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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 QuantConnect.Data;
using QuantConnect.Indicators;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Demonstration algorthm for the Warm Up feature with basic indicators.
/// </summary>
/// <meta name="tag" content="indicators" />
/// <meta name="tag" content="warm up" />
/// <meta name="tag" content="history and warm up" />
/// <meta name="tag" content="using data" />
public class WarmupAlgorithm : QCAlgorithm
{
private bool _first = true;
private string _symbol = "SPY";
private const int FastPeriod = 60;
private const int SlowPeriod = 3600;
private ExponentialMovingAverage _fast, _slow;
public override void Initialize()
{
SetStartDate(2013, 10, 08); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, _symbol, Resolution.Second);
_fast = EMA(_symbol, FastPeriod);
_slow = EMA(_symbol, SlowPeriod);
SetWarmup(SlowPeriod);
}
/// <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 data)
{
if (_first && !IsWarmingUp)
{
_first = false;
Debug("Fast: " + _fast.Samples);
Debug("Slow: " + _slow.Samples);
}
if (_fast > _slow)
{
SetHoldings(_symbol, 1);
}
else
{
SetHoldings(_symbol, -1);
}
}
}
}
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