G10CurrencySelectionModelFrameworkAlgorithm.cs

/*
 * 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.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Orders;
using System;
using System.Linq;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Framework algorithm that uses the G10CurrencySelectionModel,
    /// a Universe Selection Model that inherits from ManualUniverseSelectionModel
    /// </summary>
    public class G10CurrencySelectionModelFrameworkAlgorithm : 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()
        {
            // Set requested data resolution
            UniverseSettings.Resolution = Resolution.Minute;

            SetStartDate(2013, 10, 07);  //Set Start Date
            SetEndDate(2013, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            // set algorithm framework models
            SetUniverseSelection(new G10CurrencySelectionModel());
            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
            SetExecution(new ImmediateExecutionModel());
            SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (orderEvent.Status.IsFill())
            {
                Debug($"Purchased Stock: {orderEvent.Symbol}");
            }
        }

        private class G10CurrencySelectionModel : ManualUniverseSelectionModel
        {
            /// <summary>
            /// Initializes a new instance of the <see cref="G10CurrencySelectionModel"/> class
            /// using the algorithm's security initializer and universe settings
            /// </summary>
            public G10CurrencySelectionModel()
                : base(new[]
                {
                "EURUSD",
                "GBPUSD",
                "USDJPY",
                "AUDUSD",
                "NZDUSD",
                "USDCAD",
                "USDCHF",
                "USDNOK",
                "USDSEK"
                }.Select(x => QuantConnect.Symbol.Create(x, SecurityType.Forex, Market.Oanda)))
            {
            }
        }
    }
}