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main.py
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main.py
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#
# Ichimoku Kinko Quant
#
from clr import AddReference
from moneymanagement import MoneyManagement
from moneymanagementatr import MoneyManagementAtr
from pricecrosskijun import PriceCrossKijun
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Indicators")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Indicators import *
from QuantConnect.Indicators.CandlestickPatterns import *
from datetime import timedelta
from symboldata import SymbolData
class IKQAlgorithm(QCAlgorithmFrameworkBridge):
def Initialize(self):
# Set requested data resolution
# self.UniverseSettings.Resolution = Resolution.Minute
# Set the cash we'd like to use for our backtest
# This is ignored in live trading
self.SetCash(1000)
# Start and end dates for the backtest.
# These are ignored in likeve trading.
self.SetStartDate(2011, 1, 1)
#self.SetEndDate(2016, 1, 1)
self.symbols = [
#["EURUSD", ["kijunpullback"], [9, 33, 129], [26, 65, 257], [52, 130, 514], 10],
#["GBPNZD", ["pricecrosskijun"], [9,9,9], [26,26,26], [52,52,52]],
#["GBPAUD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
["GBPJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["GBPUSD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["GBPCHF", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["EURGBP", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["EURUSD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["EURAUD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["EURNZD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["AUDUSD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["AUDCHF", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["AUDNZD", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["AUDJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["EURJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["CADJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["USDJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
#["NZDJPY", ["pricecrosskijun"], [9, 9, 9], [26, 26, 26], [52, 52, 52]],
]
# Set Brokerage model to load OANDA fee structure.
self.SetBrokerageModel(BrokerageName.OandaBrokerage)
# Add assets you'd like to see
# Code Automatically Generated
# Holds all of our data keyed by each symbol
self.Data15 = {}
self.Data60 = {}
for symbol, managerType, tenkan, kijun, senkou in self.symbols:
forex = self.AddSecurity(SecurityType.Forex, symbol, Resolution.Minute, leverage=30.0)
self.Data15[symbol] = SymbolData(symbol, 15, tenkan[0], kijun[0], senkou[0], managerType)
self.Data60[symbol] = SymbolData(symbol, 60, tenkan[1], kijun[1], senkou[1], managerType)
# loop through all our symbols and request data subscriptions and initialize indicator
for symbol, symbolData in self.Data15.items():
# define a consolidator to consolidate data for this symbol on the requested period
consolidator = QuoteBarConsolidator(timedelta(minutes=symbolData.period))
self.register_indicators(symbol, symbolData, consolidator)
# write up our consolidator to update the indicator
consolidator.DataConsolidated += self.OnDataConsolidated15
# we need to add this consolidator so it gets auto updates
self.SubscriptionManager.AddConsolidator(symbol, consolidator)
bars = map(lambda x: x[symbol], self.History(timedelta(53), Resolution.Minute))
for bar in bars:
consolidator.Update(bar)
for symbol, symbolData in self.Data60.items():
# define a consolidator to consolidate data for this symbol on the requested period
consolidator = QuoteBarConsolidator(timedelta(minutes=symbolData.period))
self.register_indicators(symbol, symbolData, consolidator)
# write up our consolidator to update the indicator
consolidator.DataConsolidated += self.OnDataConsolidated60
# we need to add this consolidator so it gets auto updates
self.SubscriptionManager.AddConsolidator(symbol, consolidator)
bars = map(lambda x: x[symbol], self.History(timedelta(53), Resolution.Minute))
for bar in bars:
consolidator.Update(bar)
self.SetWarmUp(timedelta(53))
def register_indicators(self, symbol, symbolData, consolidator):
# define the indicator
symbolData.ichimoku = IchimokuKinkoHyo(
self.CreateIndicatorName(symbol, "IKH" + str(symbolData.period), Resolution.Minute), symbolData.tenkan, symbolData.kijun, symbolData.kijun,
symbolData.senkou, symbolData.kijun, symbolData.kijun)
symbolData.moneyManagement.append(MoneyManagement(self, symbol, symbolData.tenkan, symbolData.kijun, symbolData.senkou, symbolData.period))
symbolData.moneyManagement.append(MoneyManagementAtr(self, symbol, symbolData.tenkan, symbolData.kijun, symbolData.senkou, symbolData.period))
self.RegisterIndicator(symbol, symbolData.ichimoku, consolidator)
for pattern in symbolData.patterns:
self.RegisterIndicator(symbol, pattern, consolidator)
def OnDataConsolidated15(self, sender, bar):
'''This is our event handler for our 30 minute trade bar defined above in Initialize(). So each time the
consolidator produces a new 30 minute bar, this function will be called automatically. The 'sender' parameter
will be the instance of the IDataConsolidator that invoked the event, but you'll almost never need that!'''
if bar.Symbol.Value not in self.Data15:
return
if self.IsWarmingUp:
return
self.Data15[bar.Symbol.Value].bar = bar
self.Data15[bar.Symbol.Value].check_candle_patterns_long()
self.Data15[bar.Symbol.Value].check_candle_patterns_short()
self.Data15[bar.Symbol.Value].update_candles()
if len(self.Data60[bar.Symbol.Value].candles) > 53:
if "pricecrosskijun" in self.Data15[bar.Symbol.Value].moneyManagerType:
PriceCrossKijun(self.Data15[bar.Symbol.Value].moneyManagement[0]).update(self.Data15[bar.Symbol.Value].candles, self.Data60[bar.Symbol.Value].candles)
PriceCrossKijun(self.Data15[bar.Symbol.Value].moneyManagement[1]).update(self.Data15[bar.Symbol.Value].candles, self.Data60[bar.Symbol.Value].candles)
def OnDataConsolidated60(self, sender, bar):
'''This is our event handler for our 30 minute trade bar defined above in Initialize(). So each time the
consolidator produces a new 30 minute bar, this function will be called automatically. The 'sender' parameter
will be the instance of the IDataConsolidator that invoked the event, but you'll almost never need that!'''
if bar.Symbol.Value not in self.Data60:
return
if self.IsWarmingUp:
return
self.Data60[bar.Symbol.Value].bar = bar
self.Data60[bar.Symbol.Value].check_candle_patterns_long()
self.Data60[bar.Symbol.Value].check_candle_patterns_short()
self.Data60[bar.Symbol.Value].update_candles()
def OnOrderEvent(self, orderEvent):
self.after_order_event(self.Data15, orderEvent)
self.after_order_event(self.Data60, orderEvent)
def after_order_event(self, data, orderEvent):
order = self.Transactions.GetOrderById(orderEvent.OrderId)
for symbol, symbolData in data.items():
for management in symbolData.moneyManagement:
pos = 0
for position in management.positions:
if position.stopOrder and position.stopOrder.OrderId == orderEvent.OrderId and order.Status == OrderStatus.Filled:
position.leave = order.StopPrice
self.Log("Filled {0}: {1}: {2}: Result:{3}".format(self.Time, order.Type, orderEvent,
position.Result))
management.positions[pos] = position
management.close_orders(position.type)
break
pos += 1