/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All
/// algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(year: 2010, month: 01, day: 01); //Set Start Date
SetEndDate(year: 2013, month: 12, day: 31); //Set End Date
SetCash(startingCash: 100000); //Set Strategy Cash
// Set your Intrinino user and password.
IntrinioConfig.SetUserAndPassword(_user, _password);
// Set Intrinio config to make 1 call each minute, default is 1 call each 5 seconds.
// (1 call each minute is the free account limit for historical_data endpoint)
IntrinioConfig.SetTimeIntervalBetweenCalls(TimeSpan.FromMinutes(1));
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
_uso = AddEquity("USO", Resolution.Daily, leverage: 2m).Symbol;
_bno = AddEquity("BNO", Resolution.Daily, leverage: 2m).Symbol;
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilWTI, Resolution.Daily);
AddData <IntrinioEconomicData>(IntrinioEconomicDataSources.Commodities.CrudeOilBrent, Resolution.Daily);
_spread = _brent.Minus(_wti);
_emaWti = EMA(Securities[IntrinioEconomicDataSources.Commodities.CrudeOilWTI].Symbol, 10);
}
