forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Expand file tree
/
Copy pathCustomChartingAlgorithm.cs
More file actions
126 lines (109 loc) · 5.02 KB
/
Copy pathCustomChartingAlgorithm.cs
File metadata and controls
126 lines (109 loc) · 5.02 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Algorithm demonstrating custom charting support in QuantConnect.
/// The entire charting system of quantconnect is adaptable. You can adjust it to draw whatever you'd like.
/// Charts can be stacked, or overlayed on each other. Series can be candles, lines or scatter plots.
/// Even the default behaviours of QuantConnect can be overridden.
/// </summary>
/// <meta name="tag" content="charting" />
/// <meta name="tag" content="adding charts" />
/// <meta name="tag" content="series types" />
/// <meta name="tag" content="plotting indicators" />
public class CustomChartingAlgorithm : QCAlgorithm
{
private decimal _fastMa;
private decimal _slowMa;
private decimal _lastPrice;
private DateTime _resample;
private TimeSpan _resamplePeriod;
private readonly DateTime _startDate = new DateTime(2010, 3, 3);
private readonly DateTime _endDate = new DateTime(2014, 3, 3);
/// <summary>
/// Called at the start of your algorithm to setup your requirements:
/// </summary>
public override void Initialize()
{
//Set the date range you want to run your algorithm:
SetStartDate(_startDate);
SetEndDate(_endDate);
//Set the starting cash for your strategy:
SetCash(100000);
//Add any stocks you'd like to analyse, and set the resolution:
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY");
//Chart - Master Container for the Chart:
var stockPlot = new Chart("Trade Plot");
//On the Trade Plotter Chart we want 3 series: trades and price:
var buyOrders = new Series("Buy", SeriesType.Scatter, 0);
var sellOrders = new Series("Sell", SeriesType.Scatter, 0);
var assetPrice = new Series("Price", SeriesType.Line, 0);
stockPlot.AddSeries(buyOrders);
stockPlot.AddSeries(sellOrders);
stockPlot.AddSeries(assetPrice);
AddChart(stockPlot);
var avgCross = new Chart("Strategy Equity");
var fastMa = new Series("FastMA", SeriesType.Line, 1);
var slowMa = new Series("SlowMA", SeriesType.Line, 1);
avgCross.AddSeries(fastMa);
avgCross.AddSeries(slowMa);
AddChart(avgCross);
_resamplePeriod = TimeSpan.FromMinutes((_endDate - _startDate).TotalMinutes / 2000);
}
/// <summary>
/// OnEndOfDay Event Handler - At the end of each trading day we fire this code.
/// To avoid flooding, we recommend running your plotting at the end of each day.
/// </summary>
public override void OnEndOfDay()
{
//Log the end of day prices:
Plot("Trade Plot", "Price", _lastPrice);
}
/// <summary>
/// On receiving new tradebar data it will be passed into this function. The general pattern is:
/// "public void OnData( CustomType name ) {...s"
/// </summary>
/// <param name="data">TradeBars data type synchronized and pushed into this function. The tradebars are grouped in a dictionary.</param>
public void OnData(TradeBars data)
{
_lastPrice = data["SPY"].Close;
if (_fastMa == 0) _fastMa = _lastPrice;
if (_slowMa == 0) _slowMa = _lastPrice;
_fastMa = (0.01m * _lastPrice) + (0.99m * _fastMa);
_slowMa = (0.001m * _lastPrice) + (0.999m * _slowMa);
if (Time > _resample)
{
_resample = Time.Add(_resamplePeriod);
Plot("Strategy Equity", "FastMA", _fastMa);
Plot("Strategy Equity", "SlowMA", _slowMa);
}
//On the 5th days when not invested buy:
if (!Portfolio.Invested && Time.Day % 13 == 0)
{
Order("SPY", (int)(Portfolio.MarginRemaining / data["SPY"].Close));
Plot("Trade Plot", "Buy", _lastPrice);
}
else if (Time.Day % 21 == 0 && Portfolio.Invested)
{
Plot("Trade Plot", "Sell", _lastPrice);
Liquidate();
}
}
}
}