chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.
+
+from AlgorithmImports import *
+
+### <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" />
+class MarketOnOpenOnCloseAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        self.set_start_date(2013,10,7)   #Set Start Date
+        self.set_end_date(2013,10,11)    #Set End Date
+        self.set_cash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        self.equity = self.add_equity("SPY", Resolution.SECOND, fill_forward = True, extended_market_hours = True)
+        self.__submitted_market_on_close_today = False
+        self.__last = datetime.min
+
+    def on_data(self, data):
+        '''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
+        if self.time.date() != self.__last.date():   # each morning submit a market on open order
+            self.__submitted_market_on_close_today = False
+            self.market_on_open_order("SPY", 100)
+            self.__last = self.time
+
+        if not self.__submitted_market_on_close_today and self.equity.exchange.exchange_open:   # once the exchange opens submit a market on close order
+            self.__submitted_market_on_close_today = True
+            self.market_on_close_order("SPY", -100)
+
+    def on_order_event(self, fill):
+        order = self.transactions.get_order_by_id(fill.order_id)
+        self.log("{0} - {1}:: {2}".format(self.time, order.type, fill))