/// <summary>
/// Create a new pair
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="asset1">The first asset's symbol in the pair</param>
/// <param name="asset2">The second asset's symbol in the pair</param>
/// <param name="period">Period over which this insight is expected to come to fruition</param>
/// <param name="threshold">The percent [0, 100] deviation of the ratio from the mean before emitting an insight</param>
public PairData(QCAlgorithm algorithm, Symbol asset1, Symbol asset2, TimeSpan period, decimal threshold)
{
_asset1 = asset1;
_asset2 = asset2;
_asset1Price = algorithm.Identity(asset1);
_asset2Price = algorithm.Identity(asset2);
_ratio = _asset1Price.Over(_asset2Price);
_mean = new ExponentialMovingAverage(500).Of(_ratio);
var upper = new ConstantIndicator <IndicatorDataPoint>("ct", 1 + threshold / 100m);
_upperThreshold = _mean.Times(upper, "UpperThreshold");
var lower = new ConstantIndicator <IndicatorDataPoint>("ct", 1 - threshold / 100m);
_lowerThreshold = _mean.Times(lower, "LowerThreshold");
_predictionInterval = period;
}
public SymbolData(Symbol symbol, QCAlgorithm algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Close = algorithm.Identity(symbol);
ADX = algorithm.ADX(symbol, 14);
EMA = algorithm.EMA(symbol, 14);
MACD = algorithm.MACD(symbol, 12, 26, 9);
// if we're receiving daily
_algorithm = algorithm;
}
public SymbolData(Symbol symbol, QCAlgorithm algorithm)
{
Symbol = symbol;
Security = algorithm.Securities[symbol];
Close = algorithm.Identity(symbol);
ADX = algorithm.ADX(symbol, 14);
EMA = algorithm.EMA(symbol, 14);
MACD = algorithm.MACD(symbol, 12, 26, 9);
// if we're receiving daily
_algorithm = algorithm;
}
