public void OnData(TradeBars tradeBars)
{
TradeBar bar;
if (!tradeBars.TryGetValue(_symbol, out bar))
{
return;
}
if (!Portfolio.Invested && Time.Date == EndDate.Date)
{
Buy(_symbol, 1);
}
}
public void OnData(TradeBars data)
{
// wait for slowest indicator to fully initialize
if (!emaShort.IsReady)
{
return;
}
TradeBar b = null;
data.TryGetValue(symbol, out b);
price = b.Close;
holdings = Portfolio[symbol].Quantity;
// EXIT
if (b.Time.Minute == 45 &&
b.Time.Hour == endHour &&
holdings > 0
) // exit long positions 1-2 hours after market open
{
Liquidate();
}
if (holdings < 0 &&
(roc2 > 0 ||
price > stopLoss)
) // exit short positions with trailing stop or two-day uptrend
{
Liquidate();
}
// On market open
if (b.Time.Hour == 9 && b.Time.Minute == 30)
{
dayOpen = b.Open;
}
// ENTRY
if (b.Time.Hour == 9 && b.Time.Minute == 30
// SAFETY -- only enter a new position if in cash
// && Portfolio.Invested == false
)
{
// check for long entry
if ((roc1 > 0 && // last trading day closed higher than the previous trading day
roc2 > 0 &&
roc3 > 0) &&
roc4 > 0 &&
dayOpen < close0 * 1.00m && // today opened below last trading day's close
price > emaShort
)
{
SetHoldings(symbol, 1.0m, false, "open");
// stopLoss = price*longSL;
}
// check for short entry
if (roc2 < 0) // two-day downtrend
{
SetHoldings(symbol, -1.0m, false, "open");
stopLoss = price * shortSL;
}
} // if
// update trailing stop loss
if (holdings < 0 && price * shortSL < stopLoss)
{
stopLoss = price * shortSL;
}
} // OnData
/// <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 void OnData(TradeBars data)
{
try
{
TradeBar b;
if (!data.TryGetValue(Symbol, out b) || b == null)
{
return;
}
if (_history.IsReady)
{
if (IsFirstTradingMin(b))
{
_firstBar = b;
// enable entry on the first bar if not invested yet
if (!Portfolio.Invested)
{
_enableEntry = true;
}
}
decimal price = 0;
if (IsExit(b, out price))
{
Liquidate(Symbol);
Log(">>Close>> " + b.Time + " " + Symbol + " @" + price);
}
else
{
bool isLong = true;
if (IsEntry(b, out price, out isLong))
{
int qnt = (int)(Portfolio.Cash / price);
if (isLong)
{
SetHoldings(Symbol, 1.0);
}
else
{
qnt = -qnt;
SetHoldings(Symbol, -1.0);
}
_trlStop = new TrailingStop(price, 2, isLong);
_enableEntry = false;
Log(">>BUY/sell>> " + b.Time + " " + qnt + " " + Symbol + " @" + price);
}
}
}
if (IsLastTradingMin(b))
{
_history.Add(b);
}
}
catch (Exception ex)
{
Error("OnData: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
}
}
