/// <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(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
// events are scheduled using date and time rules
// date rules specify on what dates and event will fire
// time rules specify at what time on thos dates the event will fire
// schedule an event to fire at a specific date/time
Schedule.On(DateRules.On(2013, 10, 7), TimeRules.At(13, 0), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", 10), () =>
{
Log("EveryDay.SPY 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
// schedule an event to fire at the beginning of the month, the symbol is optional if
// specified, it will fire the first trading day for that symbol of the month, if not specified
// it will fire on the first day of the month
Schedule.On(DateRules.MonthStart("SPY"), TimeRules.AfterMarketOpen("SPY"), () =>
{
// good spot for rebalancing code?
});
}
public override void Initialize()
{
SetStartDate(2014, 6, 5);
SetEndDate(2014, 6, 9);
_twx = AddEquity("TWX", Resolution.Minute, extendedMarketHours: true).Symbol;
Schedule.On(DateRules.EveryDay(_twx), TimeRules.Every(TimeSpan.FromHours(1)), PlotPrice);
}
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(2500000);
SetCash("TRY", 111000, 1); //Set Strategy Cash
security = AddSecurity(SecurityType.Equity, BIST_SECURITY_NAME, Resolution.Second);
Schedule.On(DateRules.On(2016, 05, 11), TimeRules.At(11, 38), () =>
{
Log("SpecificTime: Fired at : " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes after SPY's market open
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.AfterMarketOpen(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min after open: Fired at: " + Time);
});
// schedule an event to fire every trading day for a security
// the time rule here tells it to fire 10 minutes before SPY's market close
Schedule.On(DateRules.EveryDay(BIST_SECURITY_NAME), TimeRules.BeforeMarketClose(BIST_SECURITY_NAME, 10), () =>
{
Log("EveryDay.GARAN 10 min before close: Fired at: " + Time);
});
// schedule an event to fire on certain days of the week
Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
{
Log("Mon/Fri at 12pm: Fired at: " + Time);
});
// the scheduling methods return the ScheduledEvent object which can be used for other things
// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
{
Log("EveryDay 10 min Fired at: " + Time);
// if we have over 1000 dollars in unrealized losses, liquidate
if (Portfolio.TotalUnrealizedProfit < -1000)
{
Log("Liquidated due to unrealized losses at: " + Time);
Liquidate();
}
});
//SetBrokerageModel(BrokerageName.TEB);
//QuantConnect.Securities.Security sec = AddSecurity(SecurityType.Equity, SECURITY_NAME, Resolution.Second);
//security.DataFilter = new CustomDataFilter(); //Securities[securityName].DataFilter = new CustomDataFilter();
//sec.FeeModel = new QuantConnect.Orders.Fees.TEBFeeModel(0);
//sec.FillModel = new QuantConnect.Orders.Fills.TEBFillModel();
//sec.MarginModel = new QuantConnect.Securities.TEBSecurityMarginModel(1m);
//sec.SlippageModel = new QuantConnect.Orders.Slippage.TEBSlippageModel(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>
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 09);
SetCash(100000);
AddEquity("SPY", Resolution.Minute, extendedMarketHours: true, fillDataForward: false);
Schedule.On("RunHistoryCall", DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), RunHistoryCall);
}
public override void Initialize()
{
SetStartDate(2018, 3, 26);
SetEndDate(2018, 4, 10);
foreach (var symbol in _symbols)
{
AddSecurity(symbol, Resolution.Minute);
}
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), MakeHistoryCall);
}
public override void Initialize()
{
SetStartDate(2011, 1, 1);
SetEndDate(2018, 1, 1);
SetCash(100000);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
foreach (int period in Enumerable.Range(0, 100))
{
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", period), Rebalance);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", period), Rebalance);
}
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromSeconds(5)), Rebalance);
}
public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SetCash(100000);
foreach (var underlying in _underlyings)
{
AddEquity(underlying, Resolution.Minute);
}
// Every 15 min scan.
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(15)), Scan);
}
public override void Initialize()
{
SetStartDate(2013, 10, 8);
SetEndDate(2013, 10, 9);
SetCash(1000000);
foreach (var root in roots)
{
// set our expiry filter for this futures chain
AddFuture(root, Resolution.Minute).SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
}
SetBenchmark(d => 1000000);
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), MakeHistoryCall);
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Hour;
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
// selection will run on mon/tues/thurs at 00:00/12:00
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
TimeRules.Every(TimeSpan.FromHours(12)),
SelectSymbols
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
}
public override void Initialize()
{
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.EveryDay(),
TimeRules.At(9, 31),
SelectSymbolsAt
));
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(6)), () =>
{
_scheduleEventEveryCallCount++;
if (Time.Hour != 0 &&
Time.Hour != 6 &&
Time.Hour != 12 &&
Time.Hour != 18)
{
throw new Exception($"Unexpected every 6 hours scheduled event time: {Time}");
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
{
_scheduleEventNoonCallCount++;
if (Time.Hour != 12)
{
throw new Exception($"Unexpected Noon scheduled event time: {Time}");
}
});
Schedule.On(DateRules.EveryDay(), TimeRules.Midnight, () =>
{
_scheduleEventMidnightCallCount++;
if (Time.Hour != 0)
{
throw new Exception($"Unexpected Midnight scheduled event time: {Time}");
}
});
}
public override void Initialize()
{
SetStartDate(2020, 9, 1);
SetEndDate(2020, 9, 2);
SetCash(100000);
numberOfSymbols = 2000;
numberOfSymbolsFine = 1000;
SetUniverseSelection(new FineFundamentalUniverseSelectionModel(CoarseSelectionFunction, FineSelectionFunction));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
SetExecution(new ImmediateExecutionModel());
queue = new Queue <Symbol>();
dequeueSize = 100;
AddEquity("SPY", Resolution.Minute);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(0, 0), FillQueue);
Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(60)), TakeFromQueue);
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Hour;
// Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
// Commented so regression algorithm is more sensitive
//Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
SetStartDate(2017, 01, 01);
SetEndDate(2017, 02, 01);
// selection will run on mon/tues/thurs at 00:00/12:00
SetUniverseSelection(new ScheduledUniverseSelectionModel(
DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
TimeRules.Every(TimeSpan.FromHours(12)),
SelectSymbols
));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
}