private static bool IsValidNameCharacter(char c)
{
// Valid Characters: a-z, A-Z, 0-9, /, \, (, ), _, -, ., sp
const string ValidSymbols = @"/\()_-. ";
return(char.IsLetterOrDigit(c) || ValidSymbols.Contains(c.ToString()));
}
public void OnData(TradeBars slice)
{
if (tradedToday.Date != Time.Date)
{
// leave a small buffer of cash
var targetPercentage = 1m / (_todaysResponse.Securities.Count + 1);
foreach (var target in _todaysResponse.Securities.Where(x => ValidSymbols.Contains(x.Ticker)))
{
// rebalance portfolio to equal weights
SetHoldings(target.Ticker, targetPercentage);
}
tradedToday = Time.Date;
}
else
{
foreach (var target in _todaysResponse.Securities.Where(x => ValidSymbols.Contains(x.Ticker)))
{
// set stop loss / profit orders
var security = Securities[target.Ticker];
if (!security.Invested)
{
continue;
}
if (security.Close < target.StopLoss || security.Close > target.StopGain)
{
MarketOrder(target.Ticker, -security.Holdings.Quantity, true);
}
}
}
}
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Hour;
SetStartDate(2015, 01, 05);
SetEndDate(2015, 11, 09);
SetCash(1000 * 1000);
AddUniverse("equities-lab-universe", date =>
{
using (var client = new WebClient())
{
//2014-12-30
var file = client.DownloadString(String.Format(EquitiesLabUrlFormat, EquitiesLabKey, EquitiesLabScreener, date.ToString("yyyy-MM-dd")));
var response = JsonConvert.DeserializeObject <EquitiesLabResponse>(file);
_todaysResponse = new EquitiesLabResponse();
_todaysResponse.Securities = response.Securities.Where(x => ValidSymbols.Contains(x.Ticker)).ToList();
return(_todaysResponse.Securities.Select(x => x.Ticker));
}
});
// cancell all orders at EOD
Schedule.Event("Cancel Open Orders").EveryDay().At(TimeSpan.FromHours(16)).Run(() =>
{
foreach (var ticket in Transactions.GetOrderTickets(x => x.Status.IsOpen()))
{
ticket.Cancel();
}
});
}
public static bool IsValid(string symbol)
{
return(ValidSymbols.Contains(symbol));
}