forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Expand file tree
/
Copy pathBasicTemplateIndexDailyAlgorithm.cs
More file actions
93 lines (82 loc) · 3.32 KB
/
Copy pathBasicTemplateIndexDailyAlgorithm.cs
File metadata and controls
93 lines (82 loc) · 3.32 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
/*
* 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.Data;
using System.Collections.Generic;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Regression for running an Index algorithm with Daily data
/// </summary>
public class BasicTemplateIndexDailyAlgorithm : BasicTemplateIndexAlgorithm
{
protected override Resolution Resolution => Resolution.Daily;
protected override int StartDay => 1;
// two complete weeks starting from the 5th. The 18th bar is not included since it is a holiday
protected virtual int ExpectedBarCount => 2 * 5;
protected int BarCounter = 0;
/// <summary>
/// Purchase a contract when we are not invested, liquidate otherwise
/// </summary>
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
// SPX Index is not tradable, but we can trade an option
MarketOrder(SpxOption, 1);
}
else
{
Liquidate();
}
// Count how many slices we receive with SPX data in it to assert later
if (slice.ContainsKey(Spx))
{
BarCounter++;
}
}
public override void OnEndOfAlgorithm()
{
if (BarCounter != ExpectedBarCount)
{
throw new ArgumentException($"Bar Count {BarCounter} is not expected count of {ExpectedBarCount}");
}
}
/// <summary>
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
/// </summary>
public override bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public override Language[] Languages { get; } = { Language.CSharp };
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public override long DataPoints => 0;
/// <summary>
/// Data Points count of the algorithm history
/// </summary>
public override int AlgorithmHistoryDataPoints => 0;
/// <summary>
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
/// </summary>
public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
};
}
}