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GeezerVison is showing github.com — Lean/Algorithm.Python/BasicTemplateForexAlgorithm.py at master · QuantConnect/Lean Expand file tree/ Copy pathBasicTemplateForexAlgorithm.pyMore file actions 53 lines (44 loc) · 2.21 KB / Copy pathBasicTemplateForexAlgorithm.pyFile metadata and controls53 lines (44 loc) · 2.21 KB 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 # 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. from AlgorithmImports import * ### <summary> ### Algorithm demonstrating FOREX asset types and requesting history on them in bulk. As FOREX uses ### QuoteBars you should request slices ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="history and warm up" /> ### <meta name="tag" content="history" /> ### <meta name="tag" content="forex" /> class BasicTemplateForexAlgorithm(QCAlgorithm): def initialize(self): # Set the cash we'd like to use for our backtest self.set_cash(100000) # Start and end dates for the backtest. self.set_start_date(2013, 10, 7) self.set_end_date(2013, 10, 11) # Add FOREX contract you want to trade # find available contracts here https://www.quantconnect.com/data#forex/oanda/cfd self.add_forex("EURUSD", Resolution.MINUTE) self.add_forex("GBPUSD", Resolution.MINUTE) self.add_forex("EURGBP", Resolution.MINUTE) self.history(5, Resolution.DAILY) self.history(5, Resolution.HOUR) self.history(5, Resolution.MINUTE) history = self.history(TimeSpan.from_seconds(5), Resolution.SECOND) for data in sorted(history, key=lambda x: x.time): for key in data.keys(): self.log(str(key.value) + ": " + str(data.time) + " > " + str(data[key].value)) def on_data(self, data): # Print to console to verify that data is coming in for key in data.keys(): self.log(str(key.value) + ": " + str(data.time) + " > " + str(data[key].value)) |
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