/// <summary>
/// Event Handler for Nifty Data Events: These Nifty objects are created from our
/// "Nifty" type below and fired into this event handler.
/// </summary>
/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>
public void OnData(DollarRupee data)
{
_today = new CorrelationPair(data.Time)
{
CurrencyPrice = Convert.ToDouble(data.Close)
};
}
/// <summary>
/// Event Handler for Nifty Data Events: These Nifty objects are created from our
/// "Nifty" type below and fired into this event handler.
/// </summary>
/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>
public void OnData(Slice data)
{
if (data.ContainsKey("USDINR"))
{
_today = new CorrelationPair(Time)
{
CurrencyPrice = Convert.ToDouble(data["USDINR"].Close)
};
}
if (!data.ContainsKey("NIFTY"))
{
return;
}
try
{
_today.NiftyPrice = Convert.ToDouble(data["NIFTY"].Close);
if (_today.Date == data["NIFTY"].Time)
{
_prices.Add(_today);
if (_prices.Count > _minimumCorrelationHistory)
{
_prices.RemoveAt(0);
}
}
//Strategy
var quantity = (int)(Portfolio.MarginRemaining * 0.9m / data["NIFTY"].Close);
var highestNifty = (from pair in _prices select pair.NiftyPrice).Max();
var lowestNifty = (from pair in _prices select pair.NiftyPrice).Min();
if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&
{
//List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();
//List<double> currencyPrices = (from pair in prices select pair.CurrencyPrice).ToList();
//double correlation = Correlation.Pearson(niftyPrices, currencyPrices);
//double niftyFraction = (correlation)/2;
if (Convert.ToDouble(data["NIFTY"].Open) >= highestNifty)
{
var code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);
Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
else if (Convert.ToDouble(data["NIFTY"].Open) <= lowestNifty)
{
var code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);
Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data["NIFTY"].Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
}
}
catch (Exception err)
{
Debug("Error: " + err.Message);
}
}
