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/*
* 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 QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect
{
/// <summary>
/// QuantConnect University: Indicator Suite Example.
/// </summary>
public class IndicatorSuiteAlgorithm : QCAlgorithm
{
string _symbol = "SPY";
string _customSymbol = "BTC";
Indicators _indicators;
Indicators _selectorIndicators;
IndicatorBase<IndicatorDataPoint> _ratio;
//RSI Custom Data:
RelativeStrengthIndex _rsiCustom;
Minimum _minCustom;
Maximum _maxCustom;
decimal _price;
/// <summary>
/// Initialize the data and resolution you require for your strategy
/// </summary>
public override void Initialize()
{
//Initialize
SetStartDate(2013, 1, 1);
SetEndDate(2014, 12, 31);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
//Add the Custom Data:
AddData<Bitcoin>("BTC");
//Set up default Indicators, these indicators are defined on the Value property of incoming data (except ATR and AROON which use the full TradeBar object)
_indicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
EMA = EMA(_symbol, 14, Resolution.Daily),
SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily),
AROON = AROON(_symbol, 20, Resolution.Daily),
MOM = MOM(_symbol, 20, Resolution.Daily),
MOMP = MOMP(_symbol, 20, Resolution.Daily),
STD = STD(_symbol, 20, Resolution.Daily),
MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
MAX = MAX(_symbol, 14, Resolution.Daily) // by default if the symbol is a tradebar type then it will be the max of the high property
};
// Here we're going to define indicators using 'selector' functions. These 'selector' functions will define what data gets sent into the indicator
// These functions have a signature like the following: decimal Selector(BaseData baseData), and can be defined like: baseData => baseData.Value
// We'll define these 'selector' functions to select the Low value
//
// For more information on 'anonymous functions' see: http://en.wikipedia.org/wiki/Anonymous_function
// https://msdn.microsoft.com/en-us/library/bb397687.aspx
//
_selectorIndicators = new Indicators
{
BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily, Field.Low),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, Field.Low),
EMA = EMA(_symbol, 14, Resolution.Daily, Field.Low),
SMA = SMA(_symbol, 14, Resolution.Daily, Field.Low),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily, Field.Low),
MOM = MOM(_symbol, 20, Resolution.Daily, Field.Low),
MOMP = MOMP(_symbol, 20, Resolution.Daily, Field.Low),
STD = STD(_symbol, 20, Resolution.Daily, Field.Low),
MIN = MIN(_symbol, 14, Resolution.Daily, Field.High), // this will find the 14 day min of the high property
MAX = MAX(_symbol, 14, Resolution.Daily, Field.Low), // this will find the 14 day max of the low property
// ATR and AROON are special in that they accept a TradeBar instance instead of a decimal, we could easily project and/or transform the input TradeBar
// before it gets sent to the ATR/AROON indicator, here we use a function that will multiply the input trade bar by a factor of two
ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily, SelectorDoubleTradeBar),
AROON = AROON(_symbol, 20, Resolution.Daily, SelectorDoubleTradeBar)
};
//Custom Data Indicator:
_rsiCustom = RSI(_customSymbol, 14, MovingAverageType.Simple, Resolution.Daily);
_minCustom = MIN(_customSymbol, 14, Resolution.Daily);
_maxCustom = MAX(_customSymbol, 14, Resolution.Daily);
// in addition to defining indicators on a single security, you can all define 'composite' indicators.
// these are indicators that require multiple inputs. the most common of which is a ratio.
// suppose we seek the ratio of BTC to SPY, we could write the following:
var spyClose = Identity(_symbol);
var btcClose = Identity(_customSymbol);
// this will create a new indicator whose value is BTC/SPY
_ratio = btcClose.Over(spyClose);
// we can also easily plot our indicators each time they update using th PlotIndicator function
PlotIndicator("Ratio", _ratio);
}
/// <summary>
/// Custom data event handler:
/// </summary>
/// <param name="data">Bitcoin - dictionary of TradeBarlike Bars of Bitcoin Data</param>
public void OnData(Bitcoin data)
{
}
/// <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)
{
if (!_indicators.BB.IsReady || !_indicators.RSI.IsReady) return;
_price = data["SPY"].Close;
if (!Portfolio.HoldStock)
{
int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);
//Order function places trades: enter the string symbol and the quantity you want:
Order(_symbol, quantity);
//Debug sends messages to the user console: "Time" is the algorithm time keeper object
Debug("Purchased SPY on " + Time.ToShortDateString());
}
}
/// <summary>
/// Fire plotting events once per day.
/// </summary>
public override void OnEndOfDay()
{
if (!_indicators.BB.IsReady) return;
Plot("BB", "Price", _price);
Plot("BB", _indicators.BB.UpperBand, _indicators.BB.MiddleBand, _indicators.BB.LowerBand);
Plot("RSI", _indicators.RSI);
//Custom data indicator
Plot("RSI-BTC", _rsiCustom);
Plot("ATR", _indicators.ATR);
Plot("STD", _indicators.STD);
Plot("AROON", _indicators.AROON.AroonUp, _indicators.AROON.AroonDown);
Plot("MOM", _indicators.MOM);
Plot("MOMP", _indicators.MOMP);
Plot("MACD", "Price", _price);
Plot("MACD", _indicators.MACD.Fast, _indicators.MACD.Slow, _indicators.MACD.Signal);
Plot("Averages", _indicators.EMA, _indicators.SMA);
}
/// <summary>
/// Class to hold a bunch of different indicators for this example
/// </summary>
class Indicators
{
public BollingerBands BB;
public SimpleMovingAverage SMA;
public ExponentialMovingAverage EMA;
public RelativeStrengthIndex RSI;
public AverageTrueRange ATR;
public StandardDeviation STD;
public AroonOscillator AROON;
public Momentum MOM;
public MomentumPercent MOMP;
public MovingAverageConvergenceDivergence MACD;
public Minimum MIN;
public Maximum MAX;
}
/// <summary>
/// Function used to select a trade bar that has double the values of the input trade bar
/// </summary>
private static TradeBar SelectorDoubleTradeBar(BaseData baseData)
{
var bar = (TradeBar)baseData;
return new TradeBar
{
Close = 2 * bar.Close,
DataType = bar.DataType,
High = 2 * bar.High,
Low = 2 * bar.Low,
Open = 2 * bar.Open,
Symbol = bar.Symbol,
Time = bar.Time,
Value = 2 * bar.Value,
Volume = 2 * bar.Volume,
Period = bar.Period
};
}
}
}
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