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Add template algorithms
Two demonstration algorithms showing how to incorporate Python into a C# algorithm and vice versa
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‎Algorithm.CSharp/BasicPythonIntegrationTemplateAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Data;
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using Python.Runtime;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class BasicPythonIntegrationTemplateAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2018, 11, 10); //Set Start Date
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SetEndDate(2018, 12, 1);
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SetCash(100000); //Set Strategy Cash
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AddEquity("SPY", Resolution.Minute);
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}
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private decimal ComputeSin(decimal value)
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{
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using (Py.GIL())
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{
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dynamic np = Py.Import("numpy");
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return (decimal)np.sin(value);
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}
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}
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// Slice object keyed by symbol containing the stock data
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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var sin = ComputeSin(10);
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var sinOfTen = Math.Sin(10);
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Log($"According to Python, the value of sin(10) is: {sin}");
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Log($"According to C#, the value of sin(10) is: {sinOfTen}");
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}
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}
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}
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}

‎Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj‎

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<Compile Include="Alphas\TriangleExchangeRateArbitrageAlpha.cs" />
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<Compile Include="Alphas\TripleLeveragedETFPairVolatilityDecayAlpha.cs" />
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<Compile Include="Alphas\VixDualThrustAlpha.cs" />
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<Compile Include="BasicPythonIntegrationTemplateAlgorithm.cs" />
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<Compile Include="BasicSetAccountCurrencyAlgorithm.cs" />
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<Compile Include="Benchmarks\StatefulCoarseUniverseSelectionBenchmark.cs" />
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<Compile Include="Benchmarks\StatelessCoarseUniverseSelectionBenchmark.cs" />

‎Algorithm.Python/BasicCSharpIntegrationTemplateAlgorithm.py‎

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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AddReference("System.Windows.Forms")
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from System import *
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from System.Collections import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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import numpy as np
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class BasicCSharpIntegrationTemplateAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10, 7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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self.AddEquity("SPY", Resolution.Second)
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self.Debug(f'According to Python, the value of sin(10) is {np.sin(10)}')
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self.Debug(f'According to C#, the value of sin(10) is {Math.Sin(10)}')
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)

‎Algorithm.Python/QuantConnect.Algorithm.Python.csproj‎

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<Content Include="Alphas\ShareClassMeanReversionAlpha.py" />
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<Content Include="Alphas\TripleLeverageETFPairVolatilityDecayAlpha.py" />
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<Content Include="Alphas\VIXDualThrustAlpha.py" />
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<Content Include="BasicCSharpIntegrationTemplateAlgorithm.py" />
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<Content Include="BasicSetAccountCurrencyAlgorithm.py" />
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<Content Include="USEnergyInformationAdministrationAlgorithm.py" />
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<None Include="RawPricesUniverseRegressionAlgorithm.py" />

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