public override void OnData(Slice slice)
{
try
{
HandleSplits(slice);
if (!_rebalanceMeter.IsDue(Time) ||
slice.Count() == 0 ||
!IsAllowedToTrade(slice))
{
return;
}
if (!ActiveSecurities.Any())
{
return;
}
SendEmailNotification("Begin OnData()");
UpdateIndicatorOpen(slice);
SetTargetCounts();
var insights = GetInsights(slice).ToArray();
EmitInsights(insights);
Rebalance(insights);
_rebalanceMeter.Update(Time);
SendEmailNotification("End OnData()");
}
catch (Exception e)
{
var msg = $"Exception: OnData: {e.Message}, {e.StackTrace}";
Log(msg);
SendEmailNotification(msg);
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
SetHoldings("SPY", 1);
}
if (Time.Day == 11)
{
return;
}
if (!ActiveSecurities.ContainsKey("AIG"))
{
var aig = AddEquity("AIG", Resolution.Minute);
var ticket = MarketOrder("AIG", 1);
if (ticket.Status != OrderStatus.Invalid)
{
throw new Exception("Expected order to always be invalid because there is no data yet!");
}
}
else
{
RemoveSecurity("AIG");
}
}
private IEnumerable <Insight> GetInsights(Slice slice)
{
try
{
var candidateLongs = RankSymbols(ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
_longCandidates.Contains(x.Key) &&
_indicators.ContainsKey(x.Key) &&
_indicators[x.Key].IsReady &&
_indicators[x.Key].Momentum > MinLongMomentum &&
!_indicators[x.Key].ExcludedBySma &&
!_indicators[x.Key].ExcludedBySpread &&
(slice[x.Key] as BaseData).Price >= MinPrice)
.Select(x => x.Key))
.ToList();
var holdingRanks = Portfolio
.Where(x => x.Value.Invested)
.ToDictionary(
x => x.Key,
x => candidateLongs.FindIndex(y => y == x.Key));
var rankThreshold = 2.5 * NumLong;
var toSell = holdingRanks
.Where(x => x.Value <0 || x.Value> rankThreshold)
.Select(x => x.Key);
var toHold = holdingRanks.Keys.Except(toSell);
var toBuy = candidateLongs
.Where(x => !toHold.Contains(x))
.OrderByDescending(x => _indicators[x].Momentum)
.Take(NumLong - toHold.Count());
var toOwn = toBuy
.Union(toHold)
.Select(x => new Insight(
x,
RebalancePeriod,
InsightType.Price,
InsightDirection.Up));
return(toOwn);
}
catch (Exception e)
{
var msg = $"Exception: GetInsights: {e.Message}, {e.StackTrace}";
Log(msg);
SendEmailNotification(msg);
throw;
}
}
public override void OnData(Slice data)
{
if (!Portfolio.Invested && Transactions.GetOpenOrders().Count == 0)
{
var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
SetHoldings(aapl, 0.5);
}
foreach (var customSymbol in _customSymbols)
{
if (!ActiveSecurities.ContainsKey(customSymbol.Underlying))
{
throw new Exception($"Custom data underlying ({customSymbol.Underlying}) Symbol was not found in active securities");
}
}
}
private void Rebalance(Insight[] insights)
{
var shortCount = insights.Count(x => x.Direction == InsightDirection.Down);
var longTargets = insights
.Where(x => x.Direction == InsightDirection.Up)
.Select(x => PortfolioTarget.Percent(this, x.Symbol, 1.0m / (_targetLongCount + shortCount)));
var shortTargets = insights
.Where(x => x.Direction == InsightDirection.Down)
.Select(x => PortfolioTarget.Percent(this, x.Symbol, -1.0m / (NumLong + NumShort)));
var targets = longTargets.Union(shortTargets);
Plot("targetCounts", "longs", longTargets.Count());
Plot("targetCounts", "shorts", shortTargets.Count());
Plot("targetCounts", "active", ActiveSecurities.Count());
new SmartImmediateExecutionModel().Execute(this, targets.ToArray());
var targetsStr = targets.Any() ? string.Join(",", targets.Select(x => x.Symbol.Value).OrderBy(x => x)) : "nothing";
Log(targetsStr);
SendEmailNotification($"We have positions in: {targetsStr}");
}
private IEnumerable <Insight> GetInsights(Slice slice)
{
try
{
var insights = new List <Insight>();
var stoStatuses = _stos.ToDictionary(
x => x.Key,
x => StoStatus(x.Key));
var macdStatuses = _macdHistograms.ToDictionary(
x => x.Key,
x => MacdStatus(x.Key));
//*****
//var aSymbol = _stos.Keys.Single(x => x.Value == "AAPL");
//var sto = _stos[aSymbol];
//var strElements = Enumerable.Range(0, sto.Count)
// .Select(x => $"{x}({sto[x].Value})");
//var str = string.Join(", ", strElements);
//Log(str);
//var momentumCount = ActiveSecurities
// .Where(x => x.Value.IsTradable
// && slice.ContainsKey(x.Key)
// && MomentumDirection(x.Key) == InsightDirection.Up)
// .Count();
//var stoHistogram = ActiveSecurities
// .Where(x => x.Value.IsTradable
// && slice.ContainsKey(x.Key)
// && stoStatuses[x.Key].Direction == InsightDirection.Up)
// .Select(x => x.Key)
// .GroupBy(x => stoStatuses[x].DaysPastSignal)
// .Select(x => new { Days = x.Key, Count = x.Count() })
// .OrderBy(x => x.Count)
// .Select(x => $"{x.Days}({x.Count})");
//var macdHistogram = ActiveSecurities
// .Where(x => x.Value.IsTradable
// && slice.ContainsKey(x.Key)
// && macdStatuses[x.Key].Direction == InsightDirection.Up)
// .Select(x => x.Key)
// .GroupBy(x => macdStatuses[x].DaysPastSignal)
// .Select(x => new { Days = x.Key, Count = x.Count() })
// .OrderBy(x => x.Count)
// .Select(x => $"{x.Days}({x.Count})");
//Log($"momentumCount={momentumCount}, stos[{string.Join(",", stoHistogram)}], macds[{string.Join(",", macdHistogram)}]");
//////////
//var aSto = _stos[sym][0].Value;
//Log($"{Time}: sto[{sym.Value}]={aSto}");
var momentumCount = ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
MomentumDirection(x.Key, slice) == InsightDirection.Up)
.Count();
var stoCount = ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
stoStatuses[x.Key].Direction == InsightDirection.Up)
.Count();
var macdCount = ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
macdStatuses[x.Key].Direction == InsightDirection.Up)
.Count();
Log($"{Time}: momCount={momentumCount}, stoCount={stoCount}, macdCount={macdCount}");
//*****
insights.AddRange(ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
MomentumDirection(x.Key, slice) == InsightDirection.Up &&
stoStatuses[x.Key].Direction == InsightDirection.Up &&
macdStatuses[x.Key].Direction == InsightDirection.Up &&
macdStatuses[x.Key].DaysPastSignal < stoStatuses[x.Key].DaysPastSignal)
.Take(NumLongShort)
.Select(x => new Insight(
x.Value.Symbol,
RebalancePeriod,
InsightType.Price,
InsightDirection.Up)));
insights.AddRange(ActiveSecurities
.Where(x => x.Value.IsTradable &&
slice.ContainsKey(x.Key) &&
MomentumDirection(x.Key, slice) == InsightDirection.Down &&
stoStatuses[x.Key].Direction == InsightDirection.Down &&
macdStatuses[x.Key].Direction == InsightDirection.Down &&
macdStatuses[x.Key].DaysPastSignal < stoStatuses[x.Key].DaysPastSignal)
.Take(NumLongShort)
.Select(x => new Insight(
x.Value.Symbol,
RebalancePeriod,
InsightType.Price,
InsightDirection.Down)));
return(insights);
}
catch (Exception e)
{
Log($"Exception: GetInsights: {e.Message}");
throw;
}
}
