{

//Create variables for analyzing Nifty

private CorrelationPair _today = new CorrelationPair();

private readonly List<CorrelationPair> _prices = new List<CorrelationPair>();

private const int _minimumCorrelationHistory = 50;

/// <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(2008, 1, 8);

SetEndDate(2014, 7, 25);

//Set the cash for the strategy:

SetCash(100000);

//Define the symbol and "type" of our generic data:

AddData<DollarRupee>("USDINR");

AddData<Nifty>("NIFTY");

}

/// <summary>

/// Event Handler for Nifty Data Events: These Nifty objects are created from our

/// "Nifty" type below and fired into this event handler.

/// </summary>

/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>

public void OnData(DollarRupee data)

{

_today = new CorrelationPair(data.Time) {CurrencyPrice = Convert.ToDouble(data.Close)};

}

/// <summary>

/// OnData is the primary entry point for youm algorithm. New data is piped into your algorithm here

/// via TradeBars objects.

/// </summary>

/// <param name="data">TradeBars IDictionary object</param>

public void OnData(Nifty data)

{

try

{

var quantity = (int)(Portfolio.TotalPortfolioValue * 0.9m / data.Close);

_today.NiftyPrice = Convert.ToDouble(data.Close);

if (_today.Date == data.Time)

{

_prices.Add(_today);

if (_prices.Count > _minimumCorrelationHistory)

{

_prices.RemoveAt(0);

}

}

//Strategy

var highestNifty = (from pair in _prices select pair.NiftyPrice).Max();

var lowestNifty = (from pair in _prices select pair.NiftyPrice).Min();

if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&

{

//List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();

//List<double> currencyPrices = (from pair in prices select pair.CurrencyPrice).ToList();

//double correlation = Correlation.Pearson(niftyPrices, currencyPrices);

//double niftyFraction = (correlation)/2;

if (Convert.ToDouble(data.Open) >= highestNifty)

{

var code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);

Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);

}

else if (Convert.ToDouble(data.Open) <= lowestNifty)

{

var code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);

Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);

}

}

}

catch (Exception err)

{

Debug("Error: " + err.Message);

}

}

/// <summary>

/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).

/// </summary>

/// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>

public override void OnEndOfDay()

{

Plot("Nifty Closing Price", _today.NiftyPrice);

}

{

/// <summary>

/// Opening Price

/// </summary>

public decimal Open;

/// <summary>

/// High Price

/// </summary>

public decimal High;

/// <summary>

/// Low Price

/// </summary>

public decimal Low;

/// <summary>

/// Closing Price

/// </summary>

public decimal Close;

/// <summary>

/// Default initializer for NIFTY.

/// </summary>

public Nifty()

{

Symbol = "NIFTY";

}

/// <summary>

/// Return the URL string source of the file. This will be converted to a stream

/// </summary>

public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)

{

return new SubscriptionDataSource("https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1", SubscriptionTransportMedium.RemoteFile);

}

/// <summary>

/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object

/// each time it is called.

/// </summary>

public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)

{

//New Nifty object

var index = new Nifty();

try

{

//Example File Format:

//Date, Open High Low Close Volume Turnover

//2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78

var data = line.Split(',');

index.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);

index.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);

index.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);

index.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);

index.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);

index.Symbol = "NIFTY";

index.Value = index.Close;

}

catch

{

}

return index;

}

{

/// <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;

/// <summary>

/// Default constructor for the custom data class.

/// </summary>

public DollarRupee()

{

Symbol = "USDINR";

}

/// <summary>

/// Return the URL string source of the file. This will be converted to a stream

/// </summary>

public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)

{

return new SubscriptionDataSource("https://www.dropbox.com/s/m6ecmkg9aijwzy2/USDINR.csv?dl=1", SubscriptionTransportMedium.RemoteFile);

}

/// <summary>

/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object

/// each time it is called.

/// </summary>

public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)

{

//New USDINR object

var currency = new DollarRupee();

try

{

var data = line.Split(',');

currency.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);

currency.Close = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);

currency.Symbol = "USDINR";

currency.Value = currency.Close;

}

catch

{

}

return currency;

}

{

/// <summary>

/// Date of the correlation pair

/// </summary>

public DateTime Date;

/// <summary>

/// Nifty price for this correlation pair

/// </summary>

public double NiftyPrice;

/// <summary>

/// Currency price for this correlation pair

/// </summary>

public double CurrencyPrice;

/// <summary>

/// Default initializer

/// </summary>

public CorrelationPair()

{ }

/// <summary>

/// Date based correlation pair initializer

/// </summary>

public CorrelationPair(DateTime date)

{

Date = date.Date;

}