public void EntrySignal(QuoteBars data, Rule signal)
{
if (verbose && signal.IsTrue())
{
Log(string.Format("signal symbol:: {0}", signal.Symbol));
}
if (!Portfolio[signal.Symbol].Invested)
{
if (signal.IsTrue())
{
var openPrice = Securities[signal.Symbol].Price;
var entryValues = RiskManager.CalculateEntryOrders(data, signal.Symbol, AgentAction.GoLong);
if (entryValues.Item1 != 0)
{
tookPartialProfit[signal.Symbol] = false;
var ticket = MarketOrder(signal.Symbol, entryValues.Item1);
StopMarketOrder(signal.Symbol, -entryValues.Item1, entryValues.Item2, tag: entryValues.Item3.ToString("0.000000"));
if (verbose)
{
Log(string.Format("MarketOrder:: {0} {1}", signal.Symbol, entryValues.Item1));
}
}
//MarketOrder(signal.Symbol, size, false, "");
}
}
}
public void OnData(QuoteBars data)
{
long l = (30 * 24 * 60 * 60);
long le = (10 * 24 * 60 * 60);
foreach (var rule in trades)
{
if (data.ContainsKey(rule.Symbol))
{
var candleStartTime = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
var candleEndTime = Utils.ToUnixTimestamp(data[rule.Symbol].EndTime.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
if (candleStartTime > (rule.setupTime - l) && (candleStartTime < Math.Max(rule.exitTime, rule.expirationTime) + le))
{
rule.Serie.Add(new LocalQuote
{
date = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone)),
open = data[rule.Symbol].Open,
close = data[rule.Symbol].Close,
high = data[rule.Symbol].High,
low = data[rule.Symbol].Low
});
}
}
}
}
public IEnumerable <TimeSlice> GetTimeSlices()
{
var bars = new TradeBars();
var quotes = new QuoteBars();
var ticks = new Ticks();
var options = new OptionChains();
var futures = new FuturesChains();
var splits = new Splits();
var dividends = new Dividends();
var delistings = new Delistings();
var symbolChanges = new SymbolChangedEvents();
var dataFeedPackets = new List <DataFeedPacket>();
var cashUpdateData = new List <UpdateData <Cash> >();
var customData = new List <UpdateData <Security> >();
var changes = SecurityChanges.None;
do
{
var slice = new Slice(default(DateTime), _data, bars, quotes, ticks, options, futures, splits, dividends, delistings, symbolChanges);
var timeSlice = new TimeSlice(_frontierUtc, _data.Count, slice, dataFeedPackets, cashUpdateData, securitiesUpdateData, _consolidatorUpdateData, customData, changes);
yield return(timeSlice);
_frontierUtc += FrontierStepSize;
}while (_frontierUtc <= _endTimeUtc);
}
public void OnData(QuoteBars data)
{
long l = (30 * 24 * 60 * 60);
long le = (10 * 24 * 60 * 60);
foreach (var rule in trades)
{
if (data.ContainsKey(rule.Symbol))
{
var candleStartTime = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
var candleEndTime = Utils.ToUnixTimestamp(data[rule.Symbol].EndTime.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone));
if ((rule._Serie.Count == 0 && (rule.setupTime - l) > candleStartTime) || (rule._Serie.Count > 0 && (rule.exitTime + le > candleStartTime || rule.expirationTime + le > candleStartTime)))
{
List <LocalQuote> serie = new List <LocalQuote>();
rule._Serie.Add(new LocalQuote
{
date = Utils.ToUnixTimestamp(data[rule.Symbol].Time.ConvertToUtc(Securities[rule.Symbol].Exchange.TimeZone)),
open = data[rule.Symbol].Open,
close = data[rule.Symbol].Close,
high = data[rule.Symbol].High,
low = data[rule.Symbol].Low
});
}
}
}
}
/// <summary>
/// Merge two slice with same Time
/// </summary>
/// <param name="inputSlice">slice instance</param>
/// <remarks> Will change the input collection for re-use</remarks>
public void MergeSlice(Slice inputSlice)
{
if (UtcTime != inputSlice.UtcTime)
{
throw new InvalidOperationException($"Slice with time {UtcTime} can't be merged with given slice with different {inputSlice.UtcTime}");
}
_bars = (TradeBars)UpdateCollection(_bars, inputSlice.Bars);
_quoteBars = (QuoteBars)UpdateCollection(_quoteBars, inputSlice.QuoteBars);
_ticks = (Ticks)UpdateCollection(_ticks, inputSlice.Ticks);
_optionChains = (OptionChains)UpdateCollection(_optionChains, inputSlice.OptionChains);
_futuresChains = (FuturesChains)UpdateCollection(_futuresChains, inputSlice.FuturesChains);
_splits = (Splits)UpdateCollection(_splits, inputSlice.Splits);
_dividends = (Dividends)UpdateCollection(_dividends, inputSlice.Dividends);
_delistings = (Delistings)UpdateCollection(_delistings, inputSlice.Delistings);
_symbolChangedEvents = (SymbolChangedEvents)UpdateCollection(_symbolChangedEvents, inputSlice.SymbolChangedEvents);
if (inputSlice._rawDataList.Count != 0)
{
if (_rawDataList.Count == 0)
{
_rawDataList = inputSlice._rawDataList;
_data = inputSlice._data;
}
else
{
// Should keep this._rawDataList last so that selected data points are not overriden
// while creating _data
inputSlice._rawDataList.AddRange(_rawDataList);
_rawDataList = inputSlice._rawDataList;
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(_rawDataList));
}
}
}
public void AccessesTradeBarAndQuoteBarForSameSymbol()
{
var tradeBar = new TradeBar(DateTime.Now, Symbols.BTCUSD,
3000, 3000, 3000, 3000, 100, Time.OneMinute);
var quoteBar = new QuoteBar(DateTime.Now, Symbols.BTCUSD,
new Bar(3100, 3100, 3100, 3100), 0,
new Bar(3101, 3101, 3101, 3101), 0,
Time.OneMinute);
var tradeBars = new TradeBars { { Symbols.BTCUSD, tradeBar } };
var quoteBars = new QuoteBars { { Symbols.BTCUSD, quoteBar } };
var slice = new Slice(DateTime.Now, new BaseData[] { tradeBar, quoteBar }, tradeBars, quoteBars, null, null, null, null, null, null, null);
var tradeBarData = slice.Get<TradeBar>();
Assert.AreEqual(1, tradeBarData.Count);
Assert.AreEqual(3000, tradeBarData[Symbols.BTCUSD].Close);
var quoteBarData = slice.Get<QuoteBar>();
Assert.AreEqual(1, quoteBarData.Count);
Assert.AreEqual(3100, quoteBarData[Symbols.BTCUSD].Bid.Close);
Assert.AreEqual(3101, quoteBarData[Symbols.BTCUSD].Ask.Close);
slice = new Slice(DateTime.Now, new BaseData[] { tradeBar, quoteBar });
tradeBarData = slice.Get<TradeBar>();
Assert.AreEqual(1, tradeBarData.Count);
Assert.AreEqual(3000, tradeBarData[Symbols.BTCUSD].Close);
quoteBarData = slice.Get<QuoteBar>();
Assert.AreEqual(1, quoteBarData.Count);
Assert.AreEqual(3100, quoteBarData[Symbols.BTCUSD].Bid.Close);
Assert.AreEqual(3101, quoteBarData[Symbols.BTCUSD].Ask.Close);
}
public void OnData(QuoteBars data)
{
try
{
foreach (var symbol in Symbols.Where(s => data.ContainsKey(s)))
{
_tradingAssets[symbol].Scan(data[symbol], ((AverageTrueRangeVolatilityModel)Securities[symbol].VolatilityModel).IsWarmingUp);
}
}
catch (Exception ex)
{
Log("Error: " + ex.Message);
}
}
public Slice(DateTime time, IEnumerable <BaseData> data, TradeBars tradeBars, QuoteBars quoteBars, Ticks ticks, OptionChains optionChains, Splits splits, Dividends dividends, Delistings delistings, SymbolChangedEvents symbolChanges, bool?hasData = null)
{
Time = time;
_dataByType = new Dictionary <Type, Lazy <object> >();
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(data));
HasData = hasData ?? _data.Value.Count > 0;
_ticks = CreateTicksCollection(ticks);
_bars = CreateCollection <TradeBars, TradeBar>(tradeBars);
_quoteBars = CreateCollection <QuoteBars, QuoteBar>(quoteBars);
_optionChains = CreateCollection <OptionChains, OptionChain>(optionChains);
_splits = CreateCollection <Splits, Split>(splits);
_dividends = CreateCollection <Dividends, Dividend>(dividends);
_delistings = CreateCollection <Delistings, Delisting>(delistings);
_symbolChangedEvents = CreateCollection <SymbolChangedEvents, SymbolChangedEvent>(symbolChanges);
}
public void OnData(QuoteBars data)
{
if (!Portfolio.HoldStock)
{
SetHoldings("EURUSD", 10);
}
lastOpenPrice = data["EURUSD"].Open;
lastClosePrice = data["EURUSD"].Close;
Plot("Trade Plot", "Open", lastOpenPrice);
Plot("Trade Plot", "Close", lastClosePrice);
if (EMASlow.IsReady)
{
Plot("Trade Plot", "FastMA", EMAFast);
Plot("Trade Plot", "SlowMA", EMASlow);
}
}
public void OnData(QuoteBars data)
{
foreach (var entry in _entry)
{
if (entry.IsReady())
{
EntrySignal(data, entry);
}
}
foreach (var entry in _exit)
{
if (entry.IsReady())
{
ExitSignal(entry);
}
}
RiskManager.UpdateTrailingStopOrders(data);
}
/// <summary>
/// Calculates the entry orders and stop-loss price.
/// </summary>
/// <param name="pair">The Forex pair Symbol.</param>
/// <param name="action">The order direction.</param>
/// <returns>a Tuple with the quantity as Item1 and the stop-loss price as Item2. If quantity is zero, then means that no trade must be done.</returns>
public Tuple <int, decimal, decimal> CalculateEntryOrders(QuoteBars data, Symbol pair, AgentAction action)
{
// If exposure is greater than the max exposure, then return zero.
if (_portfolio.TotalMarginUsed > _portfolio.TotalPortfolioValue * _maxExposure)
{
return(Tuple.Create(0, 0m, 0m));
}
var closePrice = _portfolio.Securities[pair].Price;
var leverage = _portfolio.Securities[pair].Leverage;
var exchangeRate = _portfolio.Securities[pair].QuoteCurrency.ConversionRate;
var volatility = _portfolio.Securities[pair].VolatilityModel.Volatility;
// Estimate the maximum entry order quantity given the risk per trade.
var moneyAtRisk = _portfolio.TotalPortfolioValue * _riskPerTrade;
var quantity = action == AgentAction.GoLong ? _lotSize : -_lotSize;
if ((volatility * exchangeRate) > 0)
{
var maxQuantitybyRisk = moneyAtRisk / (volatility * exchangeRate);
// Estimate the maximum entry order quantity given the exposure per trade.
var maxBuySize = Math.Min(_portfolio.MarginRemaining, _portfolio.TotalPortfolioValue * _maxExposurePerTrade) * leverage;
var maxQuantitybyExposure = maxBuySize / (closePrice * exchangeRate);
// The final quantity is the lowest of both.
quantity = (int)(Math.Round(Math.Min(maxQuantitybyRisk, maxQuantitybyExposure) / _lotSize, 0) * _lotSize);
// If the final quantity is lower than the minimum quantity of the given lot size, then return zero.
if (quantity < _lotSize * _minQuantity)
{
return(Tuple.Create(0, 0m, 0m));
}
quantity = action == AgentAction.GoLong ? quantity : -quantity;
}
var stopLossPrice = closePrice + (action == AgentAction.GoLong ? -volatility : volatility);
var increment = _portfolio.Securities[pair].PriceVariationModel.GetMinimumPriceVariation(_portfolio.Securities[pair]);
if (increment != 0)
{
stopLossPrice = Math.Round(stopLossPrice / increment) * increment;
}
return(Tuple.Create(quantity, stopLossPrice, action == AgentAction.GoLong ? data[pair].Ask.Close : data[pair].Bid.Close));
}
/// <summary>
/// Initializes a new instance of the <see cref="Slice"/> class
/// </summary>
/// <param name="time">The timestamp for this slice of data</param>
/// <param name="data">The raw data in this slice</param>
/// <param name="tradeBars">The trade bars for this slice</param>
/// <param name="quoteBars">The quote bars for this slice</param>
/// <param name="ticks">This ticks for this slice</param>
/// <param name="optionChains">The option chains for this slice</param>
/// <param name="futuresChains">The futures chains for this slice</param>
/// <param name="splits">The splits for this slice</param>
/// <param name="dividends">The dividends for this slice</param>
/// <param name="delistings">The delistings for this slice</param>
/// <param name="symbolChanges">The symbol changed events for this slice</param>
/// <param name="hasData">true if this slice contains data</param>
public Slice(DateTime time, IEnumerable <BaseData> data, TradeBars tradeBars, QuoteBars quoteBars, Ticks ticks, OptionChains optionChains, FuturesChains futuresChains, Splits splits, Dividends dividends, Delistings delistings, SymbolChangedEvents symbolChanges, bool?hasData = null)
{
Time = time;
// market data
_data = new Lazy <DataDictionary <SymbolData> >(() => CreateDynamicDataDictionary(data));
HasData = hasData ?? _data.Value.Count > 0;
_ticks = ticks;
_bars = tradeBars;
_quoteBars = quoteBars;
_optionChains = optionChains;
_futuresChains = futuresChains;
// auxiliary data
_splits = splits;
_dividends = dividends;
_delistings = delistings;
_symbolChangedEvents = symbolChanges;
}
/// <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(QuoteBars data)
{
SetHoldings(_symbol, 1);
return;
// only once per day
if (_previous.Date == Time.Date)
{
return;
}
if (!_macd.IsReady)
{
return;
}
var holding = Portfolio[_symbol];
var signalDeltaPercent = (_macd - _macd.Signal) / _macd.Fast;
var tolerance = 0.00025m;
// if our macd is greater than our signal, then let's go long
if (holding.Quantity <= 0 && signalDeltaPercent > tolerance) // 0.01%
{
// longterm says buy as well
SetHoldings(_symbol, 1.0);
}
// of our macd is less than our signal, then let's go short
else if (holding.Quantity >= 0 && signalDeltaPercent < -tolerance)
{
Liquidate(_symbol);
}
// plot both lines
Plot("MACD", _macd, _macd.Signal);
Plot(_symbol, "Open", data[_symbol].Open);
Plot(_symbol, _macd.Fast, _macd.Slow);
_previous = Time;
}
/// <summary>
/// Initializes a new instance used by the <see cref="PythonSlice"/>
/// </summary>
/// <param name="slice">slice object to wrap</param>
/// <remarks>This is required so that python slice enumeration works correctly since it relies on the private <see cref="_data"/> collection</remarks>
protected Slice(Slice slice)
{
Time = slice.Time;
_dataByType = slice._dataByType;
_data = slice._data;
HasData = slice.HasData;
_ticks = slice._ticks;
_bars = slice._bars;
_quoteBars = slice._quoteBars;
_optionChains = slice._optionChains;
_futuresChains = slice._futuresChains;
// auxiliary data
_splits = slice._splits;
_dividends = slice._dividends;
_delistings = slice._delistings;
_symbolChangedEvents = slice._symbolChangedEvents;
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains, FuturesChains futuresChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar)baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar)baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain)baseData;
break;
case MarketDataType.FuturesChain:
futuresChains[symbol] = (FuturesChain)baseData;
break;
}
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime, DateTimeZone algorithmTimeZone, CashBook cashBook, List <DataFeedPacket> data, SecurityChanges changes)
{
int count = 0;
var security = new List <UpdateData <Security> >();
var custom = new List <UpdateData <Security> >();
var consolidator = new List <UpdateData <SubscriptionDataConfig> >();
var allDataForAlgorithm = new List <BaseData>(data.Count);
var cash = new List <UpdateData <Cash> >(cashBook.Count);
var cashSecurities = new HashSet <Symbol>();
foreach (var cashItem in cashBook.Values)
{
cashSecurities.Add(cashItem.SecuritySymbol);
}
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var futuresChains = new FuturesChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
foreach (var packet in data)
{
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains, futuresChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (packet.Security.Type == SecurityType.Future)
{
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (!HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
var tick = baseData as Tick;
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
// check for 'cash securities' if we found valid update data for this symbol
// and we need this data to update cash conversion rates, long term we should
// have Cash hold onto it's security, then he can update himself, or rather, just
// patch through calls to conversion rate to compue it on the fly using Security.Price
if (cashSecurities.Contains(packet.Security.Symbol))
{
foreach (var cashKvp in cashBook)
{
if (cashKvp.Value.SecuritySymbol == packet.Security.Symbol)
{
var cashUpdates = new List <BaseData> {
securityUpdate[securityUpdate.Count - 1]
};
cash.Add(new UpdateData <Cash>(cashKvp.Value, packet.Configuration.Type, cashUpdates));
}
}
}
security.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, futuresChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, cash, security, consolidator, custom, changes));
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <param name="universeData"></param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public TimeSlice Create(DateTime utcDateTime,
List <DataFeedPacket> data,
SecurityChanges changes,
Dictionary <Universe, BaseDataCollection> universeData)
{
int count = 0;
var security = new List <UpdateData <ISecurityPrice> >(data.Count);
List <UpdateData <ISecurityPrice> > custom = null;
var consolidator = new List <UpdateData <SubscriptionDataConfig> >(data.Count);
var allDataForAlgorithm = new List <BaseData>(data.Count);
var optionUnderlyingUpdates = new Dictionary <Symbol, BaseData>();
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(_timeZone);
TradeBars tradeBars = null;
QuoteBars quoteBars = null;
Ticks ticks = null;
Splits splits = null;
Dividends dividends = null;
Delistings delistings = null;
OptionChains optionChains = null;
FuturesChains futuresChains = null;
SymbolChangedEvents symbolChanges = null;
UpdateEmptyCollections(algorithmTime);
if (universeData.Count > 0)
{
// count universe data
foreach (var kvp in universeData)
{
count += kvp.Value.Data.Count;
}
}
// ensure we read equity data before option data, so we can set the current underlying price
foreach (var packet in data)
{
// filter out packets for removed subscriptions
if (packet.IsSubscriptionRemoved)
{
continue;
}
var list = packet.Data;
var symbol = packet.Configuration.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
if (custom == null)
{
custom = new List <UpdateData <ISecurityPrice> >(1);
}
// This is all the custom data
custom.Add(new UpdateData <ISecurityPrice>(packet.Security, packet.Configuration.Type, list, packet.Configuration.IsInternalFeed));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
var containsFillForwardData = false;
for (var i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
containsFillForwardData |= baseData.IsFillForward;
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
var tick = baseData as Tick;
if (!packet.Configuration.IsInternalFeed)
{
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
if (ticks == null)
{
ticks = new Ticks(algorithmTime);
}
ticks.Add(baseData.Symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
if (tradeBars == null)
{
tradeBars = new TradeBars(algorithmTime);
}
var newTradeBar = (TradeBar)baseData;
TradeBar existingTradeBar;
// if we have an existing bar keep the highest resolution one
// e.g Hour and Minute resolution subscriptions for the same symbol
// see CustomUniverseWithBenchmarkRegressionAlgorithm
if (!tradeBars.TryGetValue(baseData.Symbol, out existingTradeBar) ||
existingTradeBar.Period > newTradeBar.Period)
{
tradeBars[baseData.Symbol] = newTradeBar;
}
break;
case MarketDataType.QuoteBar:
if (quoteBars == null)
{
quoteBars = new QuoteBars(algorithmTime);
}
var newQuoteBar = (QuoteBar)baseData;
QuoteBar existingQuoteBar;
// if we have an existing bar keep the highest resolution one
// e.g Hour and Minute resolution subscriptions for the same symbol
// see CustomUniverseWithBenchmarkRegressionAlgorithm
if (!quoteBars.TryGetValue(baseData.Symbol, out existingQuoteBar) ||
existingQuoteBar.Period > newQuoteBar.Period)
{
quoteBars[baseData.Symbol] = newQuoteBar;
}
break;
case MarketDataType.OptionChain:
if (optionChains == null)
{
optionChains = new OptionChains(algorithmTime);
}
optionChains[baseData.Symbol] = (OptionChain)baseData;
break;
case MarketDataType.FuturesChain:
if (futuresChains == null)
{
futuresChains = new FuturesChains(algorithmTime);
}
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
break;
}
// this is data used to update consolidators
// do not add it if it is a Suspicious tick
if (tick == null || !tick.Suspicious)
{
consolidatorUpdate.Add(baseData);
}
}
// special handling of options data to build the option chain
if (symbol.SecurityType.IsOption())
{
// internal feeds, like open interest, will not create the chain but will update it if it exists
// this is because the open interest could arrive at some closed market hours in which there is no other data and we don't
// want to generate a chain object in this case
if (optionChains == null && !packet.Configuration.IsInternalFeed)
{
optionChains = new OptionChains(algorithmTime);
}
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (optionChains != null && !HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture, optionUnderlyingUpdates))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (symbol.SecurityType == SecurityType.Future)
{
// internal feeds, like open interest, will not create the chain but will update it if it exists
// this is because the open interest could arrive at some closed market hours in which there is no other data and we don't
// want to generate a chain object in this case
if (futuresChains == null && !packet.Configuration.IsInternalFeed)
{
futuresChains = new FuturesChains(algorithmTime);
}
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (futuresChains != null && !HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
// option underlying security update
if (!packet.Configuration.IsInternalFeed)
{
optionUnderlyingUpdates[symbol] = baseData;
}
}
else if (!packet.Configuration.IsInternalFeed)
{
// include checks for various aux types so we don't have to construct the dictionaries in Slice
if ((delisting = baseData as Delisting) != null)
{
if (delistings == null)
{
delistings = new Delistings(algorithmTime);
}
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
if (dividends == null)
{
dividends = new Dividends(algorithmTime);
}
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
if (splits == null)
{
splits = new Splits(algorithmTime);
}
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
if (symbolChanges == null)
{
symbolChanges = new SymbolChangedEvents(algorithmTime);
}
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
}
if (securityUpdate.Count > 0)
{
security.Add(new UpdateData <ISecurityPrice>(packet.Security, packet.Configuration.Type, securityUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate, packet.Configuration.IsInternalFeed, containsFillForwardData));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars ?? _emptyTradeBars, quoteBars ?? _emptyQuoteBars, ticks ?? _emptyTicks, optionChains ?? _emptyOptionChains, futuresChains ?? _emptyFuturesChains, splits ?? _emptySplits, dividends ?? _emptyDividends, delistings ?? _emptyDelistings, symbolChanges ?? _emptySymbolChangedEvents, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, security, consolidator, custom ?? _emptyCustom, changes, universeData));
}
private DataUpdates(DateTime occuredutc, DataPoint[] dataPoints, Delistings delistings, Dividends dividends,
Earnings earnings, Financials financials, KeyStats keystats, QuoteBars quotebars, Splits splits,
TradeBars tradebars, TradingStatusUpdates tradingStatusUpdates,
Ticks ticks)
{
//TODO: for cloning this object (so it becomes immutable)
throw new NotImplementedException();
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar) baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar) baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain) baseData;
break;
}
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime, DateTimeZone algorithmTimeZone, CashBook cashBook, List<DataFeedPacket> data, SecurityChanges changes)
{
int count = 0;
var security = new List<UpdateData<Security>>();
var custom = new List<UpdateData<Security>>();
var consolidator = new List<UpdateData<SubscriptionDataConfig>>();
var allDataForAlgorithm = new List<BaseData>(data.Count);
var cash = new List<UpdateData<Cash>>(cashBook.Count);
var cashSecurities = new HashSet<Symbol>();
foreach (var cashItem in cashBook.Values)
{
cashSecurities.Add(cashItem.SecuritySymbol);
}
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy<Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
foreach (var packet in data)
{
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0) continue;
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData<Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List<BaseData>(list.Count);
var consolidatorUpdate = new List<BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain) baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
securityUpdate.Add(baseData);
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
// check for 'cash securities' if we found valid update data for this symbol
// and we need this data to update cash conversion rates, long term we should
// have Cash hold onto it's security, then he can update himself, or rather, just
// patch through calls to conversion rate to compue it on the fly using Security.Price
if (cashSecurities.Contains(packet.Security.Symbol))
{
foreach (var cashKvp in cashBook)
{
if (cashKvp.Value.SecuritySymbol == packet.Security.Symbol)
{
var cashUpdates = new List<BaseData> {securityUpdate[securityUpdate.Count - 1]};
cash.Add(new UpdateData<Cash>(cashKvp.Value, packet.Configuration.Type, cashUpdates));
}
}
}
security.Add(new UpdateData<Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData<SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return new TimeSlice(utcDateTime, count, slice, data, cash, security, consolidator, custom, changes);
}
public void OnData(QuoteBars data)
{
}
/// <summary>
/// Updates the stop-loss price of all open StopMarketOrders.
/// </summary>
public void UpdateTrailingStopOrders(QuoteBars data)
{
// Get all the spot-loss orders.
var openStopLossOrders = _portfolio.Transactions.GetOrderTickets(o => o.OrderType == OrderType.StopMarket && o.Status == OrderStatus.Submitted);
foreach (var ticket in openStopLossOrders)
{
var stopLossPrice = ticket.SubmitRequest.StopPrice;
var volatility = _portfolio.Securities[ticket.Symbol].VolatilityModel.Volatility;
var actualPrice = _portfolio.Securities[ticket.Symbol].Price;
// The StopLossOrder has the opposite direction of the original order.
var originalOrderDirection = ticket.Quantity > 0 ? OrderDirection.Sell : OrderDirection.Buy;
if (originalOrderDirection == OrderDirection.Sell)
{
actualPrice = data[ticket.Symbol].Ask.Close;
}
if (originalOrderDirection == OrderDirection.Buy)
{
actualPrice = data[ticket.Symbol].Bid.Close;
}
var newStopLossPrice = actualPrice + (volatility * (originalOrderDirection == OrderDirection.Buy ? -1 : 1));
var increment = _portfolio.Securities[ticket.Symbol].PriceVariationModel.GetMinimumPriceVariation(_portfolio.Securities[ticket.Symbol]);
if (increment != 0)
{
newStopLossPrice = Math.Round(newStopLossPrice / increment) * increment;
}
if ((originalOrderDirection == OrderDirection.Buy && newStopLossPrice > stopLossPrice) ||
(originalOrderDirection == OrderDirection.Sell && newStopLossPrice < stopLossPrice))
{
/*
* if (originalOrderDirection == OrderDirection.Sell && data[ticket.Symbol].Ask.Close < System.Convert.ToDecimal(ticket.SubmitRequest.Tag))
* {
* if(newStopLossPrice>System.Convert.ToDecimal(ticket.SubmitRequest.Tag))
* {
* newStopLossPrice = System.Convert.ToDecimal(ticket.SubmitRequest.Tag);
* }
* }
* if (originalOrderDirection == OrderDirection.Buy && data[ticket.Symbol].Bid.Close > System.Convert.ToDecimal(ticket.SubmitRequest.Tag))
* {
* //price is on right direction
* if(newStopLossPrice<System.Convert.ToDecimal(ticket.SubmitRequest.Tag))
* {
* newStopLossPrice = System.Convert.ToDecimal(ticket.SubmitRequest.Tag);
* }
* }
*/
ticket.Update(new UpdateOrderFields {
Quantity = -(_portfolio[ticket.Symbol].Quantity), StopPrice = newStopLossPrice
});
}
else if (!_portfolio[ticket.Symbol].Invested)
{
ticket.Cancel();
}
else if (Math.Abs(_portfolio[ticket.Symbol].Quantity) != Math.Abs(ticket.Quantity))
{
ticket.Update(new UpdateOrderFields {
Quantity = -(_portfolio[ticket.Symbol].Quantity)
});
}
}
}
/// <summary>
/// Creates a new <see cref="TimeSlice"/> for the specified time using the specified data
/// </summary>
/// <param name="utcDateTime">The UTC frontier date time</param>
/// <param name="algorithmTimeZone">The algorithm's time zone, required for computing algorithm and slice time</param>
/// <param name="cashBook">The algorithm's cash book, required for generating cash update pairs</param>
/// <param name="data">The data in this <see cref="TimeSlice"/></param>
/// <param name="changes">The new changes that are seen in this time slice as a result of universe selection</param>
/// <param name="universeData"></param>
/// <returns>A new <see cref="TimeSlice"/> containing the specified data</returns>
public static TimeSlice Create(DateTime utcDateTime,
DateTimeZone algorithmTimeZone,
CashBook cashBook,
List <DataFeedPacket> data,
SecurityChanges changes,
Dictionary <Universe, BaseDataCollection> universeData)
{
int count = 0;
var security = new List <UpdateData <Security> >();
var custom = new List <UpdateData <Security> >();
var consolidator = new List <UpdateData <SubscriptionDataConfig> >();
var allDataForAlgorithm = new List <BaseData>(data.Count);
var optionUnderlyingUpdates = new Dictionary <Symbol, BaseData>();
Split split;
Dividend dividend;
Delisting delisting;
SymbolChangedEvent symbolChange;
// we need to be able to reference the slice being created in order to define the
// evaluation of option price models, so we define a 'future' that can be referenced
// in the option price model evaluation delegates for each contract
Slice slice = null;
var sliceFuture = new Lazy <Slice>(() => slice);
var algorithmTime = utcDateTime.ConvertFromUtc(algorithmTimeZone);
var tradeBars = new TradeBars(algorithmTime);
var quoteBars = new QuoteBars(algorithmTime);
var ticks = new Ticks(algorithmTime);
var splits = new Splits(algorithmTime);
var dividends = new Dividends(algorithmTime);
var delistings = new Delistings(algorithmTime);
var optionChains = new OptionChains(algorithmTime);
var futuresChains = new FuturesChains(algorithmTime);
var symbolChanges = new SymbolChangedEvents(algorithmTime);
if (universeData.Count > 0)
{
// count universe data
foreach (var kvp in universeData)
{
count += kvp.Value.Data.Count;
}
}
// ensure we read equity data before option data, so we can set the current underlying price
foreach (var packet in data)
{
// filter out packets for removed subscriptions
if (packet.IsSubscriptionRemoved)
{
continue;
}
var list = packet.Data;
var symbol = packet.Security.Symbol;
if (list.Count == 0)
{
continue;
}
// keep count of all data points
if (list.Count == 1 && list[0] is BaseDataCollection)
{
var baseDataCollectionCount = ((BaseDataCollection)list[0]).Data.Count;
if (baseDataCollectionCount == 0)
{
continue;
}
count += baseDataCollectionCount;
}
else
{
count += list.Count;
}
if (!packet.Configuration.IsInternalFeed && packet.Configuration.IsCustomData)
{
// This is all the custom data
custom.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, list));
}
var securityUpdate = new List <BaseData>(list.Count);
var consolidatorUpdate = new List <BaseData>(list.Count);
for (int i = 0; i < list.Count; i++)
{
var baseData = list[i];
if (!packet.Configuration.IsInternalFeed)
{
// this is all the data that goes into the algorithm
allDataForAlgorithm.Add(baseData);
}
// don't add internal feed data to ticks/bars objects
if (baseData.DataType != MarketDataType.Auxiliary)
{
if (!packet.Configuration.IsInternalFeed)
{
PopulateDataDictionaries(baseData, ticks, tradeBars, quoteBars, optionChains, futuresChains);
// special handling of options data to build the option chain
if (packet.Security.Type == SecurityType.Option)
{
if (baseData.DataType == MarketDataType.OptionChain)
{
optionChains[baseData.Symbol] = (OptionChain)baseData;
}
else if (!HandleOptionData(algorithmTime, baseData, optionChains, packet.Security, sliceFuture, optionUnderlyingUpdates))
{
continue;
}
}
// special handling of futures data to build the futures chain
if (packet.Security.Type == SecurityType.Future)
{
if (baseData.DataType == MarketDataType.FuturesChain)
{
futuresChains[baseData.Symbol] = (FuturesChain)baseData;
}
else if (!HandleFuturesData(algorithmTime, baseData, futuresChains, packet.Security))
{
continue;
}
}
// this is data used to update consolidators
consolidatorUpdate.Add(baseData);
}
// this is the data used set market prices
// do not add it if it is a Suspicious tick
var tick = baseData as Tick;
if (tick != null && tick.Suspicious)
{
continue;
}
securityUpdate.Add(baseData);
// option underlying security update
if (packet.Security.Symbol.SecurityType == SecurityType.Equity)
{
optionUnderlyingUpdates[packet.Security.Symbol] = baseData;
}
}
// include checks for various aux types so we don't have to construct the dictionaries in Slice
else if ((delisting = baseData as Delisting) != null)
{
delistings[symbol] = delisting;
}
else if ((dividend = baseData as Dividend) != null)
{
dividends[symbol] = dividend;
}
else if ((split = baseData as Split) != null)
{
splits[symbol] = split;
}
else if ((symbolChange = baseData as SymbolChangedEvent) != null)
{
// symbol changes is keyed by the requested symbol
symbolChanges[packet.Configuration.Symbol] = symbolChange;
}
}
if (securityUpdate.Count > 0)
{
security.Add(new UpdateData <Security>(packet.Security, packet.Configuration.Type, securityUpdate));
}
if (consolidatorUpdate.Count > 0)
{
consolidator.Add(new UpdateData <SubscriptionDataConfig>(packet.Configuration, packet.Configuration.Type, consolidatorUpdate));
}
}
slice = new Slice(algorithmTime, allDataForAlgorithm, tradeBars, quoteBars, ticks, optionChains, futuresChains, splits, dividends, delistings, symbolChanges, allDataForAlgorithm.Count > 0);
return(new TimeSlice(utcDateTime, count, slice, data, security, consolidator, custom, changes, universeData));
}