public void GetYearExists()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
tradingCalendar.SetNonTradingDays(2000, new[] { new NonTradingDay(new Date(2000, 01, 01), "New Year's Day") });
var repository = mockRepository.Create <IRepository <TradingCalendar> >();
repository.Setup(x => x.Get(tradingCalendar.Id)).Returns(tradingCalendar);
var service = new TradingCalendarService(repository.Object, tradingCalendar.Id);
var result = service.Get(2000);
var response = result.Result;
response.Should().BeEquivalentTo(new
{
Year = 2000,
NonTradingDays = new []
{
new RestApi.TradingCalendars.TradingCalendar.NonTradingDay()
{
Date = new Date(2000, 01, 01), Description = "New Year's Day"
}
},
});
}
public void SetNonTradingDays()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
tradingCalendar.SetNonTradingDays(2001, new[] { new NonTradingDay(new Date(2001, 01, 01), "New Year's Day") });
var repository = mockRepository.Create <IRepository <TradingCalendar> >();
repository.Setup(x => x.Get(tradingCalendar.Id)).Returns(tradingCalendar);
repository.Setup(x => x.Update(tradingCalendar));
var service = new TradingCalendarService(repository.Object, tradingCalendar.Id);
var calendarReference = service.TradingCalendar;
using (new AssertionScope())
{
calendarReference.IsTradingDay(new Date(2001, 01, 01)).Should().BeFalse();
calendarReference.IsTradingDay(new Date(2001, 12, 25)).Should().BeTrue();
}
service.SetNonTradingDays(2001, new[] { new NonTradingDay(new Date(2001, 12, 25), "Christmas Day") });
using (new AssertionScope())
{
calendarReference.IsTradingDay(new Date(2001, 01, 01)).Should().BeTrue();
calendarReference.IsTradingDay(new Date(2001, 12, 25)).Should().BeFalse();
}
mockRepository.Verify();
}
public void TestBasicFeaturesWithOptionsFutures()
{
var securities = new SecurityManager(TimeKeeper);
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.SPY].SetMarketPrice(new TradeBar {
Time = securities.UtcTime, Symbol = Symbols.SPY, Close = 195
});
var option1 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 192m, new DateTime(2016, 02, 16));
securities.Add(option1, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Option, option1), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var option2 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 193m, new DateTime(2016, 03, 19));
securities.Add(option2, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Option, option2), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var future1 = Symbol.CreateFuture("ES", Market.USA, new DateTime(2016, 02, 16));
securities.Add(future1, new Future(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Future, future1), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var future2 = Symbol.CreateFuture("ES", Market.USA, new DateTime(2016, 02, 19));
securities.Add(future2, new Future(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Future, future2), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var cal = new TradingCalendar(securities, marketHoursDatabase);
var optionDays = cal.GetDaysByType(TradingDayType.OptionExpiration, new DateTime(2016, 02, 16), new DateTime(2016, 03, 19)).Count();
Assert.AreEqual(2, optionDays);
var futureDays = cal.GetDaysByType(TradingDayType.OptionExpiration, new DateTime(2016, 02, 16), new DateTime(2016, 03, 19)).Count();
Assert.AreEqual(2, futureDays);
var days = cal.GetTradingDays(new DateTime(2016, 02, 16), new DateTime(2016, 03, 19));
var optionAndfutureDays = days.Where(x => x.FutureExpirations.Any() || x.OptionExpirations.Any()).Count();
Assert.AreEqual(3, optionAndfutureDays);
// why? because option1 and future1 expire in one day 2016-02-16. Lets have a look.
var day = cal.GetTradingDay(new DateTime(2016, 02, 16));
Assert.AreEqual(1, day.OptionExpirations.Count());
Assert.AreEqual(1, day.FutureExpirations.Count());
var businessDays = days.Where(x => x.BusinessDay).Count();
Assert.AreEqual(24, businessDays);
var weekends = days.Where(x => x.Weekend).Count();
Assert.AreEqual(9, weekends);
Assert.AreEqual(24 + 9, (new DateTime(2016, 03, 19) - new DateTime(2016, 02, 16)).TotalDays + 1 /*inclusive*/);
}
public void ReversedDateRequestThrows()
{
var securities = new SecurityManager(TimeKeeper);
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var calendar = new TradingCalendar(securities, marketHoursDatabase);
Assert.Throws <ArgumentException>(() =>
calendar.GetTradingDays(new DateTime(2010, 2, 28), new DateTime(2010, 2, 10)).ToList());
}
public TradingCalendarService(IRepository <TradingCalendar> repository, Guid calendarId)
{
_Repository = repository;
try
{
_TradingCalendar = _Repository.Get(calendarId);
}
catch
{
_TradingCalendar = new TradingCalendar(calendarId);
}
}
public void SetNewTradingDaysForInvalidYear()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2020, 12, 25), "Christmas Day")
};
Action a = () => tradingCalendar.SetNonTradingDays(2019, nonTradingDays);
a.Should().Throw <ArgumentException>();
}
public void RetriveNonTradingDaysForYear()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
tradingCalendar.SetNonTradingDays(2019, nonTradingDays);
tradingCalendar.NonTradingDays(2019).Should().HaveCount(2);
}
public void RetriveNonTradingDaysForYearWithNoData()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
tradingCalendar.SetNonTradingDays(2019, nonTradingDays);
tradingCalendar.NonTradingDays(2020).Should().BeEmpty();
}
public void PreviousTradingDayForWeekEnd()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
var @event = new NonTradingDaysSetEvent(tradingCalendar.Id, 0, 2019, nonTradingDays);
tradingCalendar.ApplyEvents(new Event[] { @event });
tradingCalendar.PreviousTradingDay(new Date(2019, 11, 10)).Should().Be(new Date(2019, 11, 08));
}
public void CheckIfDateIsAtradingDayReturnFalse()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
var @event = new NonTradingDaysSetEvent(tradingCalendar.Id, 0, 2019, nonTradingDays);
tradingCalendar.ApplyEvents(new Event[] { @event });
tradingCalendar.IsTradingDay(new Date(2019, 01, 01)).Should().BeFalse();
}
public void EnumerateTradingDays()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
tradingCalendar.SetNonTradingDays(2019, nonTradingDays);
var tradingDays = tradingCalendar.TradingDays(new DateRange(new Date(2019, 01, 01), new Date(2019, 01, 10))).ToList();
tradingDays.Should().HaveCount(7).And.BeInAscendingOrder().And.OnlyHaveUniqueItems();
}
public void CreateServiceForExistingCalendar()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
tradingCalendar.SetNonTradingDays(2000, new[] { new NonTradingDay(new Date(2000, 01, 01), "New Year's Day") });
var repository = mockRepository.Create <IRepository <TradingCalendar> >();
repository.Setup(x => x.Get(tradingCalendar.Id)).Returns(tradingCalendar);
var service = new TradingCalendarService(repository.Object, tradingCalendar.Id);
service.TradingCalendar.Should().Be(tradingCalendar);
mockRepository.Verify();
}
public void ApplyNonTradingDaysSetEvent()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
var @event = new NonTradingDaysSetEvent(tradingCalendar.Id, 0, 2019, nonTradingDays);
tradingCalendar.ApplyEvents(new Event[] { @event });
using (new AssertionScope())
{
tradingCalendar.IsTradingDay(new Date(2019, 01, 01)).Should().BeFalse();
tradingCalendar.IsTradingDay(new Date(2019, 12, 25)).Should().BeFalse();
tradingCalendar.IsTradingDay(new Date(2019, 01, 02)).Should().BeTrue();
}
}
public void Update()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
tradingCalendar.SetNonTradingDays(2001, new[] { new NonTradingDay(new Date(2001, 01, 01), "New Year's Day") });
var repository = mockRepository.Create <IRepository <TradingCalendar> >();
repository.Setup(x => x.Get(tradingCalendar.Id)).Returns(tradingCalendar);
repository.Setup(x => x.Update(tradingCalendar));
var service = new TradingCalendarService(repository.Object, tradingCalendar.Id);
var calendarReference = service.TradingCalendar;
using (new AssertionScope())
{
calendarReference.IsTradingDay(new Date(2001, 01, 01)).Should().BeFalse();
calendarReference.IsTradingDay(new Date(2001, 12, 25)).Should().BeTrue();
}
var updatedTradingCalendar = new RestApi.TradingCalendars.TradingCalendar();
updatedTradingCalendar.Year = 2001;
updatedTradingCalendar.NonTradingDays.Add(new RestApi.TradingCalendars.TradingCalendar.NonTradingDay()
{
Date = new Date(2001, 12, 25), Description = "Christmas Day"
});
var result = service.Update(updatedTradingCalendar);
using (new AssertionScope())
{
result.Should().HaveOkStatus();
calendarReference.IsTradingDay(new Date(2001, 01, 01)).Should().BeTrue();
calendarReference.IsTradingDay(new Date(2001, 12, 25)).Should().BeFalse();
}
mockRepository.Verify();
}
public void SerializeTradingCalander()
{
var serializer = new RestClientSerializer();
var request = new TradingCalendar()
{
Year = 2013
};
request.AddNonTradingDay(new Date(2013, 01, 01), "New Year's Day");
request.AddNonTradingDay(new Date(2013, 12, 25), "Christmas Day");
var json = JToken.Parse(serializer.Serialize(request));
var expectedJson = JToken.Parse("{\"year\":2013,\"nonTradingDays\":["
+ "{\"date\":\"2013-01-01\",\"description\":\"New Year's Day\"},"
+ "{\"date\":\"2013-12-25\",\"description\":\"Christmas Day\"}]}");
json.Should().BeEquivalentTo(expectedJson);
}
public void SetNewTradingDays()
{
var tradingCalendar = new TradingCalendar(Guid.NewGuid());
var nonTradingDays = new NonTradingDay[] {
new NonTradingDay(new Date(2019, 01, 01), "New Years Day"),
new NonTradingDay(new Date(2019, 12, 25), "Christmas Day")
};
tradingCalendar.SetNonTradingDays(2019, nonTradingDays);
var events = tradingCalendar.FetchEvents().ToList();
events.Should().SatisfyRespectively(
first => first.Should().BeOfType <NonTradingDaysSetEvent>().Which.NonTradingDays.Should().SatisfyRespectively(
day1 => day1.Should().BeEquivalentTo(new { Date = new Date(2019, 01, 01), Description = "New Years Day" }),
day2 => day2.Should().BeEquivalentTo(new { Date = new Date(2019, 12, 25), Description = "Christmas Day" })
)
);
}
public async Task UpdateTradingCalendar()
{
var mockRepository = new MockRepository(MockBehavior.Strict);
var messageHandler = mockRepository.Create <IRestClientMessageHandler>();
messageHandler.Setup(x => x.PostAsync <TradingCalendar>(
It.Is <string>(x => x == "tradingcalendars/" + 2013),
It.Is <TradingCalendar>(x => x.Year == 2013)))
.Returns(Task.CompletedTask)
.Verifiable();
var resource = new TradingCalandarResource(messageHandler.Object);
var tradingCalander = new TradingCalendar()
{
Year = 2013
};
await resource.Update(tradingCalander);
mockRepository.Verify();
}
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
/******** LONG TERM TREND ********/
var dailyConsolidator = new QuoteBarConsolidator(TimeSpan.FromDays(1));
var alma = new ExponentialMovingAverage(symbol, 10);
RegisterIndicator(symbol, alma, dailyConsolidator);
SubscriptionManager.AddConsolidator(symbol, dailyConsolidator);
/******** SHORT TERM TRADING ********/
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var schaffTrendCycle = new SchaffTrendCycle(symbol);
var atr = new AverageTrueRange(symbol, 10);
var adx = new AverageDirectionalIndex(symbol, 10);
RegisterIndicator(symbol, schaffTrendCycle, consolidator);
RegisterIndicator(symbol, atr, consolidator);
RegisterIndicator(symbol, adx, consolidator);
/****** ALMA Fibonacci ******/
var alma5 = new ArnaudLegouxMovingAverage(symbol, 5);
var alma8 = new ArnaudLegouxMovingAverage(symbol, 8);
var alma13 = new ArnaudLegouxMovingAverage(symbol, 13);
var alma21 = new ArnaudLegouxMovingAverage(symbol, 21);
var alma34 = new ArnaudLegouxMovingAverage(symbol, 34);
var alma55 = new ArnaudLegouxMovingAverage(symbol, 55);
var alma89 = new ArnaudLegouxMovingAverage(symbol, 89);
var alma144 = new ArnaudLegouxMovingAverage(symbol, 144);
RegisterIndicator(symbol, alma5, consolidator);
RegisterIndicator(symbol, alma8, consolidator);
RegisterIndicator(symbol, alma13, consolidator);
RegisterIndicator(symbol, alma21, consolidator);
RegisterIndicator(symbol, alma34, consolidator);
RegisterIndicator(symbol, alma55, consolidator);
RegisterIndicator(symbol, alma89, consolidator);
RegisterIndicator(symbol, alma144, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
var signal = new SVMBaselineSignal(
dailyConsolidator, alma,
consolidator, alma5, alma8, alma13, alma21, alma34, alma55, alma89, alma144, schaffTrendCycle, atr, adx,
Portfolio[symbol], Securities[symbol], this
);
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
/******** HISTORY ********/
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(100), _dataResolution);
foreach (var bar in history)
{
std.Update(bar);
consolidator.Update(bar);
dailyConsolidator.Update(bar);
}
if (_store)
{
var header = new string[] { "Time", "ALMA_5", "ALMA_8", "ALMA_13", "ALMA_21", "ALMA_34", "ALMA_55", "ALMA_89", "ALMA_144" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA.csv", header);
consolidator.DataConsolidated += (sender, args) =>
{
var line = new object[] { Storage.ToUTCTimestamp(args.Time), alma5.Current.Value, alma8.Current.Value, alma13.Current.Value,
alma21.Current.Value, alma34.Current.Value, alma55.Current.Value, alma89.Current.Value, alma144.Current.Value };
Storage.AppendToFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA.csv", line);
};
}
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
//_tradingAssets[symbol].IsTradable = true;
var h = new object[] { "Time", "Signal", "Price" };
Storage.CreateFile($"C:\\Users\\M\\Desktop\\{symbol}_ALMA_Signal.csv", h);
}
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(20, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 240), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 180), () =>
{
foreach (var s in Symbols)
{
//_tradingAssets[s].Liquidate();
//_tradingAssets[s].IsTradable = false;
}
});
/******** CHARTING ********/
/*Chart price = new Chart("Daily Price");
* price.AddSeries(new Series("Price", SeriesType.Candle, 0));
* price.AddSeries(new Series("MA", SeriesType.Line, 0));
* price.AddSeries(new Series("Slope", SeriesType.Line, 1));
* price.AddSeries(new Series("STC", SeriesType.Line, 2));
* AddChart(price);
*
* Chart ma = new Chart("MA");
* ma.AddSeries(new Series("HMA", SeriesType.Line, 0));
* ma.AddSeries(new Series("FAMA", SeriesType.Line, 1));
* AddChart(ma);
*
* Chart lsma = new Chart("LSMA");
* lsma.AddSeries(new Series("Slope", SeriesType.Line, 0));
* AddChart(lsma);*/
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Close", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 1));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
//plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Diff", SeriesType.Bar, 2));
plotter.AddSeries(new Series("Slope", SeriesType.Line, 3));
plotter.AddSeries(new Series("STC", SeriesType.Line, 4));
plotter.AddSeries(new Series("STOCH", SeriesType.Line, 5));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 6));
plotter.AddSeries(new Series("Signal", SeriesType.Bar, 7));
AddChart(plotter);
}
// TODO: check volatilitymodel https://github.com/QuantConnect/Lean/blob/master/Common/Securities/RelativeStandardDeviationVolatilityModel.cs
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(20));
var stoch = new Stochastic(symbol, 10, 3, 3);
var stochMA = new ExponentialMovingAverage(symbol, 25).Of(stoch);
var stochEmaLSMA = new LeastSquaresMovingAverage(symbol, 5).Of(stochMA);
var ema = new ExponentialMovingAverage(symbol, 40);
var emaMA = new LeastSquaresMovingAverage(symbol, 5).Of(ema);
var rollingStochMA = HistoryTracker.Track(stochMA);
var rollingEmaSlope = HistoryTracker.Track(emaMA.Slope);
var rollingStochEmaSlope = HistoryTracker.Track(stochEmaLSMA.Slope);
var shortTermMA = EMA(symbol, 30, Resolution.Minute, Field.Close);
RegisterIndicator(symbol, stoch, consolidator);
RegisterIndicator(symbol, ema, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
_stoch[symbol] = stoch;
_ema[symbol] = ema;
var consolidatorDaily = new QuoteBarConsolidator(TimeSpan.FromHours(1));
var dailyMA = new HullMovingAverage(symbol, 7);
var dailyEmaLSMA = new LeastSquaresMovingAverage(symbol, 3).Of(dailyMA);
var rollingDailyEmaSlope = HistoryTracker.Track(dailyEmaLSMA.Slope);
RegisterIndicator(symbol, dailyMA, consolidatorDaily);
SubscriptionManager.AddConsolidator(symbol, consolidatorDaily);
stochMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Indicator", "STO", rollingStochMA[0]);
}
};
stochEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("IndicatorTrend", "STO", stochEmaLSMA.Slope);
}
};
/*emaMA.Updated += (sender, args) =>
* {
* if (Securities[symbol].Price > 0)
* {
* Plot("Trend", "LSMA", emaMA.Slope);
* }
* };*/
dailyEmaLSMA.Updated += (sender, args) =>
{
if (Securities[symbol].Price > 0)
{
Plot("Trend", "LSMA", dailyEmaLSMA.Slope);
Plot("Trend", "EMA", dailyMA);
}
};
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(40), _dataResolution);
foreach (var bar in history)
{
std.Update(bar);
consolidator.Update(bar);
shortTermMA.Update(bar.EndTime, bar.Close);
consolidatorDaily.Update(bar);
}
var signal = new SVMBaselineSignalWIP(consolidator, stoch, stochMA, rollingStochMA, stochEmaLSMA, rollingStochEmaSlope, ema, emaMA,
rollingEmaSlope, shortTermMA, dailyEmaLSMA, rollingDailyEmaSlope, Portfolio[symbol], Securities[symbol], this);
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
}
//AddData<DailyFx>("DFX", Resolution.Second, TimeZones.Utc);
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(20, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 60), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].Liquidate();
}
});
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Price", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 0));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 1));
plotter.AddSeries(new Series("Probability", SeriesType.Bar, 2));
AddChart(plotter);
Chart indicator = new Chart("Indicator");
indicator.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicator);
Chart indicatorTrend = new Chart("IndicatorTrend");
indicatorTrend.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicatorTrend);
Chart trend = new Chart("Trend");
trend.AddSeries(new Series("LSMA", SeriesType.Line, 0));
trend.AddSeries(new Series("EMA", SeriesType.Line, 1));
AddChart(trend);
Chart prediction = new Chart("Prediction");
prediction.AddSeries(new Series("Pred", SeriesType.Bar, 0));
AddChart(prediction);
Chart probability = new Chart("Probability");
probability.AddSeries(new Series("Prob", SeriesType.Bar, 0));
AddChart(probability);
}
// TODO: check volatilitymodel https://github.com/QuantConnect/Lean/blob/master/Common/Securities/RelativeStandardDeviationVolatilityModel.cs
public override void Initialize()
{
SetStartDate(2016, 1, 1);
SetEndDate(2016, 4, 1);
SetCash(3000);
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
var allInputs = new List <double[]>();
var allOutputs = new List <int>();
var allWeights = new List <double>();
foreach (var symbol in Symbols)
{
AddForex(symbol, _dataResolution, Market.Oanda, false, 1m);
Securities[symbol].TransactionModel = new OandaTransactionModel();
//Securities[symbol].SlippageModel = new ConstantSlippageModel(0m);
SetBrokerageModel(BrokerageName.OandaBrokerage);
/************ TRAINING ************/
var trainingResolution = Resolution.Minute;
/*var slowT = HMA(symbol, 28, trainingResolution, Field.Close);
* var slowSlopeT = new InstantTrend(symbol, 5).Of(slowT);
* var returnT = LOGR(symbol, 3, trainingResolution, Field.Close);
* var returnSlopeT = LSMA(symbol, 5, trainingResolution).Of(returnT);*/
var consolidatorT = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var stochT = new Stochastic(symbol, 14, 3, 3);
var stochTMA = new HullMovingAverage(symbol, 3).Of(stochT);
var emaT = new ExponentialMovingAverage(symbol, 40);
RegisterIndicator(symbol, stochT, consolidatorT);
RegisterIndicator(symbol, emaT, consolidatorT);
SubscriptionManager.AddConsolidator(symbol, consolidatorT);
var historyT = History <QuoteBar>(symbol, TimeSpan.FromDays(500), trainingResolution);
var quoteBars = new List <QuoteBar>();
var stochs = new List <double>();
var rollingStochs = new RollingWindow <double>(1000);
var stochsMA = new List <double>();
var emas = new List <double>();
var stochCount = new List <double>();
var stochAverage = new List <double>();
//consolidatorT.DataConsolidated += (sender, args) => quoteBars.Add(args);
stochTMA.Updated += (sender, args) =>
{
if (!stochTMA.IsReady || !emaT.IsReady)
{
return;
}
quoteBars.Add((QuoteBar)consolidatorT.Consolidated);
stochs.Add((double)stochT.Current.Value);
rollingStochs.Add((double)args.Value);
stochsMA.Add((double)args.Value);
emas.Add((double)emaT.Current.Value);
var filtered = rollingStochs.TakeWhile((s) => args.Value > 50 ? s > 50 : args.Value < 50 ? s < 50 : false);
stochCount.Add(filtered.Count());
try
{
stochAverage.Add(filtered.Average());
}
catch (Exception ex)
{
stochAverage.Add(0);
}
};
foreach (var bar in historyT)
{
consolidatorT.Update(bar);
}
Console.WriteLine("{0} {1} {2} {3} {4}", quoteBars.Count, stochs.Count, stochCount.Count, stochAverage.Count, emas.Count);
var inputs = new List <double[]>();
var outputs = new List <int>();
var weights = new List <double>();
for (var i = 1; i < quoteBars.Count; i++)
{
var longTarget = quoteBars[i].Close + (30m / 10000m);
var longStop = quoteBars[i].Close - (10m / 10000m);
var shortTarget = quoteBars[i].Close - (30m / 10000m);
var shortStop = quoteBars[i].Close + (10m / 10000m);
var longSetup = stochs[i] >= 35 && stochsMA[i] > stochsMA[i - 1] && (double)quoteBars[i].Close > emas[i];
var shortSetup = stochs[i] <= 65 && stochs[i] > 0 && stochsMA[i] < stochsMA[i - 1] && (double)quoteBars[i].Close < emas[i];
if (!longSetup && !shortSetup)
{
continue;
}
for (var j = i + 1; j < quoteBars.Count; j++)
{
var current = quoteBars[j];
if (current.High >= longTarget && current.Low > longStop && longSetup)
{
inputs.Add(new double[] { stochAverage[i], stochCount[i], (double)quoteBars[i].Close / emas[i] });
outputs.Add(1);
var profit = current.High - quoteBars[i].Close;
/*for (var k = j + 1; k < quoteBars.Count; k++)
* {
*
* }*/
weights.Add((double)(1m - (50m / 10000m) / profit));
//i = j;
break;
}
else if (current.Low <= shortTarget && current.High < shortStop && shortSetup)
{
inputs.Add(new double[] { stochAverage[i], stochCount[i], (double)quoteBars[i].Close / emas[i] });
outputs.Add(0);
var profit = quoteBars[i].Close - current.Low;
/*for (var k = j + 1; k < quoteBars.Count; k++)
* {
*
* }*/
weights.Add((double)(1m - (50m / 10000m) / profit));
//i = j;
break;
}
else if ((current.Low <= longStop && longSetup) || (current.High >= shortStop && shortSetup))
{
//inputs.Add(new double[] { stochAverage[i] / stochs[i], stochCount[i], stochAverage[i] });
//outputs.Add(2);
//i = j;
break;
}
/*else if (j - i > 4 * 8)
* {
* inputs.Add(new double[] { stochs[i], stochCount[i], stochAverage[i] });
* outputs.Add(0);
* //i = j;
* break;
* }*/
}
}
allInputs.AddRange(inputs);
allOutputs.AddRange(outputs);
allWeights.AddRange(weights);
for (var i = 0; i < inputs.Count; i++)
{
//Console.WriteLine("Input: " + inputs[i][0] + " " + inputs[i][1] + " " + inputs[i][2] + " Output: " + outputs[i]);
}
var none = outputs.Where((o) => o == 2).Count();
var sell = outputs.Where((o) => o == 0).Count();
var buy = outputs.Where((o) => o == 1).Count();
Console.WriteLine("Total: {0} None: {1} Short: {2} Long: {3}", outputs.Count, none, sell, buy);
/************ HMA ************/
/*var slow = HMA(symbol, 28, trainingResolution, Field.Close);
* var slowSlope = new InstantTrend(symbol, 5).Of(slow);
* var logReturns = LOGR(symbol, 3, trainingResolution, Field.Close);
* var returnSlope = LSMA(symbol, 5, trainingResolution).Of(logReturns);*/
var consolidator = new QuoteBarConsolidator(TimeSpan.FromMinutes(15));
var stoch = new Stochastic(symbol, 14, 3, 3);
var stochMA = new HullMovingAverage(symbol, 2).Of(stoch);
var ema = new ExponentialMovingAverage(symbol, 40);
var rolling = new RollingWindow <double>(1000);
RegisterIndicator(symbol, stoch, consolidator);
RegisterIndicator(symbol, ema, consolidator);
SubscriptionManager.AddConsolidator(symbol, consolidator);
_stoch[symbol] = stoch;
_ema[symbol] = ema;
stochMA.Updated += (sender, args) =>
{
rolling.Add((double)args.Value);
if (Securities[symbol].Price > 0)
{
//Plot("Plotter", "Price", Securities["EURUSD"].Price);
Plot("Indicator", "STO", rolling[0]);
}
};
var std = ATR(symbol, 100, MovingAverageType.DoubleExponential, _dataResolution);
var history = History <QuoteBar>(symbol, TimeSpan.FromDays(20), trainingResolution);
foreach (var bar in history)
{
//slow.Update(bar.EndTime, bar.Close);
//logReturns.Update(bar.EndTime, bar.Close);
std.Update(bar);
consolidator.Update(bar);
}
var signal = new SVMSignal(consolidator, stoch, stochMA, rolling, ema, Portfolio[symbol], this);
signal.TrainSVM(inputs, outputs, weights);
//signal.TrainNN(inputs, outputs, weights);
Securities[symbol].VolatilityModel = new AverageTrueRangeVolatilityModel(std);
_tradingAssets.Add(symbol,
new TradingAsset(Securities[symbol],
new OneShotTrigger(signal),
new ProfitTargetSignalExit(null, _targetProfitLoss),
_maximumTradeRisk,
_maximumTradeSize,
this
));
}
foreach (var symbol in Symbols)
{
//_tradingAssets[symbol].Retrain(allInputs, allOutputs, allWeights);
}
//AddData<DailyFx>("DFX", Resolution.Second, TimeZones.Utc);
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(7, 0, TimeZones.London), () =>
{
var tradeableDay = TradingCalendar.GetTradingDay().BusinessDay;
if (tradeableDay)
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = true;
}
}
});
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
TimeRules.At(18, 0, TimeZones.London), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].IsTradable = false;
}
});
Schedule.On(DateRules.Every(DayOfWeek.Friday),
TimeRules.BeforeMarketClose(Symbols.First(), 60), () =>
{
foreach (var s in Symbols)
{
_tradingAssets[s].Liquidate();
}
});
Chart plotter = new Chart("Plotter");
plotter.AddSeries(new Series("Price", SeriesType.Line, 0));
plotter.AddSeries(new Series("EMA", SeriesType.Line, 0));
plotter.AddSeries(new Series("Buy", SeriesType.Scatter, "", Color.Green, ScatterMarkerSymbol.Triangle));
plotter.AddSeries(new Series("Sell", SeriesType.Scatter, "", Color.Red, ScatterMarkerSymbol.TriangleDown));
plotter.AddSeries(new Series("Stopped", SeriesType.Scatter, "", Color.Yellow, ScatterMarkerSymbol.Diamond));
plotter.AddSeries(new Series("Prediction", SeriesType.Bar, 1));
plotter.AddSeries(new Series("Probability", SeriesType.Bar, 2));
AddChart(plotter);
Chart indicator = new Chart("Indicator");
indicator.AddSeries(new Series("STO", SeriesType.Line, 0));
AddChart(indicator);
Chart prediction = new Chart("Prediction");
prediction.AddSeries(new Series("Pred", SeriesType.Bar, 0));
AddChart(prediction);
Chart probability = new Chart("Probability");
probability.AddSeries(new Series("Prob", SeriesType.Bar, 0));
AddChart(probability);
}
public async Task Update(TradingCalendar calendar)
{
await _MessageHandler.PostAsync <TradingCalendar>("tradingcalendars/" + calendar.Year.ToString(), calendar);
}
public ActionResult Update([FromRoute] int year, [FromBody] TradingCalendar tradingCalendar)
{
var result = _Service.Update(tradingCalendar);
return(result.ToActionResult());
}