/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug("Mean Reversion Algorithm");
mylog.Debug(ondataheader);
dailylog.Debug("Mean Reversion Algorithm");
dailylog.Debug(dailyheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow <IndicatorDataPoint>(14);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
trend = new InstantaneousTrend(10);
ema10 = new ExponentialMovingAverage(10);
sma10 = new SimpleMovingAverage(10);
madiff = new RollingWindow <IndicatorDataPoint>(390);
stddev = new StandardDeviation(390);
emaHistory = new RollingWindow <IndicatorDataPoint>(10);
smaHistory = new RollingWindow <IndicatorDataPoint>(10);
}
/// <summary>
/// Prints the report heading
/// </summary>
public void ReportHeading(string heading)
{
_logHandler.Debug(heading);
StringBuilder sb = new StringBuilder();
sb.Append(columnHeader);
foreach (var item in ColumnList)
{
sb.Append(",");
sb.Append(item.Key);
}
_logHandler.Debug(sb.ToString());
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//Initialize dates
SetStartDate(2015, 6, 15);
SetEndDate(2015, 6, 15);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
#region "Init indicators"
Price = new RollingWindow <IndicatorDataPoint>(samplesize);
ema = new RollingWindow <IndicatorDataPoint>(samplesize);
zema = new RollingWindow <IndicatorDataPoint>(samplesize);
OptimalValue1 = new RollingWindow <IndicatorDataPoint>(samplesize);
OmtimalValue2 = new RollingWindow <IndicatorDataPoint>(samplesize);
OptimalTrackingFilter = new RollingWindow <IndicatorDataPoint>(samplesize);
lambda = new RollingWindow <IndicatorDataPoint>(samplesize);
alpha = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalDiff = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalSign = new RollingWindow <IndicatorDataPoint>(samplesize);
priceOptimalCross = new RollingWindow <IndicatorDataPoint>(samplesize);
fudge = new RollingWindow <IndicatorDataPoint>(samplesize);
instantTrend = new RollingWindow <IndicatorDataPoint>(samplesize);
instantTrendTrigger = new RollingWindow <IndicatorDataPoint>(samplesize);
cyberCycle = new RollingWindow <IndicatorDataPoint>(samplesize);
centerGravity = new RollingWindow <IndicatorDataPoint>(samplesize);
cyberCycleSmooth = new RollingWindow <IndicatorDataPoint>(samplesize);
rvi = new RelativeVigorIndex(8);
rviHistory = new RollingWindow <IndicatorDataPoint>(samplesize);
stochCenterGravityValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochCenterGravityValue2 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleValue2 = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleInverseFisher = new RollingWindow <IndicatorDataPoint>(8);
stochCyberCycleFisher = new RollingWindow <IndicatorDataPoint>(8);
stochRviHistoryValue1 = new RollingWindow <IndicatorDataPoint>(8);
stochRviHistoryValue2 = new RollingWindow <IndicatorDataPoint>(8);
ROC = new RateOfChange(4);
maxCyberCycle = new Maximum(8);
minCyberCycle = new Minimum(8);
#endregion
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
string msg = "Security,Date,Day Profit,Day Fees, Day Net, Total Profit, Total Fees";
mylog.Debug(msg);
mylog.Debug(tradeheader);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
for (int i = 0; i < signals.Length; i++)
{
signals[i] = OrderSignal.doNothing;
}
_ticketsQueue = new ConcurrentQueue <OrderTicket>();
#region lists
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Write debug message to log
/// </summary>
/// <param name="logHandler"></param>
/// <param name="text">Message</param>
/// <param name="args">Arguments to format.</param>
public static void Debug(this ILogHandler logHandler, string text, params object[] args)
{
if (logHandler == null)
{
throw new ArgumentNullException("logHandler", "Log Handler cannot be null");
}
logHandler.Debug(string.Format(text, args));
}
public virtual UdpMessage ParseUdpReceiveResult(UdpReceiveResult result)
{
var message = result.ToUdpMessage();
if (Logger.IsDebugEnabled)
{
Logger.Debug(string.Format("RECEIVE {0}, PacketType {1}, Size {2}", message.RemoteEndPoint, message.PacketType, message.Message.Count()));
}
return(message);
}
private decimal a = .05m; // used in instantTrend
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2015, 5, 13);
SetEndDate(2015, 5, 13);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow <IndicatorDataPoint>(14);
hma7 = new HullMovingAverage("hma7", 7);
hma14 = new HullMovingAverage("hma14", 14);
hma28 = new HullMovingAverage("hma28", 28);
instantTrend = new RollingWindow <IndicatorDataPoint>(7);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategyOriginal(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
#endregion
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 07);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
maxHigh = new Maximum("MaxHigh", _period);
minLow = new Minimum("MinLow", _period);
value1 = new RollingWindow <IndicatorDataPoint>(_period);
fish = new RollingWindow <IndicatorDataPoint>(_period);
//wma = new LinearWeightedMovingAverage(5); // induces 2 bar lag
//wwma = new RollingWindow<IndicatorDataPoint>(_period);
//fishHigh = new Maximum("FishHigh", 400);
//fishLow = new Minimum("FishLow", 400);
fx = new FisherTransform(_symbol, _period);
//fx = FT(_symbol, _period, Resolution.Minute);
// Add a bars to initialize the RollingWindow
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow <IndicatorDataPoint>(14);
cycleSignal = new RollingWindow <IndicatorDataPoint>(14);
cycle = new CyberCycle(7);
Price = new RollingWindow <IndicatorDataPoint>(14);
diff = new RollingWindow <IndicatorDataPoint>(20);
standardDeviation = new StandardDeviation(30);
fish = new InverseFisherTransform(10);
fishHistory = new RollingWindow <IndicatorDataPoint>(7);
fishDirectionHistory = new RollingWindow <IndicatorDataPoint>(7);
}
/// <summary>
/// Output to the console
/// </summary>
/// <param name="text">The message to show</param>
/// <param name="level">debug level</param>
public static void Debug(string text, int level = 1)
{
try
{
if (!_debuggingEnabled || level < _level)
{
return;
}
_logHandler.Debug(text);
}
catch (Exception err)
{
Console.WriteLine("Log.Debug(): Error writing debug: " + err.Message);
}
}
private void OnDataForSymbol(KeyValuePair <Symbol, TradeBar> data)
{
if (data.Key == "VIX")
{
vix = data.Value;
}
if (data.Key == new Symbol("SPY"))
{
wvfh.Update(data.Value);
wvfl.Update(data.Value);
ifwvfh.Update(wvfh.Current);
ifwvfl.Update(wvfl.Current);
ichi.Update(data.Value);
iTrend.Update(new IndicatorDataPoint(data.Value.EndTime, data.Value.Close));
#region "biglog"
if (!headingwritten)
{
StringBuilder sb = new StringBuilder();
sb.Append("Barcount, Symbol,EndTime,Volume,Open,High,Low,Close");
sb.Append(",EndTime");
sb.Append(",vix");
sb.Append(",iTrend");
sb.Append(",wvfh");
sb.Append(",fwvfh");
sb.Append(",wvfl");
sb.Append(",fwvfl");
sb.Append(",t1");
sb.Append(",k1");
sb.Append(",sa1");
sb.Append(",sb1");
sb.Append(",t5");
sb.Append(",k5");
sb.Append(",sa5");
sb.Append(",sb5");
sb.Append(",t10");
sb.Append(",k10");
sb.Append(",sa10");
sb.Append(",sb10");
mylog.Debug(sb.ToString());
headingwritten = true;
}
string logmsg =
string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19}" +
",{20},{21},{22},{23},{24},{25},{26},{27}" //,{28},{29} "
//+ ",{30},{31},{32},{33}"
,
barcount,
data.Key,
data.Value.EndTime,
data.Value.Volume,
data.Value.Open,
data.Value.High,
data.Value.Low,
data.Value.Close,
data.Value.EndTime.ToShortTimeString(),
vix.Close,
iTrend.Current.Value,
wvfh.Current.Value,
ifwvfh.Current.Value * -1,
wvfl.Current.Value,
ifwvfl.Current.Value * -1,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi.Tenkan.Current.Value,
ichi.Kijun.Current.Value,
ichi.SenkouA.Current.Value,
ichi.SenkouB.Current.Value,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi5.Tenkan.Current.Value,
ichi5.Kijun.Current.Value,
ichi5.SenkouA.Current.Value,
ichi5.SenkouB.Current.Value,
//data.Value.EndTime.ToShortTimeString(),
//data.Value.Close,
ichi10.Tenkan.Current.Value,
ichi10.Kijun.Current.Value,
ichi10.SenkouA.Current.Value,
ichi10.SenkouB.Current.Value,
""
);
mylog.Debug(logmsg);
#endregion
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List <OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary <int, InstantaneousTrend>();
trendHistoryList = new Dictionary <int, RollingWindow <IndicatorDataPoint> >();
strategyList = new Dictionary <int, MultiITStrategy>();
entryPriceList = new Dictionary <int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow <IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
//private string sig7comment;
//private TradeBarConsolidator fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
//private InstantaneousTrend trend15Min;
//private bool CanMakeTrade = true;
//private bool MinuteDataActivated = false;
#endregion
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name + " UseSig=" + LiveSignalIndex;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_proformatransactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
symbol = new Symbol("AAPL");
#region "Read Symbols from File"
/**********************************************
* THIS SECTION IS FOR READING SYMBOLS FROM A FILE
************************************************/
string symbols;
var filename = AssemblyLocator.ExecutingDirectory() + "symbols.txt";
using (StreamReader sr = new StreamReader(filename))
{
symbols = sr.ReadLine();
sr.Close();
}
//symbol = new Symbol(symbols);
#endregion
minuteReturns.AppendFormat("{0},{1}", symbol, _startDate.ToShortDateString());
minuteHeader.AppendFormat("Symbol,Date");
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .24m);
_orderTransactionProcessor = new OrderTransactionProcessor();
_transactions = new List <OrderTransaction>();
_ticketsQueue = new List <OrderTicket>();
#region ITrend
iTrendSignal = new ITrendSignal(7);
LastOrderSent.Add(symbol, OrderSignal.doNothing);
#endregion
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//signalInfos.Add(new SignalInfo
//{
// Id = 1,
// Name = "ITrend",
// IsActive = true,
// SignalJson = string.Empty,
// Value = OrderSignal.doNothing,
// InternalState = string.Empty,
// SignalType = typeof(ITrendSignal)
//});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
#region "15 Minute"
// define our 15 minute consolidator
//var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
//fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteAAPL;
//trend15Min = new InstantaneousTrend(3);
//RegisterIndicator(symbol, trend15Min, fifteenMinuteConsolidator, Field.Close);
//int fast = 15;
//int slow = 30;
//// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
//var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA15", fast);
//var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA30", slow);
//// register our indicator and consolidator together. this will wire the consolidator up to receive
//// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
//RegisterIndicator("AAPL", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
//RegisterIndicator("AAPL", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Write debug message to log
/// </summary>
/// <param name="text">The debug text to log</param>
public void Debug(string text)
{
WriteMessage(LogType.Debug, text);
_fileLogger.Debug(text);
}
public override void Initialize()
{
SetStartDate(_startDate); //Set Start Date
SetEndDate(_endDate); //Set End Date
SetCash(_portfolioAmount); //Set Strategy Cash
#region Nick logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_proformatransactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
#region Logging stuff - Initializing Portfolio Logging
portfolioLogging.AppendLine("Counter, Time, Portfolio Value");
int i = 0; // Only used for logging.
#endregion Logging stuff - Initializing Portfolio Logging
#region "Read Symbols from File"
/**********************************************
* THIS SECTION IS FOR READING SYMBOLS FROM A FILE
************************************************/
//string symbols;
var filename = AssemblyLocator.ExecutingDirectory() + "symbols.txt";
using (StreamReader sr = new StreamReader(filename))
{
string[] symbols = { };
var readLine = sr.ReadLine();
if (readLine != null)
{
symbols = readLine.Split(',');
}
foreach (string t in symbols)
{
Symbols.Add(new Symbol(t));
}
sr.Close();
}
// Make sure the list contains the static symbol
//if (!Symbols.Contains(symbol))
//{
// Symbols.Add(symbol);
//}
#endregion
foreach (string symbol in Symbols)
{
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
var priceIdentity = Identity(symbol, selector: Field.Close);
Strategy.Add(symbol, new ITrendStrategy(priceIdentity, ITrendPeriod,
Tolerance, RevertPCT));
// Equally weighted portfolio.
//ShareSize.Add(symbol, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
ShareSize.Add(symbol, .58m);
#region Logging stuff - Initializing Stock Logging
stockLogging.Add(new StringBuilder());
stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
"Momentum, EntryPrice, Signal," +
"TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
"StateFromStrategy, StateFromPorfolio, Portfolio Value");
i++;
#endregion Logging stuff - Initializing Stock Logging
}
}
internal static void Debug(object message) => handler.Debug(message);
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
ondataheader += _scig5C.GetNames();
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
_proformatransactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Daily);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
_ticketsQueue = new List <OrderTicket>();
#region lists
sigDictionary = new Dictionary <int, ISigSerializable>();
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
symbol = new Symbol("NFLX");
#region "Read Symbols from File"
/**********************************************
* THIS SECTION IS FOR READING SYMBOLS FROM A FILE
************************************************/
//string symbols;
Symbols = new List <Symbol>();
var filename = AssemblyLocator.ExecutingDirectory() + "symbols.txt";
using (StreamReader sr = new StreamReader(filename))
{
string[] symbols = { };
var readLine = sr.ReadLine();
if (readLine != null)
{
symbols = readLine.Split(',');
}
foreach (string t in symbols)
{
Symbols.Add(new Symbol(t));
}
sr.Close();
}
// Make sure the list contains the static symbol
//if (!Symbols.Contains(symbol))
//{
// Symbols.Add(symbol);
//}
#endregion
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
StringBuilder sb = new StringBuilder();
foreach (var s in Symbols)
{
sb.Append(s.Value + ",");
}
mylog.Debug(ondataheader);
dailylog.Debug(algoname + " " + sb.ToString());
dailylog.Debug(dailyheader);
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
sd = Config.Get("start-date");
ed = Config.Get("end-date");
_startDate = new DateTime(Convert.ToInt32(sd.Substring(0, 4)), Convert.ToInt32(sd.Substring(4, 2)), Convert.ToInt32(sd.Substring(6, 2)));
_endDate = new DateTime(Convert.ToInt32(ed.Substring(0, 4)), Convert.ToInt32(ed.Substring(4, 2)), Convert.ToInt32(ed.Substring(6, 2)));
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
SetBenchmark(symbol);
foreach (string sym in Symbols)
{
AddSecurity(SecurityType.Equity, sym);
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
#region logging
var algoname = this.GetType().Name + " UseSig=" + LiveSignalIndex;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
_proformatransactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
//_ticketsQueue = new ConcurrentQueue<OrderTicket>();
_ticketsQueue = new List <OrderTicket>();
//sim = new BrokerSimulator(this);
#region lists
signalInfos.Add(new SignalInfo
{
Id = 0,
Name = "Minutes_015",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
signalInfos.Add(new SignalInfo
{
Id = 1,
Name = "Minutes_001",
IsActive = true,
SignalJson = string.Empty,
Value = OrderSignal.doNothing,
InternalState = string.Empty,
SignalType = typeof(Sig9)
});
//foreach (SignalInfo s in signalInfos)
//{
// s.IsActive = false;
// if (s.Id == LiveSignalIndex)
// {
// s.IsActive = true;
// }
//}
#endregion
// define our 15 minute consolidator
//var fifteenMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(15));
// if we want to make decisions every 15 minutes as well, we can add an event handler
// to the DataConsolidated event
fifteenMinuteConsolidator.DataConsolidated += OnFiftenMinuteAAPL;
trend15Min = new InstantaneousTrend(3);
RegisterIndicator(symbol, trend15Min, fifteenMinuteConsolidator, Field.Close);
//int fast = 15;
//int slow = 30;
//// define our EMA, we'll manually register this, so we aren't using the helper function 'EMA(...)'
//var fastEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA15", fast);
//var slowEmaOnFifteenMinuteBars = new ExponentialMovingAverage("AAPL_EMA30", slow);
//// register our indicator and consolidator together. this will wire the consolidator up to receive
//// data for the specified symbol, and also set up the indicator to receive its data from the consolidator
//RegisterIndicator("AAPL", fastEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
//RegisterIndicator("AAPL", slowEmaOnFifteenMinuteBars, fifteenMinuteConsolidator, Field.Close);
// for use with Tradier. Default is IB.
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(7.0m);
}
