/*

* 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.Market;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// This algorithm is used to benchmark the Lean engine data points per second

/// </summary>

/// <remarks>

/// date | commit | time (s) | K points/sec | Total points | Description

/// 15.04.09 | 9924b0a | 47.50 | 338 | ~16M | Update all securities prices before any events

/// 15.04.13 | 9acf934 | 45.77 | 350 | ~16M | Forex portfolio modelling

/// 15.04.23 | 6fd357b | 44.38 | 361 | ~16M | Adds support for dividends and splits

/// 15.04.24 | d80b173 | 43.18 | 372 | ~16M | Pre IB launch review

/// 15.04.24 | 8b4fc17 | 43.43 | 369 | ~16M | AlgorithmManager clean up

/// 15.04.30 | 9918628 | 43.11 | 372 | ~16M | Improve ObjectActivator performance

/// 15.04.30 | 49b398f | 43.02 | 373 | ~16M | DataStream sync at end of bar

/// </remarks>

public class BenchmarkAlgorithm : QCAlgorithm

{

/// <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(2013, 09, 15); //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, "SPY", Resolution.Tick);

AddSecurity(SecurityType.Equity, "AAPL", Resolution.Second);

AddSecurity(SecurityType.Equity, "ADBE", Resolution.Minute);

AddSecurity(SecurityType.Equity, "IBM", Resolution.Tick);

AddSecurity(SecurityType.Equity, "JNJ", Resolution.Second);

AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);

AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Tick);

AddSecurity(SecurityType.Forex, "EURGBP", Resolution.Second);

AddSecurity(SecurityType.Forex, "GBPUSD", Resolution.Minute);

AddSecurity(SecurityType.Forex, "USDJPY", Resolution.Tick);

AddSecurity(SecurityType.Forex, "NZDUSD", Resolution.Second);

}

/// <summary>

/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

/// </summary>

/// <param name="data">TradeBars IDictionary object with your stock data</param>

public void OnData(TradeBars data)

{

if (!Portfolio.Invested)

{

SetHoldings("SPY", .75); // leave some room lest we experience a margin call!

Debug("Purchased Stock");

}

}

}

}