/// <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(",CurrentBar,Time,Price,smooth,low,i1,cycle0,cycle1,cycle2,fish,medianDelta,DC,instaperiod, v2,DCPeriod,realpart,imagpart,dcphase");
mylog.Debug(ondataheader);
//mylog.Debug(",Time,CurrentBar,Direction,TradeProfit,,Price,Profit,HoldingCost,FillQty,Fees,TransAmt");
//mylog.Debug(transheader);
//Initialize
SetStartDate(2015, 05, 12);
SetEndDate(2015, 05, 12);
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);
_indicators = new AlgoIndicators
{
//BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
//MOMP = MOMP(_symbol, 20, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
//MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
//MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
//open = new WindowIndicator<IndicatorDataPoint>(4)
//Ft = FT(_symbol, samplesize, Resolution.Minute),
//Rvi = RVI(_symbol, samplesize, Resolution.Minute)
};
//open = new RollingWindow<IndicatorDataPoint>(samplesize);
//close = new RollingWindow<IndicatorDataPoint>(samplesize);
//high = new RollingWindow<IndicatorDataPoint>(samplesize);
//low = new RollingWindow<IndicatorDataPoint>(samplesize);
//i1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//instperiod = new RollingWindow<IndicatorDataPoint>(samplesize);
//v2 = new RollingWindow<IndicatorDataPoint>(samplesize);
//v1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//Rvi = new RollingWindow<IndicatorDataPoint>(samplesize);
unrealized = new RollingWindow<IndicatorDataPoint>(samplesize);
iFishes = new RollingWindow<IndicatorDataPoint>(samplesize);
RsiHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
//Signal = new RollingWindow<IndicatorDataPoint>(samplesize);
//maxRvi = new Maximum("RVI_Max", samplesize);
//minRvi = new Minimum("RVi_Min", samplesize);
//maxSignal = new Maximum("Sig_Max", samplesize);
//minSignal = new Minimum("Sig_Min", samplesize);
fish = new FisherTransform(samplesize);
ifish = new InverseFisherTransform(samplesize);
//Crossing = new RollingWindow<IndicatorDataPoint>(samplesize);
//FisherHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
Rvi = new RelativeVigorIndex(_symbol, samplesize);
for (int x = 0; x < samplesize; x++)
{
//open.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//close.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//high.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//low.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//i1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//instperiod.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v2.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Rvi.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
unrealized.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
iFishes.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Signal.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Crossing.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()
{
//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);
}