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BasicTemplateCfdAlgorithm.cs
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72 lines (63 loc) · 2.59 KB
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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.Linq;
using QuantConnect.Data;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Algorithm demonstrating CFD asset types and requesting history.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="history" />
/// <meta name="tag" content="cfd" />
public class BasicTemplateCfdAlgorithm : QCAlgorithm
{
private Symbol _symbol;
/// <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()
{
SetAccountCurrency("EUR");
SetStartDate(2019, 2, 20);
SetEndDate(2019, 2, 21);
SetCash("EUR", 100000);
_symbol = AddCfd("DE30EUR").Symbol;
// Historical Data
var history = History(_symbol, 60, Resolution.Daily);
Log($"Received {history.Count()} bars from CFD historical data call.");
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice slice)
{
// Access Data
if (slice.QuoteBars.ContainsKey(_symbol))
{
var quoteBar = slice.QuoteBars[_symbol];
Log($"{quoteBar.EndTime} :: {quoteBar.Close}");
}
if (!Portfolio.Invested)
SetHoldings(_symbol, 1);
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
Debug($"{Time} {orderEvent.ToString()}");
}
}
}