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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 System.Globalization;
using Newtonsoft.Json;
using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
namespace QuantConnect
{
/// <summary>
/// QuantConnect University: Live Trading Functionality Demonstration:
/// This algorithm demonstrates the underlying functionality specifically for live trading.
/// </summary>
public class LiveTradingFeaturesAlgorithm : QCAlgorithm
{
/// <summary>
/// Initialise the Algorithm and Prepare Required Data.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 1, 1);
SetEndDate(DateTime.Now.Date.AddDays(-1));
SetCash(25000);
//Equity Data for US Markets:
AddSecurity(SecurityType.Equity, "AAPL", Resolution.Second);
//FOREX Data for Weekends: 24/6
AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute);
//Custom/Bitcoin Live Data: 24/7
AddData<Bitcoin>("BTC", Resolution.Second);
}
/// <summary>
/// New Bitcoin Data Event.
/// </summary>
/// <param name="data">Data.</param>
public void OnData(Bitcoin data)
{
if (LiveMode) //Live Mode Property
{
//Configurable title header statistics numbers
SetRuntimeStatistic("BTC", data.Close.ToString("C"));
}
if (!Portfolio.HoldStock)
{
Order("BTC", 100);
//Send a notification email/SMS/web request on events:
Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
Notify.Sms("+11233456789", Time.ToString("u") + ">> Test message from live BTC server.");
Notify.Web("http://api.quantconnect.com", Time.ToString("u") + ">> Test data packet posted from live BTC server.");
}
}
/// <summary>
/// Raises the data event.
/// </summary>
/// <param name="data">Data.</param>
public void OnData(TradeBars data)
{
if (!Portfolio.HoldStock && data.ContainsKey("AAPL"))
{
int quantity = (int)Math.Floor(Portfolio.Cash / data["AAPL"].Close);
Order("AAPL", quantity);
Debug("Purchased SPY on " + Time.ToShortDateString());
Notify.Email("myemail@gmail.com", "Test", "Test Body", "test attachment");
}
}
}
/// <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:
/// <summary>
/// Open Price
/// </summary>
public decimal Open = 0;
/// <summary>
/// High Price
/// </summary>
public decimal High = 0;
/// <summary>
/// Low Price
/// </summary>
public decimal Low = 0;
/// <summary>
/// Closing Price
/// </summary>
public decimal Close = 0;
/// <summary>
/// Volume in BTC
/// </summary>
public decimal VolumeBTC = 0;
/// <summary>
/// Volume in USD
/// </summary>
public decimal VolumeUSD = 0;
/// <summary>
/// Volume in USD:
/// </summary>
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()
{
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">Configuration object</param>
/// <param name="date">Date of this source file</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>String URL of source file.</returns>
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
if (isLiveMode)
{
return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
}
//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 new SubscriptionDataSource("http://www.quandl.com/api/v1/datasets/BCHARTS/BITSTAMPUSD.csv?sort_order=asc", SubscriptionTransportMedium.RemoteFile);
}
/// <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="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>New Bitcoin Object which extends BaseData.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var coin = new Bitcoin();
if (isLiveMode)
{
//Example Line Format:
//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
try
{
var liveBTC = JsonConvert.DeserializeObject<LiveBitcoin>(line);
coin.Time = DateTime.Now;
coin.Open = liveBTC.Last;
coin.High = liveBTC.High;
coin.Low = liveBTC.Low;
coin.Close = liveBTC.Last;
coin.VolumeBTC = liveBTC.Volume;
coin.WeightedPrice = liveBTC.VWAP;
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, possible error in json decoding */ }
return coin;
}
//Example Line 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
try
{
string[] data = line.Split(',');
coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
coin.Symbol = "BTC";
coin.Value = coin.Close;
}
catch { /* Do nothing, skip first title row */ }
return coin;
}
}
/// <summary>
/// Live data structure
/// </summary>
public class LiveBitcoin
{
[JsonProperty("timestamp")]
public int Timestamp = 0;
[JsonProperty("last")]
public decimal Last = 0;
[JsonProperty("high")]
public decimal High = 0;
[JsonProperty("low")]
public decimal Low = 0;
[JsonProperty("bid")]
public decimal Bid = 0;
[JsonProperty("ask")]
public decimal Ask = 0;
[JsonProperty("vwap")]
public decimal VWAP = 0;
[JsonProperty("volume")]
public decimal Volume = 0;
}
}
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