namespace QuantConnect.Algorithm.CSharp
{
public class HorizontalVerticalAutosequencers : QCAlgorithm
{
string security = "MSFT";
RollingWindow<TradeBar> tradeBars;
public override void Initialize()
{
SetCash(100000);
SetStartDate(new DateTime(2020, 3, 1));
SetEndDate(new DateTime(2020, 3, 9));
AddEquity(security, Resolution.Minute);
tradeBars = new RollingWindow<TradeBar>(50);
SetWarmup(50);
}
public override void OnData(Slice data)
{
if(data.ContainsKey(security)){
var bar = data.Bars[security];
tradeBars.Add(bar);
}
if(!data.ContainsKey(security) || data[security] == null) {
Debug(string.Format("Security {0} not found @ {1} and ContainsKey {2}.", security, Time, data.ContainsKey(security)));
}
if (IsWarmingUp) return;
if(tradeBars.IsReady){
var firstBar = tradeBars.First();
var lastBar = tradeBars.Last();
var currentTrade = data.Bars[security];
Debug(string.Format("firstBar.Time: {0}, lastBar.Time {1}, currentTrade {2}", firstBar.Time, lastBar.Time, currentTrade.Time));
}
}
}
}