namespace QuantConnect.Algorithm.Examples
{
//
// Make sure to change "BasicTemplateAlgorithm" to your algorithm class name, and that all
// files use "public partial class" if you want to split up your algorithm namespace into multiple files.
//
//public partial class BasicTemplateAlgorithm : QCAlgorithm, IAlgorithm
//{
// Extension functions can go here...(ones that need access to QCAlgorithm functions e.g. Debug, Log etc.)
//}
//public class Indicator
//{
// ...or you can define whole new classes independent of the QuantConnect Context
//}
public class RollingWin<T> : IReadOnlyWindow<T>
{
// the backing list object used to hold the data
public List<T> _list;
// read-write lock used for controlling access to the underlying list data structure
//private readonly ReaderWriterLockSlim _listLock = new ReaderWriterLockSlim(LockRecursionPolicy.SupportsRecursion);
// the most recently removed item from the window (fell off the back)
private T _mostRecentlyRemoved;
// the total number of samples taken by this indicator
private decimal _samples;
// used to locate the last item in the window as an indexer into the _list
private int _tail;
/// <summary>
/// Initializes a new instance of the RollwingWindow class with the specified window size.
/// </summary>
/// <param name="size">The number of items to hold in the window</param>
public RollingWin(int size)
{
if (size < 1)
{
throw new ArgumentException("RollingWindow must have size of at least 1.", "size");
}
_list = new List<T>(size);
}
/// <summary>
/// Gets the size of this window
/// </summary>
public int Size
{
get
{
return _list.Capacity;
}
}
/// <summary>
/// Gets the current number of elements in this window
/// </summary>
public int Count
{
get
{
return _list.Count;
}
}
/// <summary>
/// Gets the number of samples that have been added to this window over its lifetime
/// </summary>
public decimal Samples
{
get
{
return _samples;
}
}
/// <summary>
/// Gets the most recently removed item from the window. This is the
/// piece of data that just 'fell off' as a result of the most recent
/// add. If no items have been removed, this will throw an exception.
/// </summary>
public T MostRecentlyRemoved
{
get
{
if (!IsReady)
{
throw new InvalidOperationException("No items have been removed yet!");
}
return _mostRecentlyRemoved;
}
}
/// <summary>
/// Indexes into this window, where index 0 is the most recently
/// entered value
/// </summary>
/// <param name="i">the index, i</param>
/// <returns>the ith most recent entry</returns>
public T this [int i]
{
get
{
//_listLock.EnterReadLock();
if (i >= Count)
{
throw new ArgumentOutOfRangeException("i", i, string.Format("Must be between 0 and Count {0}", Count));
}
return _list[(Count + _tail - i - 1) % Count];
}
set
{
if (i >= Count)
{
throw new ArgumentOutOfRangeException("i", i, string.Format("Must be between 0 and Count {0}", Count));
}
_list[(Count + _tail - i - 1) % Count] = value;
}
}
/// <summary>
/// Gets a value indicating whether or not this window is ready, i.e,
/// it has been filled to its capacity and one has fallen off the back
/// </summary>
public bool IsReady
{
get
{
return Samples > Size;
}
}
/// <summary>
/// Returns an enumerator that iterates through the collection.
/// </summary>
/// <returns>
/// A <see cref="T:System.Collections.Generic.IEnumerator`1" /> that can be used to iterate through the collection.
/// </returns>
/// <filterpriority>1</filterpriority>
public IEnumerator<T> GetEnumerator()
{
// we make a copy on purpose so the enumerator isn't tied
// to a mutable object, well it is still mutable but out of scope
var temp = new List<T>(Count);
for (int i = 0; i < Count; i++)
{
temp.Add(this[i]);
}
return temp.GetEnumerator();
}
/// <summary>
/// Returns an enumerator that iterates through a collection.
/// </summary>
/// <returns>
/// An <see cref="T:System.Collections.IEnumerator" /> object that can be used to iterate through the collection.
/// </returns>
/// <filterpriority>2</filterpriority>
IEnumerator IEnumerable.GetEnumerator()
{
return GetEnumerator();
}
/// <summary>
/// Adds an item to this window and shifts all other elements
/// </summary>
/// <param name="item">The item to be added</param>
public void Add(T item)
{
_samples++;
if (Size == Count)
{
// keep track of what's the last element
// so we can reindex on this[ int ]
_mostRecentlyRemoved = _list[_tail];
_list[_tail] = item;
_tail = (_tail + 1) % Size;
}
else
{
_list.Add(item);
}
}
/// <summary>
/// Clears this window of all data
/// </summary>
public void Reset()
{
_samples = 0;
_list.Clear();
}
}
}
/*
* 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 System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.Examples
{
/// <summary>
/// Basic template algorithm simply initializes the date range and cash
/// </summary>
public class TueThruThurs : QCAlgorithm
{
string Symbol = null;
string LevSymbol = null;
decimal leverage = 1.0m;
TradeBar entryBar = null;
TradeBar firstBar = null;
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2010, 11, 30); //Set Start Date
SetEndDate(2016, 5, 13);
SetCash(50000); //Set Strategy Cash
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);
//SetBrokerageModel(BrokerageName.TradierBrokerage, AccountType.Margin);
UniverseSettings.MinimumTimeInUniverse = TimeSpan.FromDays(2190);
UniverseSettings.FillForward = true;
Symbol = "SPY";
LevSymbol = "SPXL";
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
AddSecurity(SecurityType.Equity, LevSymbol, Resolution.Minute);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
try
{
bool IsLong = true;
TradeBar b = data[Symbol];
decimal price = 0;
if ( IsFirstTradingMin(b) == true )
firstBar = b;
if ( IsExit(b, out price) == true)
{
Liquidate();
entryBar = null;
Log(">>Close>> " + b.Time.ToString() + " " + Symbol + " @" + price);
}
else
{
if ( IsEntry(b, out price, out IsLong ) == true)
{
entryBar = b;
TradeBar c = data[LevSymbol];
price = c.High;
decimal qnt = leverage;
if ( IsLong == false)
qnt = -leverage;
SetHoldings(LevSymbol, qnt);
//SetHoldings(Symbol, 1.0);
Log(">>BUY/sell>> " + b.Time.ToString() + " " + qnt + " " + Symbol + " @" + price);
} // if
}
}
catch (Exception ex)
{
Error("OnData: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
}
} // OnData
bool IsLastTradingMin(TradeBar b)
{
if ( b.Time.Hour==15 && b.Time.Minute == 59)
return true;
else
return false;
}
bool IsFirstTradingMin(TradeBar b)
{
if ( b.Time.Hour==9 && b.Time.Minute == 31)
return true;
else
return false;
}
/// <summary>
/// checks if this bar is good for entry
/// </summary>
/// <param name="b"></param>
/// <returns></returns>
bool IsEntry( TradeBar b, out decimal entryPrice, out bool IsLong)
{
entryPrice = 0;
IsLong = true;
bool rtn = false;
// check for Long entry VXX
if ( Portfolio.Invested == false
&& ( b.Time.Date.DayOfWeek == DayOfWeek.Tuesday
|| b.Time.Date.DayOfWeek == DayOfWeek.Wednesday
|| b.Time.Date.DayOfWeek == DayOfWeek.Thursday
)
&& IsFirstTradingMin(b)
)
{
// enter
entryPrice = b.Close;
IsLong = true;
rtn = true;
} // if
// check for Short entry VXX
// if ( Portfolio.Invested == false
// && (
// b.Time.Date.DayOfWeek == DayOfWeek.Monday
// ||b.Time.Date.DayOfWeek == DayOfWeek.Friday
// )
// && (b.Time.Hour==14 || b.Time.Hour==15 && b.Time.Minute<=30 ) // short after 2pm
// )
// {
// // enter short
// entryPrice = b.Close;
// IsLong = false;
// rtn = true;
// } // if
return rtn;
} // IsEntry
bool IsExit( TradeBar b, out decimal exit )
{
exit = 0;
bool rtn = false;
if ( Portfolio.Invested == true && Portfolio[LevSymbol] != null )
{
if ( // for Long exit
Portfolio[LevSymbol].IsLong==true && b.Time.Hour==15 && b.Time.Minute==59
//||
// for short exit
//Portfolio[LevSymbol].IsShort==true
//&& ( b.Time.Hour==15 && b.Time.Minute==59 // converts to MarketOnOpen for next day
// || GettPercentGain(b, LevSymbol) <= -3
// )
)
{
rtn = true;
exit = b.Close;
}
}
return rtn;
} // IsExit
decimal GettPercentGain( TradeBar b, string ticker)
{
decimal rtn = 0;
if ( Portfolio[ticker] != null )
{
rtn = (Portfolio[ticker].Price - Portfolio[ticker].AveragePrice) / Portfolio[ticker].AveragePrice*100;
if (Portfolio[ticker].IsShort==true)
rtn = -rtn;
}
return rtn;
} // GettPercentGain
}
}