/// <summary>
/// Calculates the bet size for this turn
/// </summary>
/// <param name="symbol">Symbol - the symbol to size the bet for</param>
/// <param name="currentPrice">The current price of the security</param>
/// <param name="transactionSize">The transaction size from the algorithm</param>
/// <param name="signalInfo"></param>
/// <param name="proformaProcessor"></param>
/// <returns></returns>
public decimal BetSize(Symbol symbol, decimal currentPrice, decimal transactionSize, SignalInfo signalInfo, OrderTransactionProcessor proformaProcessor)
{
decimal betsize = _algorithm.Portfolio[symbol].Invested ? Math.Abs(_algorithm.Portfolio[symbol].Quantity) : Math.Abs(transactionSize / currentPrice);
if (betsize <= 10)
betsize = 100;
return betsize;
}
public void CanOpenPosition()
{
OrderTransaction trans = new OrderTransaction();
trans.Symbol = "AAPL";
trans.Direction = OrderDirection.Buy;
OrderTransactionProcessor processor = new OrderTransactionProcessor();
IPositionInventory openPosition = processor.OpenPosition(trans, PositionInventoryMethod.Fifo);
processor.OpenPositions.Add(openPosition);
Assert.IsTrue(processor.OpenPositions.Count > 0);
}
/// <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);
symbol = new Symbol("AAPL");
#region "Symbols"
Symbols = new List <Symbol>();
// Make sure the list contains the static symbol
if (!Symbols.Contains(symbol))
{
Symbols.Add(symbol);
}
#endregion
#region logging
//mylog = Composer.Instance.GetExportedValueByTypeName<ILogHandler>("CustomFileLogHandler");
//var algoname = this.GetType().Name;
//mylog.Debug(algoname);
//mylog.Debug(ondataheader);
#endregion
//Add as many securities as you like. All the data will be passed into the event handler:
int id = 0;
foreach (Symbol s in Symbols)
{
symbol = s;
AddSecurity(SecurityType.Equity, symbol);
signalInfos.Add(new SignalInfo()
{
Id = id++,
Name = s.Permtick,
Symbol = s,
SignalType = typeof(Sig9),
Value = OrderSignal.doNothing,
IsActive = true,
Status = OrderStatus.None,
SignalJson = string.Empty,
InternalState = string.Empty,
Comment = string.Empty,
nTrig = 0,
Price = new RollingWindow <IndicatorDataPoint>(14),
trend = new InstantaneousTrend(s.Permtick, 7, .24m)
});
}
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List <OrderTransaction>();
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
public void MatchedAndUnmatchedTransactions()
{
string path = @"C:\Users\Nick\Documents\Visual Studio 2013\Projects\LeanITrend\Engine\bin\Debug\";
string pathname = path + "transactions.csv";
// This part of the test is just to look at the JsonConvert
//string txt;
//using (StreamReader sr = new StreamReader(pathname))
//{
// txt = sr.ReadToEnd();
// sr.Close();
//}
//int index = txt.IndexOf("\r\n", System.StringComparison.Ordinal);
//string titlesremoved = txt.Substring(index + 2);
int counter = 0;
List<OrderTransaction> list = new List<OrderTransaction>();
OrderTransactionProcessor processor = new OrderTransactionProcessor();
using (StreamReader sr = new StreamReader(pathname))
{
string line = sr.ReadLine(); // read the header but do not count it.
while (!sr.EndOfStream)
{
line = sr.ReadLine();
if (line != null && line.Contains("Symbol")) continue;
Assert.IsNotNull(line);
counter++;
OrderTransaction t = new OrderTransaction();
CsvSerializer.Deserialize(",",line,ref t,false);
list.Add(t);
processor.ProcessTransaction(t);
}
sr.Close();
}
var csv = CsvSerializer.Serialize(",", processor.Trades, true);
using (StreamWriter sw = new StreamWriter(path + "Trades.csv"))
{
foreach (var s in csv)
{
sw.WriteLine(s);
}
sw.Flush();
sw.Close();
}
var x = JsonConvert.SerializeObject(list);
Assert.IsTrue(counter == list.Count);
Assert.IsTrue(processor.TotalProfit == 52.75m);
Assert.IsTrue(processor.TotalCommission == -26m);
}
//private string sd;
//private string ed;
#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()
{
//string symbolstring = "WYNN";
Symbols = new List<string>();
#region "Read symbols from config"
/**********************************************
* This section reads a symbol list from Config.json
*********************************************/
string configsymbols = Config.Get("symbols");
Symbols.Add(configsymbols);
#endregion
#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))
//{
// string[] symbols = { };
// var readLine = sr.ReadLine();
// if (readLine != null) symbols = readLine.Split(',');
// foreach (string t in symbols)
// {
// Symbols.Add(t);
// }
// sr.Close();
//}
#endregion
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
StringBuilder sb = new StringBuilder();
foreach (var s in Symbols)
sb.Append(s + ",");
mylog.Debug(ondataheader);
dailylog.Debug(algoname + " " + sb.ToString());
//dailylog.Debug(dailyheader);
_proformatransactions = new List<OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath)) File.Delete(filepath);
#endregion
//Initialize dates
var sd = Config.Get("start-date");
var ed = Config.Get("end-date");
_startDate = new DateTime(Convert.ToInt32(sd.Substring(0, 4)), Convert.ToInt32(sd.Substring(4, 2)), Convert.ToInt32(sd.Substring(6, 2)));
_endDate = new DateTime(Convert.ToInt32(ed.Substring(0, 4)), Convert.ToInt32(ed.Substring(4, 2)), Convert.ToInt32(ed.Substring(6, 2)));
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
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:
int id = 0;
foreach (string symbolstring in Symbols)
AddSecurity(SecurityType.Equity, symbolstring);
var keys = Securities.Keys;
foreach (Symbol s in Securities.Keys)
{
signalInfos.Add(new SignalInfo()
{
Id = id++,
Name = s.Value,
Symbol = s,
SignalType = typeof(Sig9),
Value = OrderSignal.doNothing,
IsActive = true,
Status = OrderStatus.None,
SignalJson = string.Empty,
InternalState = string.Empty,
Comment = string.Empty,
nTrig = 0,
Price = new RollingWindow<IndicatorDataPoint>(14),
trend = new InstantaneousTrend(s.Value, 7, .24m),
mmi = new MarketMeanessIndex("MMI", 22)
});
}
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List<OrderTransaction>();
#region ITrend
//LastOrderSent.Add(symbol, OrderSignal.doNothing);
#endregion
//SetBenchmark(symbol);
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Calculates the bet size for this turn
/// </summary>
/// <param name="symbol">Symbol - the symbol to size the bet for</param>
/// <param name="currentPrice">The current price of the security</param>
/// <param name="transactionSize">The transaction size from the algorithm</param>
/// <param name="signalInfo"></param>
/// <param name="proformaProcessor"></param>
/// <returns></returns>
public decimal BetSize(Symbol symbol, decimal currentPrice, decimal transactionSize, SignalInfo signalInfo, OrderTransactionProcessor proformaProcessor)
{
decimal betsize = _algorithm.Portfolio[symbol].Invested ? Math.Abs(_algorithm.Portfolio[symbol].Quantity) : Math.Abs(transactionSize / currentPrice);
if (betsize <= 10)
{
betsize = 100;
}
return(betsize);
}
public void Setup()
{
p = new OrderTransactionProcessor();
}
/// <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 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);
}
public override void Initialize()
{
var mbs = Config.Get("size");
minBarSize = Convert.ToDecimal(mbs);
var tolerance = Config.Get("tolerance");
barDifferenceTolerance = Convert.ToDecimal(tolerance);
//Initialize dates
var sd = Config.Get("start-date");
var ed = Config.Get("end-date");
_startDate = new DateTime(Convert.ToInt32(sd.Substring(0, 4)), Convert.ToInt32(sd.Substring(4, 2)), Convert.ToInt32(sd.Substring(6, 2)));
_endDate = new DateTime(Convert.ToInt32(ed.Substring(0, 4)), Convert.ToInt32(ed.Substring(4, 2)), Convert.ToInt32(ed.Substring(6, 2)));
_symbolarray = Config.Get("symbols").Split(',');
SetStartDate(_startDate); // Set Start Date
SetEndDate(_endDate); // Set End Date
SetCash(PortfolioAmount); // Set Strategy Cash
foreach (string t in _symbolarray)
{
_symbols.Add(t);
}
foreach (string symbol in _symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
}
foreach (Symbol symbol in Portfolio.Keys)
{
Consolidator15Minute.DataConsolidated += On15Minute;
SubscriptionManager.AddConsolidator(symbol, Consolidator15Minute);
Strategies.Add(new TwoBarReversalStrategy(symbol, this, barDifferenceTolerance, minBarSize));
}
#region logging
var algoname = GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List<OrderTransaction>();
#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()
{
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
symbol = new Symbol("AAPL");
#region "Symbols"
Symbols = new List<Symbol>();
// Make sure the list contains the static symbol
if (!Symbols.Contains(symbol))
{
Symbols.Add(symbol);
}
#endregion
#region logging
//mylog = Composer.Instance.GetExportedValueByTypeName<ILogHandler>("CustomFileLogHandler");
//var algoname = this.GetType().Name;
//mylog.Debug(algoname);
//mylog.Debug(ondataheader);
#endregion
//Add as many securities as you like. All the data will be passed into the event handler:
int id = 0;
foreach (Symbol s in Symbols)
{
symbol = s;
AddSecurity(SecurityType.Equity, symbol);
signalInfos.Add(new SignalInfo()
{
Id = id++,
Name = s.Permtick,
Symbol = s,
SignalType = typeof(Sig9),
Value = OrderSignal.doNothing,
IsActive = true,
Status = OrderStatus.None,
SignalJson = string.Empty,
InternalState = string.Empty,
Comment = string.Empty,
nTrig = 0,
Price = new RollingWindow<IndicatorDataPoint>(14),
trend = new InstantaneousTrend(s.Permtick, 7, .24m)
});
}
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List<OrderTransaction>();
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}