public override void OnSecuritiesChanged(SecurityChanges changes)
{
foreach (var tmp in UniverseManager.ActiveSecurities)
{
Symbol _symbol = tmp.Key;
if (!allSymbols.ContainsKey(_symbol))
{
IndicatorSet iSet = new IndicatorSet(this, _symbol, strategySignals);
iSet.AddIndicators();
allSymbols.Add(_symbol, iSet);
Streaks.Add(_symbol, new Streak());
if (DoDebug)
{
Debug("Added instrument: " + _symbol.Value.ToString());
}
}
}
_universeChanges = changes;
foreach (var tmp in changes.RemovedSecurities)
{
Liquidate(tmp.Symbol, "Removed");
}
}
public void OnData(TradeBars data)
{
int ntpCount = 0; //Need to purchase count
foreach (var tmp in data)
{
string name = tmp.Key.ToString();
Symbol symbol = tmp.Key;
if (symbol.Value.ToString() == "SPY")
{
continue;
}
decimal price = tmp.Value.Close;
int[] status = allSymbols[symbol].Status();
if (DoDebug)
{
IndicatorSet iSet = allSymbols[symbol]; iSet.Plot();
}
if (symbol.Value.ToString() == "AAPL")
{
allSymbols[symbol].Plot();
}
int count = 0;
for (int i = 0; i < strategySignals.Length; i++)
{
if (strategySignals[i])
{
count += status[i]; Log(status[i]);
} //If indicator applied to strategy
}
//Check if count exceed minimal signals count
int ntp = 0;
if ((count >= StrategyMinimalSignalsCount) && !Portfolio[symbol].Invested)
{
ntp = 1; ntpCount++;
}
else if ((count < 0) && Portfolio[symbol].Invested)
{
ntp = -1;
}
needToPurchase[symbol] = ntp;
}
int investedCount = 0;
if (Portfolio.HoldStock)
{
foreach (var val in Portfolio)
{
Symbol nm = val.Key;
if ((Portfolio[nm].Invested) && (needToPurchase[nm] == 0))
{
investedCount++;
}
if ((Portfolio[nm].Invested) && (needToPurchase[nm] < 0))
{
investedCount--;
Liquidate(nm, allSymbols[nm].ToString());
}
}
}
int totalCount = investedCount + ntpCount;
foreach (var tmp in needToPurchase)
{
if (tmp.Value > 0)
{
SetHoldings(tmp.Key, 1.0 / (totalCount));
}
}
needToPurchase.Clear();
}
