/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategy(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow <decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
//Sig9 sig9 = new Sig9();
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady)
{
MomentumWindow.Add(ITrendMomentum.Current.Value);
}
if (MomentumWindow.IsReady)
{
CheckSignal();
}
};
}
/// <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()
{
//mylog.Debug(transheader);
mylog.Debug("Mean Reversion Algorithm");
mylog.Debug(ondataheader);
dailylog.Debug("Mean Reversion Algorithm");
dailylog.Debug(dailyheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow <IndicatorDataPoint>(14);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
trend = new InstantaneousTrend(10);
ema10 = new ExponentialMovingAverage(10);
sma10 = new SimpleMovingAverage(10);
madiff = new RollingWindow <IndicatorDataPoint>(390);
stddev = new StandardDeviation(390);
emaHistory = new RollingWindow <IndicatorDataPoint>(10);
smaHistory = new RollingWindow <IndicatorDataPoint>(10);
}
/// <summary>
/// Constuctor
/// </summary>
/// <param name="symbol">the symbol to track</param>
public Sig5(Symbol _symbol)
{
symbol = _symbol;
orderFilled = true;
maketrade = true;
trendArray = new decimal[] { 0, 0, 0 };
Id = 5;
trend = new InstantaneousTrend("InSig", period, 2.0m / ((decimal)period + 1.0m));
}
/// <summary>
/// Constuctor
/// </summary>
/// <param name="symbol">the symbol to track</param>
public Sig4(Symbol _symbol)
{
symbol = _symbol;
orderFilled = true;
maketrade = true;
trendArray = new decimal[] { 0, 0, 0 };
Id = 4;
trend = new InstantaneousTrend("InSig", period, 2.0m / ((decimal)period + 1.0m));
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendSignal(int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
ITrend = new InstantaneousTrend(period);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow<decimal>(2);
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
}
public void InstantaneousTrendComputesCorrectly()
{
int _period = 5;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[20];
InstantaneousTrend iTrend = new InstantaneousTrend(_period);
# region Arrays inputs
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendSignal(int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
ITrend = new InstantaneousTrend(period);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow <decimal>(2);
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
}
public TripleMovingAverageStrategy(Symbol sym, Indicator priceIdentity, MeanReversionAlgorithm algorithm, decimal minBarSize, decimal barDifferenceTolerance)
{
Algorithm = algorithm;
symbol = sym;
trend = new InstantaneousTrend(10).Of(_price);
ema10 = new ExponentialMovingAverage(10).Of(_price);
sma10 = new SimpleMovingAverage(10).Of(_price);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = 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);
//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(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
for (int i = 0; i < signals.Length; i++)
{
signals[i] = OrderSignal.doNothing;
}
_ticketsQueue = new ConcurrentQueue <OrderTicket>();
#region lists
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
public void ResetsProperly()
{
int _period = 5;
DateTime time = DateTime.Now;
InstantaneousTrend iTrend = new InstantaneousTrend(_period);
for (int i = 0; i < 6; i++)
{
iTrend.Update(new IndicatorDataPoint(time, 1m));
time.AddMinutes(1);
}
Assert.IsTrue(iTrend.IsReady, "Instantaneous Trend ready");
iTrend.Reset();
TestHelper.AssertIndicatorIsInDefaultState(iTrend);
}
/// <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()
{
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// ITrend
trend = new InstantaneousTrend(7);
_ticketsQueue = new List <OrderTicket>();
#region lists
signalInfos.Add(new SignalInfo
{
Id = 8,
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
foreach (SignalInfo s in signalInfos)
{
s.IsActive = false;
if (s.Id == LiveSignalIndex)
{
s.IsActive = true;
}
}
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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()
{
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// ITrend
trend = new InstantaneousTrend(7);
_ticketsQueue = new List<OrderTicket>();
#region lists
signalInfos.Add(new SignalInfo
{
Id = 8,
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
foreach (SignalInfo s in signalInfos)
{
s.IsActive = false;
if (s.Id == LiveSignalIndex)
{
s.IsActive = true;
}
}
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = 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);
//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(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategyOriginal(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
#endregion
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Initializes a new instance of the <see cref="ITrendStrategy"/> class.
/// </summary>
/// <param name="period">The period of the Instantaneous trend.</param>
public ITrendStrategyJJ(Indicator price, int period, decimal tolerance = 0.001m, decimal revetPct = 1.0015m,
RevertPositionCheck checkRevertPosition = RevertPositionCheck.vsTrigger)
{
_price = price;
ITrend = new InstantaneousTrend(period).Of(price);
ITrendMomentum = new Momentum(2).Of(ITrend);
MomentumWindow = new RollingWindow<decimal>(2);
Position = StockState.noInvested;
EntryPrice = null;
ActualSignal = OrderSignal.doNothing;
_tolerance = tolerance;
_revertPCT = revetPct;
_checkRevertPosition = checkRevertPosition;
ITrendMomentum.Updated += (object sender, IndicatorDataPoint updated) =>
{
if (ITrendMomentum.IsReady) MomentumWindow.Add(ITrendMomentum.Current.Value);
if (MomentumWindow.IsReady) CheckSignal();
};
}
public void InstantaneousTrendComputesCorrectly()
{
int _period = 5;
DateTime time = DateTime.Now;
decimal[] actualValues = new decimal[20];
InstantaneousTrend iTrend = new InstantaneousTrend(_period);
# region Arrays inputs
decimal[] prices = new decimal[20]
{
/*
* Formula:
* prices[i] = 10 * sin(2 * pi / 20 * i) + 15
* i = [0, 1, 2,..., 19]
*/
15m, 18.09m, 20.88m, 23.09m, 24.51m, 25m, 24.51m, 23.09m, 20.88m, 18.09m,
15m, 11.91m, 9.12m, 6.91m, 5.49m, 5m, 5.49m, 6.91m, 9.12m, 11.91m
};
decimal[] expectedValues = new decimal[20]
{
// Estimated with Python: http://tinyurl.com/nbt4ud3
15m, 18.09m, 18.015m, 20.735m, 22.8925m, 24.2775m, 24.755m, 24.3836m, 23.0445m, 20.8039m,
17.8648m, 14.5236m, 11.1232m, 8.0166m, 5.5265m, 3.911m, 3.3413m, 3.8832m, 5.4906m, 8.0133m
};
# endregion
for (int i = 0; i < prices.Length; i++)
{
iTrend.Update(new IndicatorDataPoint(time, prices[i]));
actualValues[i] = Math.Round(iTrend.Current.Value, 4);
time.AddMinutes(1);
}
Assert.AreEqual(expectedValues, actualValues, "Estimation ITrend(5)");
}
/// <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()
{
//mylog.Debug(transheader);
mylog.Debug("Mean Reversion Algorithm");
mylog.Debug(ondataheader);
dailylog.Debug("Mean Reversion Algorithm");
dailylog.Debug(dailyheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow<IndicatorDataPoint>(14);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
trend = new InstantaneousTrend(10);
ema10 = new ExponentialMovingAverage(10);
sma10 = new SimpleMovingAverage(10);
madiff = new RollingWindow<IndicatorDataPoint>(390);
stddev = new StandardDeviation(390);
emaHistory = new RollingWindow<IndicatorDataPoint>(10);
smaHistory = new RollingWindow<IndicatorDataPoint>(10);
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = 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);
//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(7);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
for (int i = 0; i < signals.Length; i++)
signals[i] = OrderSignal.doNothing;
_ticketsQueue = new ConcurrentQueue<OrderTicket>();
#region lists
#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);
}
private IndicatorDataPoint CalculateNewTrendHistoryValue(int barcount, DateTime time, RollingWindow <IndicatorDataPoint> price, InstantaneousTrend tr)
{
if (!trendHistory.IsReady)
{
return(idp(time, price[0].Value));
}
return(idp(time, tr.Current.Value)); //add last iteration value for the cycle
}
/// <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;
mylog.Debug(algoname);
ondataheader += _scig5C.GetNames();
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
_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);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
_ticketsQueue = new List <OrderTicket>();
#region lists
sigDictionary = new Dictionary <int, ISigSerializable>();
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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 IndicatorDataPoint CalculateNewTrendHistoryValue(int barcount, DateTime time, RollingWindow<IndicatorDataPoint> price, InstantaneousTrend tr)
{
if (barcount < 7 && barcount > 2)
{
return (idp(time, (price[0].Value + 2 * price[1].Value + price[2].Value) / 4));
}
else
{
return (idp(time, tr.Current.Value)); //add last iteration value for the cycle
}
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = 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);
//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(7);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategyOriginal(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
#endregion
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
private IndicatorDataPoint CalculateNewTrendHistoryValue(int barcount, DateTime time, RollingWindow<IndicatorDataPoint> price, InstantaneousTrend tr)
{
//if (barcount < 7 && barcount > 2)
//{
// return (idp(time, (price[0].Value + 2 * price[1].Value + price[2].Value) / 4));
//}
//else
//{
// return (idp(time, tr.Current.Value)); //add last iteration value for the cycle
//}
if (!trendHistory.IsReady)
return idp(time, price[0].Value);
return (idp(time, tr.Current.Value)); //add last iteration value for the cycle
}
/// <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);
_transactions = new List<OrderTransaction>();
_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);
//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(7);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
//_ticketsQueue = new ConcurrentQueue<OrderTicket>();
_ticketsQueue = new List<OrderTicket>();
//sim = new BrokerSimulator(this);
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_015",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
signalInfos.Add(new SignalInfo
{
Id = 1,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
// 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);
// for use with Tradier. Default is IB.
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(7.0m);
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List <OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary <int, InstantaneousTrend>();
trendHistoryList = new Dictionary <int, RollingWindow <IndicatorDataPoint> >();
strategyList = new Dictionary <int, MultiITStrategy>();
entryPriceList = new Dictionary <int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow <IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
private IndicatorDataPoint CalculateNewTrendHistoryValue(int barcount, DateTime time, RollingWindow<IndicatorDataPoint> price, InstantaneousTrend tr)
{
if (!trendHistory.IsReady)
return idp(time, price[0].Value);
return (idp(time, tr.Current.Value)); //add last iteration value for the cycle
}
public Sig10Strategy(SecurityHolding sym, Indicator priceIdentity, int trendPeriod, decimal lossThreshhold, decimal tolerance, decimal revertPct)
{
trendArray = new decimal[trendPeriod + 1]; // initialized to 0. Add a period for Deserialize to make IsReady true
symbol = sym.Symbol;
_holding = sym;
_price = priceIdentity;
_period = trendPeriod;
_lossThreshhold = lossThreshhold;
_tolerance = tolerance;
RevPct = revertPct;
Trend = new InstantaneousTrend(sym.Symbol.Value, 7, .24m).Of(priceIdentity);
TrendMomentum = new Momentum(2).Of(Trend);
MomentumWindow = new RollingWindow<decimal>(2);
ActualSignal = OrderSignal.doNothing;
Trend.Updated += (object sender, IndicatorDataPoint updated) =>
{
Barcount++;
UpdateTrendArray(Trend.Current.Value);
nTrig = Trend.Current.Value;
if (Trend.IsReady)
{
TrendMomentum.Update(Trend.Current);
}
if (TrendMomentum.IsReady)
MomentumWindow.Add(TrendMomentum.Current.Value);
if (MomentumWindow.IsReady)
CheckSignal();
};
}
/// <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);
_transactions = new List <OrderTransaction>();
_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);
//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(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
//_ticketsQueue = new ConcurrentQueue<OrderTicket>();
_ticketsQueue = new List <OrderTicket>();
//sim = new BrokerSimulator(this);
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_015",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
signalInfos.Add(new SignalInfo
{
Id = 1,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
// 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);
// for use with Tradier. Default is IB.
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(7.0m);
}
private IndicatorDataPoint CalculateNewTrendHistoryValue(int barcount, DateTime time, RollingWindow <IndicatorDataPoint> price, InstantaneousTrend tr)
{
if (barcount < 7 && barcount > 2)
{
return(idp(time, (price[0].Value + 2 * price[1].Value + price[2].Value) / 4));
}
else
{
return(idp(time, tr.Current.Value)); //add last iteration value for the cycle
}
}
/// <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;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List<OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List<OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary<int, InstantaneousTrend>();
trendHistoryList = new Dictionary<int, RollingWindow<IndicatorDataPoint>>();
strategyList = new Dictionary<int, MultiITStrategy>();
entryPriceList = new Dictionary<int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow<IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
