chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,193 @@
|
||||
/*
|
||||
* 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.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides a regression baseline focused on updating orders
|
||||
/// </summary>
|
||||
/// <meta name="tag" content="regression test" />
|
||||
public class UpdateOrderLiveTestAlgorithm : QCAlgorithm
|
||||
{
|
||||
private static readonly Random Random = new Random();
|
||||
|
||||
private const decimal ImmediateCancelPercentage = 0.05m;
|
||||
|
||||
private int _lastMinute = -1;
|
||||
private Security _security;
|
||||
private int _quantity = 5;
|
||||
private string _symbol = "SPY";
|
||||
private const int DeltaQuantity = 1;
|
||||
|
||||
private const decimal StopPercentage = 0.025m;
|
||||
private const decimal StopPercentageDelta = 0.005m;
|
||||
private const decimal LimitPercentage = 0.025m;
|
||||
private const decimal LimitPercentageDelta = 0.005m;
|
||||
|
||||
private const SecurityType SecType = SecurityType.Equity;
|
||||
|
||||
private readonly CircularQueue<OrderType> _orderTypesQueue = new CircularQueue<OrderType>(new []
|
||||
{
|
||||
OrderType.MarketOnOpen,
|
||||
OrderType.MarketOnClose,
|
||||
OrderType.StopLimit,
|
||||
OrderType.StopMarket,
|
||||
OrderType.Limit,
|
||||
OrderType.Market
|
||||
});
|
||||
|
||||
private readonly List<OrderTicket> _tickets = new List<OrderTicket>();
|
||||
|
||||
private readonly HashSet<int> _immediateCancellations = new HashSet<int>();
|
||||
|
||||
/// <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, 07); //Set End Date
|
||||
SetCash(100000); //Set Strategy Cash
|
||||
// Find more symbols here: http://quantconnect.com/data
|
||||
AddSecurity(SecType, _symbol, Resolution.Second);
|
||||
_security = Securities[_symbol];
|
||||
|
||||
_orderTypesQueue.CircleCompleted += (sender, args) =>
|
||||
{
|
||||
// flip our signs
|
||||
_quantity *= -1;
|
||||
};
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
||||
/// </summary>
|
||||
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
if (!_security.HasData)
|
||||
{
|
||||
Log("::::: NO DATA :::::");
|
||||
return;
|
||||
}
|
||||
|
||||
// each month make an action
|
||||
if (Time.Minute != _lastMinute && Time.Second == 0)
|
||||
{
|
||||
Log("");
|
||||
Log("--------------Minute: " + Time.Minute);
|
||||
Log("");
|
||||
_lastMinute = Time.Minute;
|
||||
// we'll submit the next type of order from the queue
|
||||
var orderType = _orderTypesQueue.Dequeue();
|
||||
Log("ORDER TYPE:: " + orderType);
|
||||
var isLong = _quantity > 0;
|
||||
var stopPrice = isLong ? (1 + StopPercentage) * _security.High : (1 - StopPercentage) * _security.Low;
|
||||
var limitPrice = isLong ? (1 - LimitPercentage) * stopPrice : (1 + LimitPercentage) * stopPrice;
|
||||
if (orderType == OrderType.Limit)
|
||||
{
|
||||
limitPrice = !isLong ? (1 + LimitPercentage) * _security.High : (1 - LimitPercentage) * _security.Low;
|
||||
}
|
||||
var request = new SubmitOrderRequest(orderType, SecType, Securities[_symbol].Symbol, _quantity, stopPrice, limitPrice, Time, orderType.ToString());
|
||||
var ticket = Transactions.AddOrder(request);
|
||||
_tickets.Add(ticket);
|
||||
if ((decimal)Random.NextDouble() < ImmediateCancelPercentage)
|
||||
{
|
||||
Log("Immediate cancellation requested!");
|
||||
_immediateCancellations.Add(ticket.OrderId);
|
||||
}
|
||||
}
|
||||
else if (_tickets.Count > 0)
|
||||
{
|
||||
var ticket = _tickets.Last();
|
||||
if (Time.Second > 15 && Time.Second < 30)
|
||||
{
|
||||
if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
|
||||
{
|
||||
Log(ticket.ToString());
|
||||
ticket.Update(new UpdateOrderFields
|
||||
{
|
||||
Quantity = ticket.Quantity + Math.Sign(_quantity) * DeltaQuantity,
|
||||
Tag = "Change quantity: " + Time
|
||||
});
|
||||
Log("UPDATE1:: " + ticket.UpdateRequests.Last());
|
||||
}
|
||||
}
|
||||
else if (Time.Second > 29 && Time.Second < 45)
|
||||
{
|
||||
if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
|
||||
{
|
||||
Log(ticket.ToString());
|
||||
ticket.Update(new UpdateOrderFields
|
||||
{
|
||||
LimitPrice = _security.Price * (1 - Math.Sign(ticket.Quantity) * LimitPercentageDelta),
|
||||
StopPrice = _security.Price * (1 + Math.Sign(ticket.Quantity) * StopPercentageDelta),
|
||||
Tag = "Change prices: " + Time
|
||||
});
|
||||
Log("UPDATE2:: " + ticket.UpdateRequests.Last());
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
|
||||
{
|
||||
Log(ticket.ToString());
|
||||
ticket.Cancel(Time + " and is still open!");
|
||||
Log("CANCELLED:: " + ticket.CancelRequest);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
if (_immediateCancellations.Contains(orderEvent.OrderId))
|
||||
{
|
||||
_immediateCancellations.Remove(orderEvent.OrderId);
|
||||
Transactions.CancelOrder(orderEvent.OrderId);
|
||||
}
|
||||
|
||||
if (orderEvent.Status == OrderStatus.Filled)
|
||||
{
|
||||
Log("FILLED:: " + Transactions.GetOrderById(orderEvent.OrderId) + " FILL PRICE:: " + orderEvent.FillPrice.SmartRounding());
|
||||
}
|
||||
else
|
||||
{
|
||||
Log(orderEvent.ToString());
|
||||
}
|
||||
}
|
||||
|
||||
private new void Log(string msg)
|
||||
{
|
||||
// redirect live logs to debug window
|
||||
if (LiveMode)
|
||||
{
|
||||
Debug(msg);
|
||||
}
|
||||
else
|
||||
{
|
||||
base.Log(msg);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user