iframe-proxy | Sunbelt Computer Software

History

102 lines (89 loc) · 3.79 KB

Raw

100

101

102

* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// Randomly selects the specified number of symbols from the lists below

/// </summary>

public class StressSymbolsAlgorithm : QCAlgorithm

{

public const int TickSymbolsToRun = 0;

public const int SecondSymbolsToRun = 0;

public const int MinuteSymbolsToRun = 0;

public const int HourSymbolsToRun = 0;

public const int DailySymbolsToRun = 1000;

/// <summary>

/// Add Hundreds of Stock and Forex Symbol

/// </summary>

public override void Initialize()

{

SetStartDate(2001, 10, 07);

SetEndDate(2010, 10, 11);

SetCash(250000);

var allSymbols = StressSymbols.StockSymbols.ToList();//.Concat(ForexSymbols).ToList();

if (TickSymbolsToRun + SecondSymbolsToRun + HourSymbolsToRun + DailySymbolsToRun > allSymbols.Count)

{

throw new Exception("Too many symbols, all symbols: " + allSymbols.Count);

}

var hash = new HashSet<string> {"DNY", "MLNK"};

var ticks = GetRandomSymbols(allSymbols, hash, TickSymbolsToRun).ToList();

var seconds = GetRandomSymbols(allSymbols, hash, SecondSymbolsToRun).ToList();

var minutes = GetRandomSymbols(allSymbols, hash, MinuteSymbolsToRun).ToList();

var hours = GetRandomSymbols(allSymbols, hash, HourSymbolsToRun).ToList();

var daily = GetRandomSymbols(allSymbols, hash, DailySymbolsToRun).ToList();

AddSecurity(ticks, Resolution.Tick);

AddSecurity(seconds, Resolution.Second);

AddSecurity(minutes, Resolution.Minute);

AddSecurity(hours, Resolution.Hour);

AddSecurity(daily, Resolution.Daily);

//SetUniverse(coarse => coarse.Take(1));

}

private void AddSecurity(IEnumerable<string> symbols, Resolution resolution)

{

foreach (var symbol in symbols)

{

var securityType = StressSymbols.ForexSymbols.Contains(symbol) ? SecurityType.Forex : SecurityType.Equity;

AddSecurity(securityType, symbol, resolution);

}

private IEnumerable<string> GetRandomSymbols(List<string> allSymbols, HashSet<string> hash, int numberOfSymbols)

{

return Enumerable.Range(0, numberOfSymbols).Select(x => GetRandomItem(allSymbols, hash));

}

private readonly Random _random = new Random();

private string GetRandomItem(IReadOnlyList<string> list, HashSet<string> hash)

{

var count = 0;

string item;

{

item = list[_random.Next(list.Count)];

count++;

}

while (!hash.Add(item) && count < list.Count*2);

return item;

}

/// <summary>

/// TradeBar data event handler

/// </summary>

public void OnData(TradeBars data)

{

}

Sunbelt Computer Software

PL/B Language Development and Support

Navigation Menu

Sunbelt Computer Software

PL/B Language Development and Support

FilesExpand file tree

StressSymbolsAlgorithm.cs

Latest commit

History

StressSymbolsAlgorithm.cs

File metadata and controls