//Copyright Warren Harding 2016, granted to the public domain
//Use entirely at your own risk.
//Custom algorithm development: warrencharding@yahoo.com.
//Do not remove this copyright notice.
using System;
using System.Collections.Generic;
using System.Collections.Concurrent;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Securities;
namespace QuantConnect
{
public class Algo : QCAlgorithm
{
//You can adjust this first set to optimize.
decimal maximumTrade=1000000;
decimal minimumTrade = 500m;
int maPeriodFast=20;
int maPeriodSlow=180;
//Your broker is going to hate you if you set these too low with minute data as it will result in large amounts
//of unfilled order cancellations. It bogs down LEAN as well.
int barsToHoldBuyOrdersFor=0;
int barsToHoldSellOrdersFor=0;
Resolution resolution = Resolution.Daily;
decimal ratioOfDollarVolumeForMaxTrade;
List<StockData> stockDatas = new List<StockData>();
List<OrderTicketWrapper> buyOrders=new List<OrderTicketWrapper>();
List<OrderTicketWrapper> sellOrders=new List<OrderTicketWrapper>();
public override void Initialize()
{
SetStartDate(2012, 1, 1);
SetEndDate(2017, 1, 1);
SetCash(100000);
//s&p 500.
string tickersString ="CHK,DO,ENDP,MUR,SWN,FCX,RIG,NRG,MRO,NEM,RRC,CF,MU,APA,VRTX,FOSL,APC,WDC,DVN,MOS,FTR,MNK,VIAB,WYNN,UAL,FSLR,TSO,NFX,HP,HES,NAVI,AAL,SIG,ALXN,STX,SWKS,MPC,NOV,URI,NBL,QRVO,WMB,HOG,JWN,DAL,OI,PXD,OKE,MYL,NVDA,RCL,CXO,TGNA,COG,XEC,HPE,ETFC,EOG,KSS,GPS,REGN,HRB,HAL,AVGO,PRGO,BHI,UA,M,ADS,CSC,URBN,KMI,AA,COP,PYPL,KORS,LUV,EQT,VLO,FTI,FMC,DISCA,JCI,LNC,SE,ALK,NUE,VMC,AMG,AES,LEN,CNC,SPLS,WRK,BWA,HAR,TDC,CBG,GT,R,KMX,HST,ZION,ALB,AN,TIF,RF,CBS,CMG,NFLX,MLM,DISCK,SCHW,LM,EXPE,BBBY,DHI,COH,VRSN,ILMN,FLS,DLPH,JNPR,PHM,NTAP,MAR,FTV,CFG,CHTR,TRIP,NWSA,BAC,BEN,AMAT,AGN,MET,YHOO,HCP,MS,ADSK,WHR,HPQ,WY,BIIB,KEY,VTR,LYB,CMA,VFC,LUK,LRCX,DLR,DG,LB,CELG,AIV,RL,PVH,AYI,MCK,ULTA,IVZ,ATVI,MJN,CCL,IR,SNI,IPG,FITB,FFIV,UNM,HCA,BBY,HBAN,SYF,SLG,ESS,KR,DLTR,DUK,FE,BMY,TAP,KSU,O,EQIX,LVLT,C,GRMN,MCHP,GWW,PWR,PDCO,EXR,MAS,CNP,SYMC,FLR,CRM,BF-B,STI,SCG,HCN,CSX,FOXA,IP,HOLX,VNO,PLD,EQR,KLAC,GGP,WFC,AKAM,UHS,UDR,CTL,PKI,NI,JEC,GPN,NWL,BSX,MDLZ,SEE,CTSH,SRCL,ADI,SRE,IRM,COF,PBI,AAPL,DOV,PRU,CMI,PNR,GM,GS,WFM,MAT,FBHS,HBI,EA,CTXS,PEG,JBHT,PCAR,RHT,AVB,OXY,STT,PSA,EMN,AMP,PFG,ANTM,WLTW,CCE,MAC,LNT,NSC,KIM,F,MON,XYL,RAI,TSCO,MNST,HRL,PPL,EW,LKQ,MTD,ETR,AZO,EBAY,KHC,FAST,DTE,HIG,AWK,NKE,SPGI,SYK,SLB,TSS,NEE,GILD,XRX,BLK,PNC,INTC,EXC,CCI,CERN,AEE,ETN,XRAY,ACN,FL,AAP,MCO,ESRX,ABT,CPB,ALLE,GPC,BK,CAH,GIS,LEG,XEL,WEC,DD,DGX,TXN,CMS,WAT,BXP,UNP,QCOM,ADM,WYN,FRT,ABC,AXP,AMT,HAS,NTRS,TDG,SPG,CVX,FDX,TWX,CHRW,XLNX,CA,RHI,PBCT,BAX,PNW,ES,T,EMR,CI,AMGN,DNB,TMO,DRI,BBT,CAT,ROK,MHK,WBA,TXT,ED,PSX,CME,ROST,PH,EIX,TSN,A,TGT,ZBH,HOT,PCG,AEP,LOW,TROW,PPG,PCLN,D,SHW,STZ,XL,CAG,DVA,XOM,MTB,HSIC,ABBV,BA,ADBE,ROP,ITW,HRS,PX,VZ,MRK,LH,PG,VAR,PM,BCR,L,SYY,LLY,HSY,SJM,TEL,DFS,MSFT,BDX,WU,FB,CSCO,UTX,AIZ,APD,NDAQ,DE,SO,JPM,NLSN,AET,OMC,FLIR,ORCL,UNH,FISV,IBM,EXPD,HD,AMZN,DHR,CMCSA,DOW,EFX,ISRG,LLL,FIS,MO,HON,HUM,COST,INTU,PAYX,SBUX,MKC,COL,CHD,CTAS,ECL,ZTS,AIG,PFE,AVY,PGR,USB,AME,BLL,APH,K,CVS,SNA,CINF,YUM,GD,TJX,EL,MDT,ORLY,WMT,DPS,ADP,MA,GE,GLW,ICE,GOOGL,CLX,SWK,KMB,GOOG,AFL,TRV,AON,RSG,VRSK,BRK-B,IFF,MSI,RTN,DIS,MMC,LMT,KO,STJ,TMK,V,CL,NOC,PEP,MCD,MMM,WM,ALL,UPS,JNJ,LLTC";
string[] tickers = tickersString.Split(new string[1] { "," }, StringSplitOptions.RemoveEmptyEntries);
foreach (string ticker in tickers)
{
AddSecurity(SecurityType.Equity,ticker,resolution);
StockData stockData=new StockData(ticker,maPeriodFast,maPeriodSlow);
stockDatas.Add(stockData);
}
foreach (Security s in Securities.Values)
{
s.FeeModel=new CustomFeeModel();
}
//Be careful adjusting this next one, too high of a setting will result in unrealistically large
//purchases being made with no regards for slippage.
if (resolution == Resolution.Daily)
{
ratioOfDollarVolumeForMaxTrade = .25m / 6.5m / 60m;
}
else if (resolution==Resolution.Minute)
{
ratioOfDollarVolumeForMaxTrade = .25m;
}
}
public void OnData(TradeBars data)
{
UpdateIndicators(data);
Buy(data);
Sell(data);
}
public void UpdateIndicators(TradeBars data)
{
foreach (StockData stockData in stockDatas)
{
if (data.ContainsKey(stockData.Ticker))
{
stockData.Update(data[stockData.Ticker].Time,data[stockData.Ticker].Close);
}
}
}
public void Buy(TradeBars data)
{
CancelExpiredOrders(buyOrders,barsToHoldBuyOrdersFor);
int quantity = 0;
decimal buyPrice;
TradeBar bar;
string ticker;
var stockDatas2 = from stockData in stockDatas
where stockData.EMAFast>stockData.EMASlow
orderby stockData.EMAFast-stockData.EMASlow
select stockData;
foreach (StockData stockData in stockDatas2)
{
ticker=stockData.Ticker;
if (!Portfolio[ticker].HoldStock && data.ContainsKey(ticker) && stockData.EMAFast.IsReady && stockData.EMASlow.IsReady)
{
bar=data[ticker];
quantity=SizePosition(bar);
if (quantity > 0)
{
buyPrice=bar.Close;
OrderTicketWrapper orderTicketWrapper=new OrderTicketWrapper();
orderTicketWrapper.orderTicket = LimitOrder(bar.Symbol, quantity,buyPrice);
orderTicketWrapper.price=buyPrice;
buyOrders.Add(orderTicketWrapper);
}
}
}
foreach (OrderTicketWrapper orderTickerWrapper in buyOrders)
{
orderTickerWrapper.count++;
}
}
public void Sell(TradeBars data)
{
CancelExpiredOrders(sellOrders,barsToHoldSellOrdersFor);
decimal sellPrice;
TradeBar bar;
string ticker;
foreach (StockData stockData in stockDatas)
{
ticker=stockData.Ticker;
if (Portfolio[ticker].Quantity > 0 && data.ContainsKey(ticker) && stockData.EMAFast.IsReady && stockData.EMASlow.IsReady)
{
bar = data[ticker];
if (stockData.EMAFast < stockData.EMASlow)
{
sellPrice = bar.Close;
OrderTicketWrapper orderTicketWrapper = new OrderTicketWrapper();
orderTicketWrapper.orderTicket = LimitOrder(ticker, -Portfolio[ticker].Quantity, sellPrice);
orderTicketWrapper.price=sellPrice;
sellOrders.Add(orderTicketWrapper);
}
}
}
foreach (OrderTicketWrapper orderTickerWrapper in sellOrders)
{
orderTickerWrapper.count++;
}
}
static void CancelExpiredOrders(List<OrderTicketWrapper> orderTickerWrappers,int barsToHoldOrdersFor)
{
foreach (OrderTicketWrapper orderTickerWrapper in orderTickerWrappers)
{
if (orderTickerWrapper.count>barsToHoldOrdersFor)
{
orderTickerWrapper.orderTicket.Cancel();
}
}
orderTickerWrappers.RemoveAll(x=>x.orderTicket.Status==OrderStatus.Filled | x.orderTicket.Status==OrderStatus.Canceled);
}
static decimal SumBuyOrders(List<OrderTicketWrapper> buyOrders)
{
decimal sum=0;
foreach (OrderTicketWrapper orderTickerWrapper in buyOrders)
{
sum += orderTickerWrapper.orderTicket.Quantity * orderTickerWrapper.price;
}
return sum;
}
int SizePosition(TradeBar bar)
{
decimal maxTrade=bar.Close*bar.Volume*ratioOfDollarVolumeForMaxTrade;
if (maxTrade>maximumTrade)
{
maxTrade=maximumTrade;
}
int quantity =(int)Math.Floor(Math.Min(Portfolio.Cash-SumBuyOrders(buyOrders), maxTrade) / bar.Close);
quantity = RoundLot(quantity);
if (quantity * bar.Close < minimumTrade)
{
return 0;
}
return quantity;
}
static int RoundLot(int inOddLotQuantity)
{
decimal inQuantity = (decimal)inOddLotQuantity;
if (inQuantity > 2000000)
{
decimal small = inQuantity / 1000000;
small = Math.Floor(small);
return (int)(small * 1000000);
}
if (inQuantity > 200000)
{
decimal small = inQuantity / 100000;
small = Math.Floor(small);
return (int)(small * 100000);
}
if (inQuantity > 20000)
{
decimal small = inQuantity / 10000;
small = Math.Floor(small);
return (int)(small * 10000);
}
if (inQuantity > 2000)
{
decimal small = inQuantity / 1000;
small = Math.Floor(small);
return (int)(small * 1000);
}
if (inQuantity > 200)
{
decimal small = inQuantity / 100;
small = Math.Floor(small);
return (int)(small * 100);
}
if (inQuantity > 20)
{
decimal small = inQuantity / 10;
small = Math.Floor(small);
return (int)(small * 10);
}
return inOddLotQuantity;
}
class OrderTicketWrapper
{
public OrderTicket orderTicket;
public int count=0;
public decimal price;
}
class StockData
{
public StockData(string ticker,int maPeriodFast,int maPeriodSlow)
{
Ticker=ticker;
EMAFast = new ExponentialMovingAverage(maPeriodFast);
EMASlow = new ExponentialMovingAverage(maPeriodSlow);
}
public string Ticker;
public ExponentialMovingAverage EMAFast;
public ExponentialMovingAverage EMASlow;
public bool Update(DateTime time, decimal value)
{
bool ready=EMAFast.Update(time, value) && EMASlow.Update(time, value);
return ready;
}
}
public class CustomFeeModel : IFeeModel
{
public decimal GetOrderFee(Security security, Order order)
{
return 1;
}
}
}
}