/*

* 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 Newtonsoft.Json;

using QuantConnect.Data;

using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// Regression test to demonstrate importing and trading on custom data.

/// </summary>

/// <meta name="tag" content="using data" />

/// <meta name="tag" content="custom data" />

/// <meta name="tag" content="crypto" />

/// <meta name="tag" content="regression test" />

public class CustomDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition

{

/// <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(2011, 9, 13);

SetEndDate(2015, 12, 01);

//Set the cash for the strategy:

SetCash(100000);

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

var resolution = LiveMode ? Resolution.Second : Resolution.Daily;

AddData<Bitcoin>("BTC", resolution);

}

/// <summary>

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

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

/// </summary>

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

public void OnData(Bitcoin data)

{

//If we don't have any bitcoin "SHARES" -- invest"

if (!Portfolio.Invested)

{

//Bitcoin used as a tradable asset, like stocks, futures etc.

if (data.Close != 0)

{

//Access custom data symbols using <ticker>.<custom-type>

Order("BTC.Bitcoin", Portfolio.MarginRemaining / Math.Abs(data.Close + 1));

}

}

}

/// <summary>

/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.

/// </summary>

public bool CanRunLocally { get; } = true;

/// <summary>

/// This is used by the regression test system to indicate which languages this algorithm is written in.

/// </summary>

public Language[] Languages { get; } = { Language.CSharp, Language.Python };

/// <summary>

/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

/// </summary>

public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>

{

{"Total Trades", "1"},

{"Average Win", "0%"},

{"Average Loss", "0%"},

{"Compounding Annual Return", "155.262%"},

{"Drawdown", "84.800%"},

{"Expectancy", "0"},

{"Net Profit", "5123.170%"},

{"Sharpe Ratio", "2.066"},

{"Probabilistic Sharpe Ratio", "68.832%"},

{"Loss Rate", "0%"},

{"Win Rate", "0%"},

{"Profit-Loss Ratio", "0"},

{"Alpha", "1.732"},

{"Beta", "0.037"},

{"Annual Standard Deviation", "0.841"},

{"Annual Variance", "0.707"},

{"Information Ratio", "1.902"},

{"Tracking Error", "0.848"},

{"Treynor Ratio", "46.996"},

{"Total Fees", "$0.00"},

{"Fitness Score", "0"},

{"Kelly Criterion Estimate", "0"},

{"Kelly Criterion Probability Value", "0"},

{"Sortino Ratio", "2.238"},

{"Return Over Maximum Drawdown", "1.832"},

{"Portfolio Turnover", "0"},

{"Total Insights Generated", "0"},

{"Total Insights Closed", "0"},

{"Total Insights Analysis Completed", "0"},

{"Long Insight Count", "0"},

{"Short Insight Count", "0"},

{"Long/Short Ratio", "100%"},

{"Estimated Monthly Alpha Value", "$0"},

{"Total Accumulated Estimated Alpha Value", "$0"},

{"Mean Population Estimated Insight Value", "$0"},

{"Mean Population Direction", "0%"},

{"Mean Population Magnitude", "0%"},

{"Rolling Averaged Population Direction", "0%"},

{"Rolling Averaged Population Magnitude", "0%"},

{"OrderListHash", "-541549381"}

};

/// <summary>

/// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data

/// </summary>

public class Bitcoin : BaseData

{

[JsonProperty("timestamp")]

public int Timestamp = 0;

[JsonProperty("open")]

public decimal Open = 0;

[JsonProperty("high")]

public decimal High = 0;

[JsonProperty("low")]

public decimal Low = 0;

[JsonProperty("last")]

public decimal Close = 0;

[JsonProperty("bid")]

public decimal Bid = 0;

[JsonProperty("ask")]

public decimal Ask = 0;

[JsonProperty("vwap")]

public decimal WeightedPrice = 0;

[JsonProperty("volume")]

public decimal VolumeBTC = 0;

public decimal VolumeUSD = 0;

/// <summary>

/// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.

/// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".

/// </summary>

public Bitcoin()

{

Symbol = "BTC";

}

/// <summary>

/// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:

/// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.

/// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.

/// </summary>

/// <param name="config">Configuration object</param>

/// <param name="date">Date of this source file</param>

/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>

/// <returns>String URL of source file.</returns>

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

{

if (isLiveMode)

{

return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);

}

//return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";

// OR simply return a fixed small data file. Large files will slow down your backtest

return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile);

}

/// <summary>

/// 3. READER METHOD: Read 1 line from data source and convert it into Object.

/// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line

/// feeds it into your algorithm

/// </summary>

/// <param name="line">string line from the data source file submitted above</param>

/// <param name="config">Subscription data, symbol name, data type</param>

/// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>

/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>

/// <returns>New Bitcoin Object which extends BaseData.</returns>

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

{

var coin = new Bitcoin();

if (isLiveMode)

{

//Example Line Format:

//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}

try

{

coin = JsonConvert.DeserializeObject<Bitcoin>(line);

coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone);

coin.Value = coin.Close;

}

catch { /* Do nothing, possible error in json decoding */ }

return coin;

}

//Example Line Format:

//Date Open High Low Close Volume (BTC) Volume (Currency) Weighted Price

//2011-09-13 5.8 6.0 5.65 5.97 58.37138238, 346.0973893944 5.929230648356

try

{

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

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

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

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

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

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

coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);

coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);

coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);

coin.Value = coin.Close;

}

catch { /* Do nothing, skip first title row */ }

return coin;

}

}

}

}