time}, {inputIntoRefineries.Value}");
}
if (data.ContainsKey(_fredPeakToTrough))
{
var peakToTrough = data.Get <Fred>(_fredPeakToTrough);
Log($"OECD based Recession Indicator for the United States from the Peak through the Trough: {peakToTrough}");
}
}
public override void OnData(Slice data)
{
// if (Time > new DateTime(2018,1,18,0,0,0) && stocks.Contains("VXX.1") )
// {
// stocks.Remove("VXX.1");
// stocks.Add("VXX");
// }
if (allocationTime)
{
Log("OnDataVarOptimised allocationTime");
if (canAllocate && (data.ContainsKey("VXX.1") && bb1.IsReady && data["VXX.1"].Close > bb1.UpperBand ||
data.ContainsKey("VXX") && bb.IsReady && data["VXX"].Close > bb.UpperBand))
{
Log("VXX Burst Liquidating");
Liquidate("UPRO");
Liquidate("TMF");
canAllocate = false;
}
else if (canAllocate)
{
Log($"canAllocate");
Allocate(data);
}
else
{
Log($"canNOTAllocate");
var spreadToRecovery1 = 0.25m * (bb1.UpperBand - bb1.MiddleBand);
var spreadToRecovery = 0.25m * (bb.UpperBand - bb.MiddleBand);
if (data.ContainsKey("VXX.1") && bb1.IsReady && data["VXX.1"].Close < bb1.UpperBand - spreadToRecovery1 ||
data.ContainsKey("VXX") && bb.IsReady && data["VXX"].Close < bb.UpperBand - spreadToRecovery)
{
Log($"Recovery Threashold reached: Allocating");
Allocate(data);
canAllocate = true;
}
}
Plot("CAN_ALLOCATE", "CA", (canAllocate) ? 1m : 0);
allocationTime = false;
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public override void OnData(Slice data)
{
if (data.ContainsKey("SPY"))
{
if (Time.Second == 0 && Time.Minute == 0)
{
var goLong = Time < StartDate.AddDays(2);
var negative = goLong ? 1 : -1;
LimitOrder("SPY", negative * 10, data["SPY"].Price);
}
}
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
if (!data.ContainsKey(kvp.Key) || data[kvp.Key] == null)
{
continue;
}
var symbol = kvp.Key;
kvp.Value.Update(data[kvp.Key]);
var std = kvp.Value.STD;
if (!std.IsReady)
{
continue;
}
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(kvp.Value.Indicator.Current.Value, std, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
case State.TrippedLow:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
private IEnumerable <Insight> GetInsights(Slice slice)
{
try
{
var candidateLongs = RankSymbols(ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
_longCandidates.Contains(x.Key) &&
_indicators.ContainsKey(x.Key) &&
_indicators[x.Key].IsReady &&
_indicators[x.Key].Momentum > MinLongMomentum &&
!_indicators[x.Key].ExcludedBySma &&
!_indicators[x.Key].ExcludedBySpread &&
(slice[x.Key] as BaseData).Price >= MinPrice)
.Select(x => x.Key))
.ToList();
var holdingRanks = Portfolio
.Where(x => x.Value.Invested)
.ToDictionary(
x => x.Key,
x => candidateLongs.FindIndex(y => y == x.Key));
var rankThreshold = 2.5 * NumLong;
var toSell = holdingRanks
.Where(x => x.Value <0 || x.Value> rankThreshold)
.Select(x => x.Key);
var toHold = holdingRanks.Keys.Except(toSell);
var toBuy = candidateLongs
.Where(x => !toHold.Contains(x))
.OrderByDescending(x => _indicators[x].Momentum)
.Take(NumLong - toHold.Count());
var toOwn = toBuy
.Union(toHold)
.Select(x => new Insight(
x,
RebalancePeriod,
InsightType.Price,
InsightDirection.Up));
return(toOwn);
}
catch (Exception e)
{
var msg = $"Exception: GetInsights: {e.Message}, {e.StackTrace}";
Log(msg);
SendEmailNotification(msg);
throw;
}
}
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
var period = TimeSpan.FromMinutes(5);
var magnitude = 0.0005;
// We will create our insights when we recieve news
if (data.ContainsKey("DFX"))
{
var calendar = data.Get <DailyFx>("DFX");
// Only act if this is important news.
if (calendar.Importance != FxDailyImportance.High)
{
return(insights);
}
if (calendar.Meaning == FxDailyMeaning.None)
{
return(insights);
}
// Create insights for all active currencies in our universe when country matches currency
foreach (var kvp in algorithm.ActiveSecurities.Where(kvp => kvp.Value.Symbol.SecurityType == SecurityType.Forex))
{
var symbol = kvp.Key;
var pair = (Forex)kvp.Value;
var direction = InsightDirection.Flat;
if (pair.BaseCurrencySymbol == calendar.Currency.ToUpper())
{
direction = (calendar.Meaning == FxDailyMeaning.Better) ? InsightDirection.Up : InsightDirection.Down;
}
else if (pair.QuoteCurrency.Symbol == calendar.Currency.ToUpper())
{
direction = (calendar.Meaning == FxDailyMeaning.Better) ? InsightDirection.Down : InsightDirection.Up;
}
if (direction != InsightDirection.Flat)
{
insights.Add(Insight.Price(symbol, period, direction, magnitude));
}
}
}
return(insights);
}
public override void OnData(Slice data)
{
if (!data.ContainsKey(securityName))
{
return;
}
TradeBar bar = data.Bars[securityName];
WriteBarInfo(bar);
Plot("Custom chart", "Custom Series", i++);
Plot("Plotter", securityName, bar.Price);
Plot("Assets", securityName, bar.Price);
}
/// <summary>
/// Purchase a contract when we are not invested, liquidate otherwise
/// </summary>
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
// SPX Index is not tradable, but we can trade an option
MarketOrder(SpxOption, 1);
}
else
{
Liquidate();
}
// Count how many slices we receive with SPX data in it to assert later
if (slice.ContainsKey(Spx))
{
BarCounter++;
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (data.SymbolChangedEvents.Count != 0)
{
foreach (var symbolChanged in data.SymbolChangedEvents.Values)
{
if (symbolChanged.Symbol != _qqq)
{
throw new Exception($"Mapped symbol is not QQQ. Instead, found: {symbolChanged.Symbol}");
}
if (symbolChanged.OldSymbol != "QQQQ")
{
throw new Exception($"Old QQQ Symbol is not QQQQ. Instead, found: {symbolChanged.OldSymbol}");
}
if (symbolChanged.NewSymbol != "QQQ")
{
throw new Exception($"New QQQ Symbol is not QQQ. Instead, found: {symbolChanged.NewSymbol}");
}
_mappingEventOccurred = true;
}
}
if (data.Keys.Count == 1 && data.ContainsKey(_qqq))
{
return;
}
if (!_constituentDataEncountered.ContainsKey(UtcTime.Date))
{
_constituentDataEncountered[UtcTime.Date] = false;
}
if (_constituentSymbols.Intersect(data.Keys).Any())
{
_constituentDataEncountered[UtcTime.Date] = true;
}
if (!Portfolio.Invested)
{
SetHoldings(_aapl, 0.5m);
}
}
private void UpdateIndicatorOpen(Slice slice)
{
Parallel.ForEach(_indicators, (indicator) =>
{
try
{
if (slice.ContainsKey(indicator.Key))
{
indicator.Value.UpdateOpen(slice[indicator.Key]);
}
}
catch (Exception e)
{
var msg = $"Exception: UpdateIndicatorOpen: {e.Message}, {e.StackTrace}";
Log(msg);
SendEmailNotification(msg);
}
});
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!data.ContainsKey(_spy) || !data.Bars.ContainsKey(_spy))
{
return;
}
var c = this.OptionChainProvider.GetOptionContractList(_spy, data.Bars[_spy].EndTime);
if (c != null)
{
var con = new List <QuantConnect.Symbol>(c);
Debug("OPTION COUNT:" + con.Count);
}
if (!Portfolio.Invested)
{
SetHoldings(_spy, 1);
Debug("Purchased Stock");
}
}
public override void OnData(Slice data)
{
if (!data.ContainsKey(_yieldCurve))
{
return;
}
// Preserve null values by getting the data with `slice.Get<T>`
// Accessing the data using `data[_yieldCurve]` results in null
// values becoming `default(decimal)` which is equal to 0
var rates = data.Get <USTreasuryYieldCurveRate>().Values.First();
// Check for null before using the values
if (!rates.TenYear.HasValue || !rates.TwoYear.HasValue)
{
return;
}
// Only advance if a year has gone by
if (Time - _lastInversion < TimeSpan.FromDays(365))
{
return;
}
// if there is a yield curve inversion after not having one for a year, short SPY for two years
if (!Portfolio.Invested && rates.TwoYear > rates.TenYear)
{
Debug($"{Time} - Yield curve inversion! Shorting the market for two years");
SetHoldings(_spy, -0.5);
_lastInversion = Time;
return;
}
// If two years have passed, liquidate our position in SPY
if (Time - _lastInversion >= TimeSpan.FromDays(365 * 2))
{
Liquidate(_spy);
}
}
public override IEnumerable <Insight> Update(QCAlgorithm algorithm, Slice data)
{
var insights = new List <Insight>();
// Check for all Quandl Symbols in current data Slice
if (!data.ContainsKey(_compensationDelta))
{
return(insights);
}
// Employee compensation levels and cost of living are important
// factors in determining how much consumers will be able or want to spend on discretionary
// items. The Consumer Price Index measures changes in the price level of a market basket of
// consumer goods and services purchased by households. If the cost of living and/or the
// inflation rate increases faster than compensation levels, this will likely put downward
// pressure on consumer discretionary industries -- retail, automobile manufacturing, luxury/travel, etc.
// Generate Insights here!
return(insights);
}
private void UpdateIndicatorData(Slice currentSlice)
{
var localHistories = History(slowSmaDays, Resolution.Daily).ToList();
foreach (var symbol in universe)
{
if (!currentSlice.ContainsKey(symbol))
{
continue;
}
histories[symbol] = localHistories
.Where(x => x.ContainsKey(symbol))
.Select(x => x[symbol] as BaseData)
.Union(new[] { currentSlice[symbol] as BaseData })
.OrderByDescending(x => x.Time)
.ToList();
macds[symbol] = MacdHistogram(symbol);
var stoHistories = History <TradeBar>(symbol, stoLookbackPeriod, Resolution.Daily)
.Union(new[] { currentSlice[symbol] as TradeBar });
stos[symbol] = Sto(stoHistories);
}
}
private void HandleVixData(Slice slice)
{
if (!slice.ContainsKey(_cboeVix))
{
return;
}
if (_vix != null && (_vix as TradeBar).Time.Day == slice.Time.Day)
{
return;
}
_vix = slice.Get <CBOE>(_cboeVix);
var vixHistories = History <CBOE>(_cboeVix, 35, Resolution.Daily)
.Cast <TradeBar>();
if (vixHistories.Any())
{
var momentum = vixHistories
.OrderByDescending(x => x.Time)
.Take(5)
.Select(x => x.Price)
.Average()
/
vixHistories
.OrderBy(x => x.Time)
.Take(5)
.Select(x => x.Price)
.Average();
_tooVolatile = momentum > 2;
Plot("VIX-momentum", "momentum", momentum);
}
Plot("VIX", "price", _vix.Price);
}
public override void OnData(Slice data)
{
//Confirm that the data is in the collection
if (!data.ContainsKey(_tiingoSymbol))
{
return;
}
// Gets the first piece of data from the Slice
var article = data.Get <TiingoNews>(_tiingoSymbol);
// Article descriptions come in all caps. Lower and split by word
var descriptionWords = article.Description.ToLowerInvariant().Split(' ');
// Take the intersection of predefined words and the words in the
// description to get a list of matching words
var intersection = _words.Keys.Intersect(descriptionWords);
// Get the sum of the article's sentiment, and go long or short
// depending if it's a positive or negative description
var sentiment = intersection.Select(x => _words[x]).Sum();
SetHoldings(article.Symbol.Underlying, sentiment);
}
