public void OnData(TradeBars data)
{
if (!Portfolio.HoldStock && data.ContainsKey("AAPL"))
{
int quantity = (int)Math.Floor(Portfolio.Cash / data["AAPL"].Close);
Order("AAPL", quantity);
Debug("Purchased SPY on " + Time.ToShortDateString());
Notify.Email("*****@*****.**", "Test", "Test Body", "test attachment");
}
}
/// <summary>
/// Submit a new order for quantity of symbol using type order.
/// </summary>
/// <param name="type">Buy/Sell Limit or Market Order Type.</param>
/// <param name="symbol">Symbol of the MarketType Required.</param>
/// <param name="quantity">Number of shares to request.</param>
public int Order(string symbol, int quantity, OrderType type = OrderType.Market)
{
//Add an order to the transacion manager class:
int orderId = -1;
decimal price = 0;
string orderRejected = "Order Rejected at " + Time.ToShortDateString() + " " + Time.ToShortTimeString() + ": ";
//Internals use upper case symbols.
symbol = symbol.ToUpper();
//Ordering 0 is useless.
if (quantity == 0)
{
return(orderId);
}
if (type != OrderType.Market)
{
Debug(orderRejected + "Currently only market orders supported.");
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(symbol))
{
Debug(orderRejected + "You haven't requested " + symbol + " data. Add this with AddSecurity() in the Initialize() Method.");
}
//Set a temporary price for validating order for market orders:
if (type == OrderType.Market)
{
price = Securities[symbol].Price;
}
try
{
orderId = Transacions.AddOrder(new Order(symbol, quantity, type, Time, price), Portfolio);
if (orderId < 0)
{
//Order failed validaity checks and was rejected:
Debug(orderRejected + OrderErrors.ErrorTypes[orderId]);
}
}
catch (Exception err) {
Error("Algorithm.Order(): Error sending order. " + err.Message);
}
return(orderId);
}
//Handle TradeBar Events: a TradeBar occurs on every time-interval
public void OnData(TradeBars data)
{
//One data point per day:
if (sampledToday.Date == data[symbol].Time.Date)
{
return;
}
//Only take one data point per day (opening price)
price = Securities[symbol].Close;
sampledToday = data[symbol].Time;
//Wait until EMA's are ready:
if (!emaShort.IsReady || !emaLong.IsReady)
{
return;
}
//Get fresh cash balance: Set purchase quantity to equivalent 10% of portfolio.
decimal cash = Portfolio.Cash;
int holdings = Portfolio[symbol].Quantity;
//quantity = Convert.ToInt32((cash * 0.5m) / price);
if (holdings > 0)
{
//If we're long, or flat: check if EMA crossed negative: and crossed outside our safety margin:
if ((emaShort * (1 + tolerance)) < emaLong)
{
//Now go short: Short-EMA signals a negative turn: reverse holdings
Order(symbol, -(holdings));
Log(Time.ToShortDateString() + " > Go Short > Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString() + " Samples: " + emaShort.Samples);
}
}
else if (holdings == 0)
{
//If we're short, or flat: check if EMA crossed positive: and crossed outside our safety margin:
if ((emaShort * (1 - tolerance)) > emaLong)
{
//Now go long: Short-EMA crossed above long-EMA by sufficient margin
var quantity = GetNumSymbols(price);
Order(symbol, Math.Abs(holdings) + quantity);
Log(Time.ToShortDateString() + "> Go Long > Holdings: " + holdings.ToString() + " Quantity:" + quantity.ToString() + " Samples: " + emaShort.Samples);
}
}
}
public void OnData(Nifty data)
{
try
{
int quantity = (int)(Portfolio.TotalPortfolioValue * 0.9m / data.Close);
today.NiftyPrice = Convert.ToDouble(data.Close);
if (today.Date == data.Time)
{
prices.Add(today);
if (prices.Count > minimumCorrelationHistory)
{
prices.RemoveAt(0);
}
}
//Strategy
double highestNifty = (from pair in prices select pair.NiftyPrice).Max();
double 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.Open) >= highestNifty)
{
int code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);
Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
else if (Convert.ToDouble(data.Open) <= lowestNifty)
{
int code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);
Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);
}
}
}
catch (Exception err)
{
Debug("Error: " + err.Message);
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady)
{
return;
}
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
