/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a quote bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(BaseData data)
{
QuoteBar working;
var tick = data as Tick;
var qty = tick == null ? 0 : tick.Quantity;
var bidPrice = tick == null ? data.Value : tick.BidPrice;
var askPrice = tick == null ? data.Value : tick.AskPrice;
var bidSize = tick == null ? 0m : tick.BidSize;
var askSize = tick == null ? 0m : tick.AskSize;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new QuoteBar();
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
working.Period = _barSize;
working.Time = barStartTime;
working.Symbol = data.Symbol;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
// we're still within this bar size's time
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
}
}
public void FillsForwardBidAskBars()
{
var bar1 = new QuoteBar
{
Bid = new Bar(3m, 4m, 1m, 2m),
Ask = new Bar(3.1m, 4.1m, 1.1m, 2.1m),
};
var bar2 = new QuoteBar
{
Bid = null,
Ask = null,
};
var data = new[] { bar1, bar2 }.ToList();
var enumerator = data.GetEnumerator();
var fillForwardEnumerator = new QuoteBarFillForwardEnumerator(enumerator);
// 9:31
Assert.IsTrue(fillForwardEnumerator.MoveNext());
var quoteBar1 = (QuoteBar)fillForwardEnumerator.Current;
Assert.AreSame(bar1.Bid, quoteBar1.Bid);
Assert.AreSame(bar1.Ask, quoteBar1.Ask);
// 9:32
Assert.IsTrue(fillForwardEnumerator.MoveNext());
var quoteBar2 = (QuoteBar)fillForwardEnumerator.Current;
Assert.AreSame(quoteBar1.Bid, quoteBar2.Bid);
Assert.AreSame(quoteBar1.Ask, quoteBar2.Ask);
fillForwardEnumerator.Dispose();
}
public void AccessesByDataType()
{
var now = DateTime.UtcNow;
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = now
};
var unlinkedData = new UnlinkedData {
Symbol = Symbols.SPY, Time = now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = now
};
var tick = new Tick(now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var openInterest = new OpenInterest(now, Symbols.SPY, 1);
var split = new Split(Symbols.SPY, now, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, now, 1, DelistingType.Delisted);
var slice = new Slice(now, new BaseData[] { quoteBar, tradeBar, unlinkedData, tick, split, delisting, openInterest });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(UnlinkedData))[Symbols.SPY], unlinkedData);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
Assert.AreEqual(slice.Get(typeof(OpenInterest))[Symbols.SPY], openInterest);
}
public void AdjustQuoteBar()
{
var qb = new QuoteBar(
new DateTime(2018, 1, 1),
_config.Symbol,
new Bar(10, 10, 10, 10),
100,
new Bar(10, 10, 10, 10),
100);
var factor = 0.5m;
var adjustedQb = qb.Clone(qb.IsFillForward).Adjust(_factor);
Assert.AreEqual(qb.Value, qb.Close);
// bid
Assert.AreEqual(qb.Bid.Open * _factor, (adjustedQb as QuoteBar).Bid.Open);
Assert.AreEqual(qb.Bid.Close * _factor, (adjustedQb as QuoteBar).Bid.Close);
Assert.AreEqual(qb.Bid.High * _factor, (adjustedQb as QuoteBar).Bid.High);
Assert.AreEqual(qb.Bid.Low * _factor, (adjustedQb as QuoteBar).Bid.Low);
// ask
Assert.AreEqual(qb.Ask.Open * _factor, (adjustedQb as QuoteBar).Ask.Open);
Assert.AreEqual(qb.Ask.Close * _factor, (adjustedQb as QuoteBar).Ask.Close);
Assert.AreEqual(qb.Ask.High * _factor, (adjustedQb as QuoteBar).Ask.High);
Assert.AreEqual(qb.Ask.Low * _factor, (adjustedQb as QuoteBar).Ask.Low);
}
public void LatestPriceFillModel_UsesLatestPrice()
{
var symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, "GDAX");
var time = new DateTime(2017, 1, 3, 0, 0, 0);
var nextTime = time.AddSeconds(1);
var quote = new QuoteBar(time, symbol, new Bar(1, 1, 1, 1), 1, new Bar(2, 2, 2, 2), 2);
var trade = new TradeBar(nextTime, symbol, 3, 3, 3, 3, 3);
var cryptoSecurity = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new SubscriptionDataConfig(typeof(QuoteBar), symbol, Resolution.Second, TimeZones.Utc, TimeZones.Utc, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
cryptoSecurity.Cache.AddData(quote);
cryptoSecurity.Cache.AddData(trade);
var price = _fillModel.GetPrices(cryptoSecurity, OrderDirection.Sell);
Assert.AreEqual(3, price.Open);
Assert.AreEqual(3, price.High);
Assert.AreEqual(3, price.Low);
Assert.AreEqual(3, price.Close);
Assert.AreEqual(3, price.Current);
}
public void AccessesByDataType()
{
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.UtcNow
};
var quandl = new Quandl {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var tick = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split = new Split(Symbols.SPY, DateTime.UtcNow, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, DateTime.UtcNow, 1, DelistingType.Delisted);
var slice = new Slice(DateTime.UtcNow, new BaseData[] { quoteBar, tradeBar, quandl, tick, split, delisting });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(Quandl))[Symbols.SPY], quandl);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
}
public void PythonSlice_get_default()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from clr import AddReference
AddReference(""QuantConnect.Common"")
from QuantConnect import *
def Test(slice, symbol, default_value):
return slice.get(symbol, default_value)").GetAttr("Test");
var pythonSlice = GetPythonSlice();
var expected = new QuoteBar {
Symbol = Symbols.EURUSD, Time = DateTime.Now, Value = 9
};
PyObject result = null;
Assert.DoesNotThrow(() => result = test(GetPythonSlice(), Symbols.EURUSD, expected));
BaseData actual;
Assert.IsTrue(result.TryConvert(out actual));
Assert.AreEqual(expected.Symbol, actual.Symbol);
Assert.AreEqual(expected.Value, actual.Value);
}
}
public void EquitiesIgnoreQuoteBars()
{
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var slice = new Slice(DateTime.Now, new[] { quoteBar });
Assert.IsFalse(slice.HasData);
Assert.IsTrue(slice.ToList().Count == 0);
Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
Assert.Throws <KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
Assert.AreEqual(0, slice.Count);
var tickQuoteBar = new Tick {
Symbol = Symbols.SPY, Time = DateTime.Now, TickType = TickType.Quote
};
slice = new Slice(DateTime.Now, new[] { tickQuoteBar });
Assert.IsFalse(slice.HasData);
Assert.IsTrue(slice.ToList().Count == 0);
Assert.IsFalse(slice.ContainsKey(Symbols.SPY));
Assert.Throws <KeyNotFoundException>(() => { var data = slice[Symbols.SPY]; });
Assert.AreEqual(0, slice.Count);
}
private void OnFiveMinutes(object sender, QuoteBar consolidated)
{
if (!_alma.IsReady || !_psar.IsReady)
{
return;
}
if (!Portfolio[symbol].HoldStock)
{
if (consolidated.Close < _alma && _psar > consolidated.High)
{
SetHoldings(symbol, -1m);
}
else if (consolidated.Close > _alma && _psar < consolidated.Low)
{
SetHoldings(symbol, 1m);
}
}
else
{
if (Portfolio[symbol].IsLong && consolidated.Close < _psar)
{
SetHoldings(symbol, 0m);
}
else if (Portfolio[symbol].IsShort && consolidated.Close > _psar)
{
SetHoldings(symbol, 0m);
}
}
}
private void DataConsolidated(object sender, QuoteBar e)
{
var quantity = Math.Truncate((Portfolio.Cash + Portfolio.TotalFees) / Math.Abs(e.Value + 1));
if (!Portfolio.Invested)
{
Order("BTCUSD", quantity);
}
else if (Portfolio["BTCUSD"].Quantity == quantity)
{
Order("BTCUSD", 0.1);
}
else if (Portfolio["BTCUSD"].Quantity == quantity + 0.1m)
{
Order("BTCUSD", 0.01);
}
else if (Portfolio["BTCUSD"].Quantity == quantity + 0.11m)
{
Order("BTCUSD", -0.02);
}
else if (Portfolio["BTCUSD"].Quantity == quantity + 0.09m)
{
//should fail
Order("BTCUSD", 0.001);
SetHoldings("BTCUSD", -2.0m);
SetHoldings("BTCUSD", 2.0m);
Quit();
}
}
public void RemovePendingLimitOrders(QuoteBar data = null)
{
foreach (var tradeProfile in _tradeProfiles.Where((oe) => oe.OpenTicket.OrderType == OrderType.Limit))
{
var timeComparison = data == null ? 1 : -1;
if (data != null)
{
var orderEvent = tradeProfile.OpenTicket.OrderEvents.First();
var endTime = data.EndTime.ToUniversalTime();
var orderEventTime = orderEvent.UtcTime.Subtract(TimeSpan.FromHours(6));
var span = endTime.Subtract(orderEventTime);
timeComparison = span.CompareTo(TimeSpan.FromMinutes(45));
}
if (tradeProfile.OpenTicket.Status != OrderStatus.Filled && timeComparison >= 0)
{
try
{
tradeProfile.OpenTicket.Cancel();
tradeProfile.StopTicket.Cancel();
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
tradeProfile.IsTradeFinished = true;
}
}
}
private void MessageEvent(string json)
{
if (SymbolUpdate == default)
{
return;
}
JArray jArray = JArray.Parse(json);
string ticker = jArray[0].ToString();
json = jArray[1].ToString();
JObject jo = JObject.Parse(json);
long updated = (long)jo["Updated"];
DateTime utcTime = Support.ToTime(updated);
string ticker2 = jo["Symbol"].ToString();
string rates = jo["Rates"].ToString();
JArray jRates = JArray.Parse(rates);
decimal bid = jRates[0].ToDecimal();
decimal ask = jRates[1].ToDecimal();
decimal high = jRates[2].ToDecimal();
decimal low = jRates[3].ToDecimal();
var bidBar = new Bar(0, 0, 0, bid);
var askBar = new Bar(0, 0, 0, ask);
var symbol = Symbol.Create(ticker, SecurityType.Forex, Support.Market);
var quoteBar = new QuoteBar(utcTime, symbol, bidBar, 0, askBar, 0);
SymbolUpdate(quoteBar);
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns>
/// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
/// </returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created. </exception>
public bool MoveNext()
{
if (!_enumerator.MoveNext())
{
return(false);
}
var bar = _enumerator.Current as QuoteBar;
if (bar != null)
{
if (_previous != null)
{
if (bar.Bid == null)
{
bar.Bid = _previous.Bid;
}
if (bar.Ask == null)
{
bar.Ask = _previous.Ask;
}
}
_previous = bar;
}
Current = _enumerator.Current;
return(true);
}
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 ThrowsWhenPeriodIsSmallerThanDataPeriod()
{
QuoteBar quoteBar = null;
using var creator = new QuoteBarConsolidator(Time.OneHour);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var time = new DateTime(2022, 6, 6, 13, 30, 1);
var bar1 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0,
Value = 1,
Period = TimeSpan.FromDays(1)
};
Assert.Throws <ArgumentException>(() => creator.Update(bar1));
}
public void AdjustQuoteBarUsingConfig()
{
var qb = new QuoteBar(
new DateTime(2018, 1, 1),
_config.Symbol,
new Bar(10, 10, 10, 10),
100,
new Bar(10, 10, 10, 10),
100);
var adjustedQb = qb.Clone(qb.IsFillForward).Normalize(_config);
Assert.AreEqual(qb.Value, qb.Close);
// bid
Assert.AreEqual(qb.Bid.Open * _factor, (adjustedQb as QuoteBar).Bid.Open);
Assert.AreEqual(qb.Bid.Close * _factor, (adjustedQb as QuoteBar).Bid.Close);
Assert.AreEqual(qb.Bid.High * _factor, (adjustedQb as QuoteBar).Bid.High);
Assert.AreEqual(qb.Bid.Low * _factor, (adjustedQb as QuoteBar).Bid.Low);
Assert.AreEqual(qb.LastBidSize / _factor, (adjustedQb as QuoteBar).LastBidSize);
// ask
Assert.AreEqual(qb.Ask.Open * _factor, (adjustedQb as QuoteBar).Ask.Open);
Assert.AreEqual(qb.Ask.Close * _factor, (adjustedQb as QuoteBar).Ask.Close);
Assert.AreEqual(qb.Ask.High * _factor, (adjustedQb as QuoteBar).Ask.High);
Assert.AreEqual(qb.Ask.Low * _factor, (adjustedQb as QuoteBar).Ask.Low);
Assert.AreEqual(qb.LastAskSize / _factor, (adjustedQb as QuoteBar).LastAskSize);
}
public void RespectsWritePolicy(WritePolicy?writePolicy, Resolution resolution)
{
var filePath = LeanData.GenerateZipFilePath(_dataDirectory, _crypto, _date, resolution, TickType.Quote);
if (File.Exists(filePath))
{
File.Delete(filePath);
}
var loopCount = 3;
var dataPointsPerLoop = 2;
for (var i = 0; i < loopCount; i++)
{
var leanDataWriter = new LeanDataWriter(resolution, _crypto, _dataDirectory, TickType.Quote, writePolicy: writePolicy);
var quoteBar = new QuoteBar(Parse.DateTime("3/16/2017 12:00:00 PM").AddHours(i), _crypto, new Bar(1m, 2m, 3m, 4m), 1,
new Bar(5m, 6m, 7m, 8m), 2);
// same quote twice! it has the same time, so it will be dropped when merging
leanDataWriter.Write(Enumerable.Repeat(quoteBar, dataPointsPerLoop));
Assert.IsTrue(File.Exists(filePath));
Assert.IsFalse(File.Exists(filePath + ".tmp"));
}
var data = QuantConnect.Compression.Unzip(filePath).First().Value;
switch (writePolicy)
{
case WritePolicy.Overwrite:
Assert.AreEqual(dataPointsPerLoop, data.Count);
break;
case WritePolicy.Merge:
Assert.AreEqual(loopCount, data.Count);
break;
case WritePolicy.Append:
Assert.AreEqual(dataPointsPerLoop * loopCount, data.Count);
break;
case null:
if (resolution >= Resolution.Hour)
{
// will merge by default
Assert.AreEqual(loopCount, data.Count);
}
else
{
// overwrite
Assert.AreEqual(dataPointsPerLoop, data.Count);
}
break;
default:
throw new ArgumentOutOfRangeException(nameof(writePolicy), writePolicy, null);
}
}
public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnCount()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(2);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 0,
BidPrice = 24,
};
creator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 25,
BidPrice = 0,
};
creator.Update(tick2);
// bar 1 emitted
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Close);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 36,
BidPrice = 35,
};
creator.Update(tick3);
creator.Update(tick3);
// bar 2 emitted
// ask is from tick 2
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
// bid is from tick 1
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
Assert.AreEqual(tick3.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
}
public void QuoteBarParseDoesNotScaleOptionsWithNonEquityUnderlying()
{
var factory = new QuoteBar();
var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19));
var optionSymbol = Symbol.CreateOption(
underlying,
QuantConnect.Market.CME,
OptionStyle.American,
OptionRight.Put,
4200m,
SecurityIdentifier.DefaultDate);
var config = new SubscriptionDataConfig(
typeof(QuoteBar),
optionSymbol,
Resolution.Minute,
TimeZones.Chicago,
TimeZones.Chicago,
true,
false,
false,
false,
TickType.Quote,
true,
DataNormalizationMode.Raw);
var quoteLine = "40560000,1.0,1.5,1.0,1.5,90.0,1.0,1.5,1.0,1.5,100.0";
var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(quoteLine)));
var unscaledQuoteBarFromLine = (QuoteBar)factory.Reader(config, quoteLine, new DateTime(2020, 9, 22), false);
var unscaledQuoteBarFromStream = (QuoteBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromLine.EndTime);
Assert.AreEqual(optionSymbol, unscaledQuoteBarFromLine.Symbol);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.High);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.Close);
Assert.AreEqual(90m, unscaledQuoteBarFromLine.LastBidSize);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.High);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.Close);
Assert.AreEqual(100m, unscaledQuoteBarFromLine.LastAskSize);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromStream.EndTime);
Assert.AreEqual(optionSymbol, unscaledQuoteBarFromStream.Symbol);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.High);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.Close);
Assert.AreEqual(90m, unscaledQuoteBarFromStream.LastBidSize);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.High);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.Close);
Assert.AreEqual(100m, unscaledQuoteBarFromStream.LastAskSize);
}
public void EnterTradeSignal(QuoteBar data, bool isWarmingUp)
{
EnterSignal.Scan(data);
if (!isWarmingUp && IsTradable &&
(EnterSignal.Signal == SignalType.Long || EnterSignal.Signal == SignalType.Short) &&
_security.Exchange.ExchangeOpen)
{
//Creates a new trade profile once it enters a trade
var profile = new TradeProfile(_symbol, _security.VolatilityModel.Volatility, _risk, data.Price, _maximumTradeSize);
if (!profile.IsSpreadTradable(data))
{
return;
}
profile.ExitSignal = ExitSignal.ExitSignalFactory(profile);
if (profile.Quantity > 0 && _tradeProfiles.Count == 0)
{
var hmmPrediction = 1m;// _hmmPositionSizing.PredictionRisk();
var quantity = (int)((int)EnterSignal.Signal * profile.Quantity * hmmPrediction);
var askLimit = data.Ask.Close - (1m / 10000m);
var bidLimit = data.Bid.Close + (1m / 10000m);
var limitPrice = EnterSignal.Signal == SignalType.Long ? askLimit : bidLimit;
try
{
profile.OpenTicket = _orderMethods.MarketOrder(_symbol, quantity, false, ((int)EnterSignal.Signal).ToString());
//profile.OpenTicket = _orderMethods.LimitOrder(_symbol, quantity, OrderUtil.RoundOrderPrices(_security, limitPrice), ((int)EnterSignal.Signal).ToString());
var stopPrice = data.Close - (int)EnterSignal.Signal * profile.DeltaStopLoss;
profile.StopTicket = _orderMethods.StopMarketOrder(_symbol, -quantity, OrderUtil.RoundOrderPrices(_security, stopPrice));
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
//var stopPrice = profile.OpenTicket.AverageFillPrice - (int)EnterSignal.Signal * profile.DeltaStopLoss;
/*Console.WriteLine("{0} {1} {2} {3}",
* profile.OpenTicket.OrderEvents.Select((oe) => oe.Direction).First() == OrderDirection.Buy ? "Buy " : "Sell",
* profile.OpenTicket.AverageFillPrice,
* profile.StopTicket.Get(OrderField.StopPrice),
* Math.Abs(data.Ask.Close - data.Bid.Close) * 10000
* );*/
/*profile.StopTicket = _orderMethods.StopLimitOrder(_symbol, -(int) EnterSignal.Signal * profile.Quantity,
* profile.OpenTicket.AverageFillPrice - (int) EnterSignal.Signal * profile.DeltaStopLoss,
* profile.OpenTicket.AverageFillPrice - (int) EnterSignal.Signal * profile.DeltaStopLoss);*/
_tradeProfiles.Add(profile);
}
}
}
public void PlotSignal(QuoteBar current, int prediction, double logLikelihood)
{
Plot("Prediction", "Pred", prediction);
Plot("Probability", "Prob", logLikelihood);
Plot("Plotter", "Price", current.Value);
Plot("Plotter", "EMA", _ema[current.Symbol]);
Plot("Plotter", "Prediction", prediction);
Plot("Plotter", "Probability", logLikelihood);
}
public void ExitTradeSignal(QuoteBar data)
{
foreach (var tradeProfile in _tradeProfiles.Where(x => !x.IsTradeFinished))
{
tradeProfile.ExitSignal.Scan(data);
var timedExit = false;
try
{
var orderEvent = tradeProfile.OpenTicket.OrderEvents.FirstOrDefault((oe) => oe.Status == OrderStatus.Filled);
if (orderEvent != null)
{
var endTime = data.EndTime.ToUniversalTime();
var orderEventTime = orderEvent.UtcTime.Subtract(TimeSpan.FromHours(6));
var span = endTime.Subtract(orderEventTime);
var timeComparison = span.CompareTo(TimeSpan.FromMinutes(270));
// TODO: Timed Exit
//timedExit = timeComparison > 0 && OrderUtil.IsUnprofitable(data.Close, orderEvent);
}
}
catch (Exception ex)
{
Console.Error.WriteLine(ex);
}
if ((tradeProfile.ExitSignal.Signal == SignalType.Exit ||
EnterSignal.Signal == SignalType.Exit || EnterSignal.Signal == SignalType.Reverse || timedExit) &&
tradeProfile.StopTicket.Status != OrderStatus.Filled &&
_security.Exchange.ExchangeOpen)
{
try {
//Console.WriteLine("Quantity: {0}", tradeProfile.OpenTicket.QuantityFilled);
if (tradeProfile.OpenTicket.QuantityFilled != 0)
{
tradeProfile.ExitTicket = _orderMethods.MarketOrder(_symbol, -(int)tradeProfile.OpenTicket.QuantityFilled, false, ((int)EnterSignal.Signal).ToString());
//tradeProfile.ExitTicket = _orderMethods.LimitOrder(_symbol, -(int) tradeProfile.OpenTicket.QuantityFilled, data.Price);
}
else
{
tradeProfile.OpenTicket.Cancel();
}
tradeProfile.StopTicket.Cancel();
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
tradeProfile.IsTradeFinished = true;
}
}
}
public void Scan(QuoteBar data)
{
/*if (Signal == SignalType.PendingLong && data.Close > _shortTermMA)
* {
* Signal = SignalType.Long;
* }
* else if (Signal == SignalType.PendingShort && data.Close < _shortTermMA)
* {
* Signal = SignalType.Short;
* }*/
}
public void Scan(QuoteBar data)
{
if (_tradeProfile.ProfitLossRatio > _targetProfitLossRatio)
{
Signal = SignalType.Exit;
}
else
{
Signal = SignalType.NoSignal;
}
}
public void PlotSignal(QuoteBar current, decimal ema, decimal slope, decimal stc, decimal stoch, int prediction, int signal)
{
Plot("Plotter", "Close", current.Close);
Plot("Plotter", "EMA", ema);
Plot("Plotter", "Diff", (current.Close - ema) * 10000m);
Plot("Plotter", "Slope", slope);
Plot("Plotter", "STC", stc);
Plot("Plotter", "STOCH", stoch);
Plot("Plotter", "Prediction", prediction);
Plot("Plotter", "Signal", signal);
}
public void Setup()
{
var time = new DateTime(2017, 1, 3, 0, 0, 0);
var nextTime = time.AddSeconds(1);
_symbol = Symbol.Create("BTCUSD", SecurityType.Crypto, "GDAX");
_quote = new QuoteBar(time, _symbol, new Bar(1, 1, 1, 1), 1, new Bar(2, 2, 2, 2), 2);
_trade = new TradeBar(nextTime, _symbol, 3, 3, 3, 3, 3);
_fillModel = new TestableLatestFillModel();
}
private static void UpdateContract(FuturesContract contract, QuoteBar quote)
{
if (quote.Ask != null && quote.Ask.Close != 0m)
{
contract.AskPrice = quote.Ask.Close;
contract.AskSize = (long)quote.LastAskSize;
}
if (quote.Bid != null && quote.Bid.Close != 0m)
{
contract.BidPrice = quote.Bid.Close;
contract.BidSize = (long)quote.LastBidSize;
}
}
/// <summary>
/// Immediately submits orders for the specified portfolio targets.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets to be ordered</param>
public override void Execute(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
{
//So target.Quantity represents the ABSOLUTE holding value in the portfolio (usually based on indicator magnitude)
// - the execution model should seek to bring the portfolio in line with it.
_targetsCollection.AddRange(targets);
foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
{
//only care about derivatives
if (!target.Symbol.HasUnderlying)
{
continue;
}
var existing = algorithm.Securities[target.Symbol].Holdings.Quantity
+ algorithm.Transactions.GetOpenOrders(target.Symbol).Sum(o => o.Quantity);
decimal quantity = target.Quantity - existing;
if (quantity != 0)
{
if (target.Quantity == 0)
{
//CLOSING a position, we want to do so immediately
//TODO: maybe skew it?
algorithm.MarketOrder(target.Symbol, quantity);
}
else if (MinutesTilClose(algorithm) <= 30)
{
algorithm.MarketOrder(target.Symbol, target.Quantity);
}
else
{
//Adding or entering new position
QuoteBar quote = algorithm.CurrentSlice[target.Symbol];
algorithm.LimitOrder(target.Symbol, quantity, Math.Round(quote.Bid.Close + (quote.Ask.Close - quote.Bid.Close) / 2, 2));
}
}
}
//TODO: try resubmitting the order to closer to the spread as time goes by before cancelling/market ordering
//convert to market order within 30 mins
foreach (var order in algorithm.Transactions.GetOpenOrders(o => (algorithm.CurrentSlice.Time - o.CreatedTime).TotalMinutes >= 30))
{
algorithm.Transactions.CancelOrder(order.Id);
algorithm.MarketOrder(order.Symbol, order.Quantity);
}
_targetsCollection.Clear();
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public override IEnumerable <Slice> GetHistory(IEnumerable <HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
List <Slice> result = new();
var slice1Date = new DateTime(2008, 01, 03, 5, 0, 0);
var slice2Date = new DateTime(2013, 06, 28, 13, 32, 0);
TradeBar tradeBar1 = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
TradeBar tradeBar2 = new TradeBar {
Symbol = Symbols.AAPL, Time = DateTime.Now
};
var quoteBar1 = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var tick1 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split1 = new Split(Symbols.SPY, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend1 = new Dividend(Symbols.SPY, DateTime.Now, 1, 1);
var delisting1 = new Delisting(Symbols.SPY, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent1 = new SymbolChangedEvent(Symbols.SPY, DateTime.Now, "SPY", "SP");
Slice slice1 = new Slice(slice1Date, new BaseData[] { tradeBar1, tradeBar2,
quoteBar1, tick1, split1, dividend1, delisting1, symbolChangedEvent1 }, slice1Date);
TradeBar tradeBar3 = new TradeBar {
Symbol = Symbols.MSFT, Time = DateTime.Now
};
TradeBar tradeBar4 = new TradeBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var quoteBar2 = new QuoteBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var tick2 = new Tick(DateTime.Now, Symbols.SBIN, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split2 = new Split(Symbols.SBIN, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend2 = new Dividend(Symbols.SBIN, DateTime.Now, 1, 1);
var delisting2 = new Delisting(Symbols.SBIN, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent2 = new SymbolChangedEvent(Symbols.SBIN, DateTime.Now, "SBIN", "BIN");
Slice slice2 = new Slice(slice2Date, new BaseData[] { tradeBar3, tradeBar4,
quoteBar2, tick2, split2, dividend2, delisting2, symbolChangedEvent2 }, slice2Date);
result.Add(slice1);
result.Add(slice2);
return(result);
}
public void Scan(QuoteBar data)
{
_signal.Scan(data);
if (_signal.Signal != _previousSignalType)
{
Signal = _signal.Signal;
}
else
{
Signal = SignalType.NoSignal;
}
_previousSignalType = _signal.Signal;
}
