namespace QuantConnect {

    /// <summary>
    /// Custom Data Type: Bitcoin data from Quandl.
    /// http://www.quandl.com/help/api-for-bitcoin-data
    /// </summary>
    public class Bitcoin : BaseData
    {
        //Set the defaults:
        public decimal Open = 0;
        public decimal High = 0;
        public decimal Low = 0;
        public decimal Close = 0;
        public decimal VolumeBTC = 0;
        public decimal VolumeUSD = 0;
        public decimal WeightedPrice = 0;

        /// <summary>
        /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
        /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
        /// </summary>
        public Bitcoin()
        {
            this.Symbol = "BTC";
        }

        /// <summary>
        /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
        /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
        /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
        /// </summary>
        /// <param name="config">Subscription data, symbol name, data type</param>
        /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
        /// <param name="datafeed">Datafeed type: Backtesting or the Live data broker who will provide live data. You can specify a different source for live trading! </param>
        /// <returns>string URL end point.</returns>
        public override string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
        {
            switch (datafeed)
            {
                //Backtesting Data Source: Example of a data source which varies by day (commented out)
                default:
                case DataFeedEndpoint.Backtesting:
                    //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
                    // OR simply return a fixed small data file. Large files will slow down your backtest
                    return "http://www.quandl.com/api/v1/datasets/BITCOIN/BITSTAMPUSD.csv?sort_order=asc";

                case DataFeedEndpoint.LiveTrading:
                    //Alternative live socket data source for live trading
                    return "....";
            }
        }

        /// <summary>
        /// 3. READER METHOD: Read 1 line from data source and convert it into Object.
        /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
        /// feeds it into your algorithm
        /// </summary>
        /// <param name="line">string line from the data source file submitted above</param>
        /// <param name="config">Subscription data, symbol name, data type</param>
        /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
        /// <param name="datafeed">Datafeed type - Backtesting or LiveTrading</param>
        /// <returns>New Bitcoin Object which extends BaseData.</returns>
        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
        {
            //New Bitcoin object
            Bitcoin coin = new Bitcoin();

            try
            {
                //Example File 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
                string[] data = line.Split(',');
                coin.Time = DateTime.Parse(data[0]);
                coin.Open = Convert.ToDecimal(data[1]);
                coin.High = Convert.ToDecimal(data[2]);
                coin.Low = Convert.ToDecimal(data[3]);
                coin.Close = Convert.ToDecimal(data[4]);
                coin.VolumeBTC = Convert.ToDecimal(data[5]);
                coin.VolumeUSD = Convert.ToDecimal(data[6]);
                coin.WeightedPrice = Convert.ToDecimal(data[7]);
                coin.Symbol = "BTC";
                coin.Value = coin.Close;
            }
            catch { /* Do nothing, skip first title row */ }

            return coin;
        }
    }
}

using System;
using System.Windows;
namespace QuantConnect
{
    public class BinaryAlgorithm : QCAlgorithm
        {
            private decimal _cash = 2000;        
            private decimal _entryPrice = 0;
            private decimal _stake = 20;
            
            
            
            bool shrt = false;
            bool lng = false;
            
            
            BollingerBands _bb;
            MovingAverageConvergenceDivergence _macd;
            
            private decimal wins;
            private decimal losses;
            RelativeStrengthIndex _rsi = new RelativeStrengthIndex(14);
            //SimpleMovingAverage _sma50, _sma20;
            
            
            
           // private decimal totalProfit;
            //private decimal loss;
           // private decimal finalPrice;
            
            ArrayList symbols = new ArrayList();
            
            private Dictionary <string, MovingAverageConvergenceDivergence> macdDic = new Dictionary<string, MovingAverageConvergenceDivergence>();
            private Dictionary <string, RelativeStrengthIndex> rsiDic = new Dictionary<string,RelativeStrengthIndex>();
            private Dictionary <string, BollingerBands> bbDic = new Dictionary <string, BollingerBands>();
            private Dictionary<string, DateTime> lastTimeDic = new Dictionary<string, DateTime>();
            private Dictionary<string, decimal> entryPriceDic = new Dictionary<string, decimal> ();
            private Dictionary<string, decimal> winDic = new Dictionary<string, decimal> ();
            private Dictionary<string, decimal> lossDic = new Dictionary<string, decimal> ();
            private Dictionary<string, bool> shrtDic = new Dictionary<string, bool> ();
            private Dictionary<string, bool> lngDic = new Dictionary<string, bool> ();
            
            
           
            decimal  _price;
            
           // decimal _bet;
            //private AroonOscillator _aroon;
            private DateTime lastTradeTime;
            
            
            
            public override void Initialize()
            {
                SetStartDate(2014,12,1);
                SetEndDate(2015,1,1);
                symbols.Add("EURUSD");
                //symbols.Add("EURJPY");
                SetCash(_cash);
                foreach( string _symbol in symbols)
                {
                    AddSecurity(SecurityType.Forex, _symbol, Resolution.Second);
                     _bb = BB(_symbol, 20, 1m, MovingAverageType.Exponential, Resolution.Minute);
                     bbDic.Add(_symbol, _bb);
                     _macd = MACD(_symbol, 13 , 26, 9 , MovingAverageType.Exponential, Resolution.Minute);
                     macdDic.Add(_symbol,_macd);
                    _rsi =  RSI(_symbol, 14, MovingAverageType.Exponential, Resolution.Hour);
                     rsiDic.Add(_symbol, _rsi);
                     shrtDic.Add(_symbol, false);
                     lngDic.Add(_symbol, false);
                     entryPriceDic.Add(_symbol, 0);
                     winDic.Add(_symbol, 0);
                     lossDic.Add(_symbol, 0);
                     
                }
                
            }
    
            public void OnData(TradeBars data) 
            {   
                foreach(string _symbol in symbols)
                {
                    
                    
                    EnterTrade(data, _symbol);
                    shrt = shrtDic[_symbol];
                    lng = lngDic[_symbol];
                    _entryPrice = entryPriceDic[_symbol];
                    if ((shrt || lng) && (data[_symbol].Time - lastTimeDic[_symbol]).TotalSeconds >= 900) 
                    {
                        if ( (_entryPrice > data[_symbol].Price && shrt) || 
                        (_entryPrice < data[_symbol].Price && lng)) {
                            _cash += (_stake+_stake * .8m);
                            winDic[_symbol] += 1;
                        Log(_symbol + "     I win:    " + "Long = true, Short = false: "+ lng+ "  Positive means Short win, Negative Means Long win: "+
                        (_entryPrice - data[_symbol].Price)+ " Total Cash (Running Tally): "+ _cash);
                        
                        } else {
                            lossDic[_symbol] +=1 ;
                            Log(_symbol + "     I lose:    " + "Long = true, Short = false: "+ lng+ "  Positive means short win , Negative means long win: "+
                        (_entryPrice - data[_symbol].Price)+ " Total Cash (Running Tally): "+ _cash);
                        }
                        Portfolio.SetCash(_cash);
                        shrtDic[_symbol] = false;
                        lngDic[_symbol] = false;
                    }
                }
            }
            
            public void EnterTrade(TradeBars data, string _symbol) 
            {
                //Rules for entry.
                if (!_bb.IsReady) return;
                //if(!_macd.IsReady) return;
                //if(!_aroon.IsReady) return;
                //if(!_rsi.IsReady) return;
                    
                _price = data[_symbol].Close;
                decimal signalDeltaPercent = (macdDic[_symbol] - macdDic[_symbol].Signal)/(macdDic[_symbol].Fast);
                var tolerance = 0.0025m;
                //var percentUp = _bb.UpperBand/20000m;
                //var percentDown = _bb.LowerBand/20000m;
                 if ( _price >= (_bb.UpperBand ) && !(lng || shrt)
                  && signalDeltaPercent < tolerance && _rsi >= 70 )
                        {
                            lastTimeDic[_symbol] = data[_symbol].Time;
                            entryPriceDic[_symbol] = Securities[_symbol].Price;
                            _cash -= _stake;
                            shrtDic[_symbol] = true;
                        }
                 else if ( _price <= (_bb.LowerBand ) && !(lng || shrt)
                  && signalDeltaPercent > tolerance && _rsi <= 30)
                 {
                        lastTimeDic[_symbol] = data[_symbol].Time;
                        entryPriceDic[_symbol] = Securities[_symbol].Price;
                        lngDic[_symbol] = true;
                        
                 }
            }
            
            public override void OnEndOfDay()
            {
                foreach( string _symbol in symbols)
                {
                    wins = winDic[_symbol];
                    losses = lossDic[_symbol];
                    try{
                        Debug(_symbol+"     Number of Wins: " + wins +"       Number of Losses:  "+ losses  + "      Percent Win:  "+ Math.Round(100*(wins/ (losses + wins)), 2) + 
                        "  Time/Date: "+ lastTimeDic[_symbol]);
                        Debug( "Total Cash:  "+ _cash);
                        winDic[_symbol] = 0;
                        lossDic[_symbol] = 0;
                    }
                    catch (Exception err){
                        Error(err.Message);
                    }
                    
                }
            }
        }
}