TestAlgorithm.cs

namespace QuantConnect {
    public class BasicTemplateAlgorithm: QCAlgorithm {
        decimal lastPrice;

        decimal DELTA = 3;
        decimal AMOUNT = 1;

        public override void Initialize() {
            // backtest parameters
            SetStartDate(2016, 1, 1);
            SetEndDate(DateTime.Now);

            // cash allocation
            SetCash(1000000);

            AddEquity("SPY", Resolution.Minute);

            this.lastPrice = -1;
        }

        /* 
        *	New data arrives here.
        *	The "Slice" data represents a slice of time.
        */
        public override void OnData(Slice data) {
            TradeBars bars = data.Bars;

            // Get just this bar.
            TradeBar bar;
            if (!bars.ContainsKey("SPY")) {
                throw new Exception("Could not find SPY in bar.");
            }
            bar = bars["SPY"];

            // First piece of data? Set up last price.
            if (this.lastPrice == -1) {
                this.lastPrice = bar.Close;
                return;
            }

            // Don't hold anything? Buy 100 shares.
            if (!Portfolio.HoldStock) {
                Buy("SPY", 100);
                return;
            }

            // Went down? Buy.
            if (bar.Close < this.lastPrice - this.DELTA) {
                Buy("SPY", this.AMOUNT);
            }

            // Went up? Sell.
            if (bar.Close > this.lastPrice + this.DELTA) {
                Sell("SPY", this.AMOUNT);
            }

            // Update last price
            this.lastPrice = bar.Close;
        }
    }
}