public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
AddEquity("SPY", Resolution.Second);
// Create two custom indicators, where one of them defines WarmUpPeriod parameter
_customNotWarmUp = new CustomSMA("_customNotWarmUp", 60);
_customWarmUp = new CSMAWithWarmUp("_customWarmUp", 60);
// Register the daily data of "SPY" to automatically update both indicators
RegisterIndicator("SPY", _customWarmUp, Resolution.Minute);
RegisterIndicator("SPY", _customNotWarmUp, Resolution.Minute);
// Warm up _customWarmUp indicator
WarmUpIndicator("SPY", _customWarmUp, Resolution.Minute);
// Check _customWarmUp indicator has already been warmed up with the requested data
if (!_customWarmUp.IsReady)
{
throw new Exception("_customWarmUp indicator was expected to be ready");
}
if (_customWarmUp.Samples != 60)
{
throw new Exception("_customWarmUp indicator was expected to have processed 60 datapoints already");
}
// Try to warm up _customNotWarmUp indicator. It's expected from LEAN to skip the warm up process
// because this indicator doesn't implement IIndicatorWarmUpPeriodProvider
WarmUpIndicator("SPY", _customNotWarmUp, Resolution.Minute);
// Check _customNotWarmUp indicator is not ready, because the warm up process was skipped
if (_customNotWarmUp.IsReady)
{
throw new Exception("_customNotWarmUp indicator wasn't expected to be warmed up");
}
}
public override void Initialize()
{
SetStartDate(2013, 10, 7);
SetEndDate(2013, 10, 11);
AddEquity("SPY", Resolution.Second);
// Create two custom indicators, where one of them defines WarmUpPeriod parameter
_customNotWarmUp = new CSMANotWarmUp("_customNotWarmUp", 60);
_customWarmUp = new CSMAWithWarmUp("_customWarmUp", 60);
_customNotInherit = new SimpleMovingAverage("_customNotInherit", 60);
// using 2nd SMA to match counterpart python algorithm ( CustomSMA + csharpIndicator )
// so that AlgorithmHistoryDataPoints are the same in both
_duplicateSMA = new SimpleMovingAverage("_duplicateSMA", 60);
// Register the daily data of "SPY" to automatically update both indicators
RegisterIndicator("SPY", _customWarmUp, Resolution.Minute);
RegisterIndicator("SPY", _customNotWarmUp, Resolution.Minute);
RegisterIndicator("SPY", _customNotInherit, Resolution.Minute);
RegisterIndicator("SPY", _duplicateSMA, Resolution.Minute);
// Warm up _customWarmUp indicator
WarmUpIndicator("SPY", _customWarmUp, Resolution.Minute);
// Check _customWarmUp indicator has already been warmed up with the requested data
if (!_customWarmUp.IsReady)
{
throw new Exception("_customWarmUp indicator was expected to be ready");
}
if (_customWarmUp.Samples != 60)
{
throw new Exception("_customWarmUp indicator was expected to have processed 60 datapoints already");
}
// Try to warm up _customNotWarmUp indicator. It's expected from LEAN to skip the warm up process
// because this indicator doesn't implement IIndicatorWarmUpPeriodProvider
WarmUpIndicator("SPY", _customNotWarmUp, Resolution.Minute);
// Check _customNotWarmUp indicator is not ready, because the warm up process was skipped
if (_customNotWarmUp.IsReady)
{
throw new Exception("_customNotWarmUp indicator wasn't expected to be warmed up");
}
WarmUpIndicator("SPY", _customNotInherit, Resolution.Minute);
// Check _customWarmUp indicator has already been warmed up with the requested data
if (!_customNotInherit.IsReady)
{
throw new Exception("_customNotInherit indicator was expected to be ready");
}
if (_customNotInherit.Samples != 60)
{
throw new Exception("_customNotInherit indicator was expected to have processed 60 datapoints already");
}
WarmUpIndicator("SPY", _duplicateSMA, Resolution.Minute);
// Check _customWarmUp indicator has already been warmed up with the requested data
if (!_duplicateSMA.IsReady)
{
throw new Exception("_duplicateSMA indicator was expected to be ready");
}
if (_duplicateSMA.Samples != 60)
{
throw new Exception("_duplicateSMA indicator was expected to have processed 60 datapoints already");
}
}
