/// <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()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
for (int i = 0; i < signals.Length; i++)
{
signals[i] = OrderSignal.doNothing;
}
_ticketsQueue = new ConcurrentQueue <OrderTicket>();
#region lists
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath))
{
File.Delete(filepath);
}
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
#endregion
var security = Securities[symbol];
security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List <OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List <OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow <IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow <IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary <int, InstantaneousTrend>();
trendHistoryList = new Dictionary <int, RollingWindow <IndicatorDataPoint> >();
strategyList = new Dictionary <int, MultiITStrategy>();
entryPriceList = new Dictionary <int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow <IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
/// <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()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List<OrderTransaction>();
string filepath = AssemblyLocator.ExecutingDirectory() + "transactions.csv";
if (File.Exists(filepath)) File.Delete(filepath);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend(7);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
for (int i = 0; i < signals.Length; i++)
signals[i] = OrderSignal.doNothing;
_ticketsQueue = new ConcurrentQueue<OrderTicket>();
#region lists
#endregion
// for use with Tradier. Default is IB.
//var security = Securities[symbol];
//security.TransactionModel = new ConstantFeeTransactionModel(1.0m);
}
/// <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()
{
#region logging
var algoname = this.GetType().Name;
mylog.Debug(algoname);
mylog.Debug(ondataheader);
dailylog.Debug(algoname);
dailylog.Debug(dailyheader);
_transactions = new List<OrderTransaction>();
var days = _endDate.Subtract(_startDate).TotalDays;
MaxDailyProfit = new Maximum("MaxDailyProfit", (int)days);
MinDailyProfit = new Minimum("MinDailyProfit", (int)days);
#endregion
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(_portfolioAmount);
//Add as many securities as you like. All the data will be passed into the event handler:
//AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
// Initialize the Symbol indexed dictionaries
foreach (string s in Symbols)
{
AddSecurity(SecurityType.Equity, s, Resolution.Minute);
Strategy.Add(symbol, new MultiITStrategy(s, ITrendPeriod, this));
Tickets.Add(s, new List<OrderTicket>());
// Equal portfolio shares for every stock.
ShareSize.Add(s, (maxLeverage * (1 - leverageBuffer)) / Symbols.Count());
LastOrderSent.Add(s, OrderSignal.doNothing);
#region Logging stuff - Initializing Stock Logging
//stockLogging.Add(new StringBuilder());
//stockLogging[i].AppendLine("Counter, Time, Close, ITrend, Trigger," +
// "Momentum, EntryPrice, Signal," +
// "TriggerCrossOverITrend, TriggerCrossUnderITrend, ExitFromLong, ExitFromShort," +
// "StateFromStrategy, StateFromPorfolio, Portfolio Value");
//i++;
#endregion Logging stuff - Initializing Stock Logging
}
// Indicators
Price = new RollingWindow<IndicatorDataPoint>(14); // The price history
// ITrend
trend = new InstantaneousTrend("Main", 7, .25m);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
// The ITrendStrategy
iTrendStrategy = new InstantTrendStrategy(symbol, 14, this);
iTrendStrategy.ShouldSellOutAtEod = shouldSellOutAtEod;
#region lists
// Initialize the lists for the strategies
trendList = new Dictionary<int, InstantaneousTrend>();
trendHistoryList = new Dictionary<int, RollingWindow<IndicatorDataPoint>>();
strategyList = new Dictionary<int, MultiITStrategy>();
entryPriceList = new Dictionary<int, decimal>();
int listIndex = 0;
for (decimal d = .25m; d < .26m; d += .01m)
{
trendList.Add(listIndex, new InstantaneousTrend("ITrend_" + d, 7, d)); // eg ITrend.25, period 7, alpha .25
trendHistoryList.Add(listIndex, new RollingWindow<IndicatorDataPoint>(4));
strategyList.Add(listIndex, new MultiITStrategy(symbol, 7, this));
entryPriceList.Add(listIndex, 0);
listIndex++;
}
#endregion
#region Proforma
_brokerSimulator = new BrokerSimulator(this);
#endregion
}
