chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstration of the Market On Close order for US Equities.
+    /// </summary>
+    /// <meta name="tag" content="trading and orders" />
+    /// <meta name="tag" content="placing orders" />
+    public class MarketOnOpenOnCloseAlgorithm : QCAlgorithm
+    {
+        private bool _submittedMarketOnCloseToday;
+        private Security _security;
+
+        /// <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(2013, 10, 07);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Second, fillForward: true, extendedMarketHours: true);
+
+            _security = Securities["SPY"];
+        }
+
+        private DateTime last = DateTime.MinValue;
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (Time.Date != last.Date) // each morning submit a market on open order
+            {
+                _submittedMarketOnCloseToday = false;
+                MarketOnOpenOrder("SPY", 100);
+                last = Time;
+            }
+            if (!_submittedMarketOnCloseToday && _security.Exchange.ExchangeOpen) // once the exchange opens submit a market on close order
+            {
+                _submittedMarketOnCloseToday = true;
+                MarketOnCloseOrder("SPY", -100);
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+            Console.WriteLine(Time + " - " + order.Type + " - " + orderEvent.Status + ":: " + orderEvent);
+        }
+    }
+}