| Overall Statistics |
|
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
using System;
using System.Globalization;
using Newtonsoft.Json;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
namespace QuantConnect {
public class TestingCustomDataAlgo : QCAlgorithm
{
public static QCAlgorithm Instance;
public override void Initialize()
{
SetStartDate(new DateTime(2015, 03, 01));
SetEndDate(2015, 04, 01);
AddData<Bitcoin>("BTC");
Instance = this;
}
public void OnData(Bitcoin data)
{
if (!Portfolio.Invested)
{
MarketOrder("BTC", 100);
}
TestingCustomDataAlgo.Instance.Log("lkjl");
}
}
public class Bitcoin : BaseData
{
//Set the defaults:
/// <summary>
/// Open Price
/// </summary>
public decimal Open = 0;
/// <summary>
/// High Price
/// </summary>
public decimal High = 0;
/// <summary>
/// Low Price
/// </summary>
public decimal Low = 0;
/// <summary>
/// Closing Price
/// </summary>
public decimal Close = 0;
/// <summary>
/// Volume in BTC
/// </summary>
public decimal VolumeBTC = 0;
/// <summary>
/// Volume in USD:
/// </summary>
public decimal WeightedPrice = 0;
/// <summary>
/// Default Constructor Required.
/// </summary>
public Bitcoin()
{
Symbol = "BTC";
}
/// <summary>
/// Source URL's of Backtesting and Live Streams:
/// </summary>
public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
{
var source = "";
switch (datafeed)
{
//Historical backtesting data:
case DataFeedEndpoint.FileSystem:
case DataFeedEndpoint.Backtesting:
source = "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";
break;
//Live socket for bitcoin prices:
case DataFeedEndpoint.LiveTrading:
//Live refreshing endpoint.
source = "https://www.bitstamp.net/api/ticker/";
break;
}
return source;
}
/// <summary>
/// Backtesting & Live Bitcoin Decoder:
/// </summary>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
{
Bitcoin coin = new Bitcoin();
switch (datafeed)
{
//Example Line Format:
//Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price
//2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356
case DataFeedEndpoint.FileSystem:
case DataFeedEndpoint.Backtesting:
try
{
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[0]);
coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
break;
//Example Line Format:
//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
case DataFeedEndpoint.LiveTrading:
try
{
var liveBTC = JsonConvert.DeserializeObject<LiveBitcoin>(line);
coin.Time = DateTime.Now;
coin.Open = liveBTC.Last;
coin.High = liveBTC.High;
coin.Low = liveBTC.Low;
coin.Close = liveBTC.Last;
coin.VolumeBTC = liveBTC.Volume;
coin.WeightedPrice = liveBTC.VWAP;
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, possible error in json decoding */ }
break;
}
return coin;
}
}
/// <summary>
/// Live data structure
/// </summary>
public class LiveBitcoin
{
public int Timestamp = 0;
public decimal Last = 0;
public decimal High = 0;
public decimal Low = 0;
public decimal Bid = 0;
public decimal Ask = 0;
public decimal VWAP = 0;
public decimal Volume = 0;
}
}