/// <summary>
/// Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new FilteredIdentity indicator for the specified symbol and selector</returns>
public FilteredIdentity FilteredIdentity(Symbol symbol, Resolution resolution, PyObject selector = null, PyObject filter = null, string fieldName = null)
{
var name = CreateIndicatorName(symbol, fieldName ?? "close", resolution);
var pyselector = PythonUtil.ToFunc <IBaseData, IBaseDataBar>(selector);
var pyfilter = PythonUtil.ToFunc <IBaseData, bool>(filter);
var filteredIdentity = new FilteredIdentity(name, pyfilter);
RegisterIndicator(symbol, filteredIdentity, resolution, pyselector);
return(filteredIdentity);
}
/// <summary>
/// Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically
/// updated on the symbol's subscription resolution
/// </summary>
/// <param name="symbol">The symbol whose values we want as an indicator</param>
/// <param name="resolution">The desired resolution of the data</param>
/// <param name="selector">Selects a value from the BaseData, if null defaults to the .Value property (x => x.Value)</param>
/// <param name="filter">Filters the IBaseData send into the indicator, if null defaults to true (x => true) which means no filter</param>
/// <param name="fieldName">The name of the field being selected</param>
/// <returns>A new FilteredIdentity indicator for the specified symbol and selector</returns>
public FilteredIdentity FilteredIdentity(Symbol symbol, TimeSpan resolution, PyObject selector = null, PyObject filter = null, string fieldName = null)
{
var name = string.Format("{0}({1}_{2})", symbol, fieldName ?? "close", resolution);
var pyselector = PythonUtil.ToFunc <IBaseData, IBaseDataBar>(selector);
var pyfilter = PythonUtil.ToFunc <IBaseData, bool>(filter);
var filteredIdentity = new FilteredIdentity(name, pyfilter);
RegisterIndicator(symbol, filteredIdentity, ResolveConsolidator(symbol, resolution), pyselector);
return(filteredIdentity);
}
/// <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(2014, 5, 2); //Set Start Date
SetEndDate(StartDate); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
var security = AddForex("EURUSD", Resolution.Tick);
_symbol = security.Symbol;
_identity = FilteredIdentity(_symbol, filter: Filter);
}