/*

* 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 System.Collections.Generic;

using System.Globalization;

using System.Linq;

using QuantConnect.Data;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// 3.0 CUSTOM DATA SOURCE: USE YOUR OWN MARKET DATA (OPTIONS, FOREX, FUTURES, DERIVATIVES etc).

///

/// The new QuantConnect Lean Backtesting Engine is incredibly flexible and allows you to define your own data source.

///

/// This includes any data source which has a TIME and VALUE. These are the *only* requirements. To demonstrate this we're loading

/// in "Nifty" data. This by itself isn't special, the cool part is next:

///

/// We load the "Nifty" data as a tradable security we're calling "NIFTY".

///

/// </summary>

public class CustomDataNIFTYAlgorithm : QCAlgorithm

{

//Create variables for analyzing Nifty

CorrelationPair today = new CorrelationPair();

List<CorrelationPair> prices = new List<CorrelationPair>();

int minimumCorrelationHistory = 50;

/// <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(2008, 1, 8);

SetEndDate(2014, 7, 25);

//Set the cash for the strategy:

SetCash(100000);

//Define the symbol and "type" of our generic data:

AddData<DollarRupee>("USDINR");

AddData<Nifty>("NIFTY");

}

/// <summary>

/// Event Handler for Nifty Data Events: These Nifty objects are created from our

/// "Nifty" type below and fired into this event handler.

/// </summary>

/// <param name="data">One(1) Nifty Object, streamed into our algorithm synchronised in time with our other data streams</param>

public void OnData(DollarRupee data)

{

today = new CorrelationPair(data.Time);

today.CurrencyPrice = Convert.ToDouble(data.Close);

}

/// <summary>

/// OnData is the primary entry point for youm algorithm. New data is piped into your algorithm here

/// via TradeBars objects.

/// </summary>

/// <param name="data">TradeBars IDictionary object</param>

public void OnData(Nifty data)

{

try

{

int quantity = (int)(Portfolio.TotalPortfolioValue * 0.9m / data.Close);

today.NiftyPrice = Convert.ToDouble(data.Close);

if (today.Date == data.Time)

{

prices.Add(today);

if (prices.Count > minimumCorrelationHistory)

{

prices.RemoveAt(0);

}

}

//Strategy

double highestNifty = (from pair in prices select pair.NiftyPrice).Max();

double lowestNifty = (from pair in prices select pair.NiftyPrice).Min();

if (Time.DayOfWeek == DayOfWeek.Wednesday) //prices.Count >= minimumCorrelationHistory &&

{

//List<double> niftyPrices = (from pair in prices select pair.NiftyPrice).ToList();

//List<double> currencyPrices = (from pair in prices select pair.CurrencyPrice).ToList();

//double correlation = Correlation.Pearson(niftyPrices, currencyPrices);

//double niftyFraction = (correlation)/2;

if (Convert.ToDouble(data.Open) >= highestNifty)

{

int code = Order("NIFTY", quantity - Portfolio["NIFTY"].Quantity);

Debug("LONG " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);

}

else if (Convert.ToDouble(data.Open) <= lowestNifty)

{

int code = Order("NIFTY", -quantity - Portfolio["NIFTY"].Quantity);

Debug("SHORT " + code + " Time: " + Time.ToShortDateString() + " Quantity: " + quantity + " Portfolio:" + Portfolio["NIFTY"].Quantity + " Nifty: " + data.Close + " Buying Power: " + Portfolio.TotalPortfolioValue);

}

}

}

catch (Exception err)

{

Debug("Error: " + err.Message);

}

}

/// <summary>

/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).

/// </summary>

/// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>

public override void OnEndOfDay()

{

//if(niftyData != null)

{

Plot("Nifty Closing Price", today.NiftyPrice);

}

}

}

/// <summary>

/// NIFTY Custom Data Class

/// </summary>

public class Nifty : BaseData

{

/// <summary>

/// Opening Price

/// </summary>

public decimal Open = 0;

/// <summary>

/// High Price

/// </summary>

public decimal High = 0;

/// <summary>

/// Low Price

/// </summary>

public decimal Low = 0;

/// <summary>

/// Closing Price

/// </summary>

public decimal Close = 0;

/// <summary>

/// Default initializer for NIFTY.

/// </summary>

public Nifty()

{

Symbol = "NIFTY";

}

/// <summary>

/// Return the URL string source of the file. This will be converted to a stream

/// </summary>

public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)

{

return new SubscriptionDataSource("https://www.dropbox.com/s/rsmg44jr6wexn2h/CNXNIFTY.csv?dl=1", SubscriptionTransportMedium.RemoteFile);

}

/// <summary>

/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object

/// each time it is called.

/// </summary>

public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)

{

//New Nifty object

Nifty index = new Nifty();

try

{

//Example File Format:

//Date, Open High Low Close Volume Turnover

//2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670 6107.78

string[] data = line.Split(',');

index.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);

index.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);

index.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);

index.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);

index.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);

index.Symbol = "NIFTY";

index.Value = index.Close;

}

catch

{

}

return index;

}

}

/// <summary>

/// Dollar Rupe is a custom data type we create for this algorithm

/// </summary>

public class DollarRupee : BaseData

{

/// <summary>

/// Open Price

/// </summary>

public decimal Open = 0;

/// <summary>

/// High Price

/// </summary>

public decimal High = 0;

/// <summary>

/// Low Price

/// </summary>

public decimal Low = 0;

/// <summary>

/// Closing Price

/// </summary>

public decimal Close = 0;

/// <summary>

/// Default constructor for the custom data class.

/// </summary>

public DollarRupee()

{

Symbol = "USDINR";

}

/// <summary>

/// Return the URL string source of the file. This will be converted to a stream

/// </summary>

public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)

{

return new SubscriptionDataSource("https://www.dropbox.com/s/m6ecmkg9aijwzy2/USDINR.csv?dl=1", SubscriptionTransportMedium.RemoteFile);

}

/// <summary>

/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object

/// each time it is called.

/// </summary>

public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)

{

//New USDINR object

DollarRupee currency = new DollarRupee();

try

{

string[] data = line.Split(',');

currency.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);

currency.Close = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);

currency.Symbol = "USDINR";

currency.Value = currency.Close;

}

catch

{

}

return currency;

}

}

/// <summary>

/// Correlation Pair is a helper class to combine two data points which we'll use to perform the correlation.

/// </summary>

public class CorrelationPair

{

/// <summary>

/// Date of the correlation pair

/// </summary>

public DateTime Date = new DateTime();

/// <summary>

/// Nifty price for this correlation pair

/// </summary>

public double NiftyPrice = 0;

/// <summary>

/// Currency price for this correlation pair

/// </summary>

public double CurrencyPrice = 0;

/// <summary>

/// Default initializer

/// </summary>

public CorrelationPair()

{ }

/// <summary>

/// Date based correlation pair initializer

/// </summary>

public CorrelationPair(DateTime date)

{

Date = date.Date;

}

}

}