wehub-resource-sync
76 lines
3.0 KiB
C#
76 lines
3.0 KiB
C#
/*
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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 QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of the Market On Close order for US Equities.
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/// </summary>
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/// <meta name="tag" content="trading and orders" />
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/// <meta name="tag" content="placing orders" />
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public class MarketOnOpenOnCloseAlgorithm : QCAlgorithm
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{
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private bool _submittedMarketOnCloseToday;
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private Security _security;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Second, fillForward: true, extendedMarketHours: true);
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_security = Securities["SPY"];
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}
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private DateTime last = DateTime.MinValue;
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/// <summary>
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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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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (Time.Date != last.Date) // each morning submit a market on open order
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{
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_submittedMarketOnCloseToday = false;
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MarketOnOpenOrder("SPY", 100);
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last = Time;
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}
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if (!_submittedMarketOnCloseToday && _security.Exchange.ExchangeOpen) // once the exchange opens submit a market on close order
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{
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_submittedMarketOnCloseToday = true;
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MarketOnCloseOrder("SPY", -100);
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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var order = Transactions.GetOrderById(orderEvent.OrderId);
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Console.WriteLine(Time + " - " + order.Type + " - " + orderEvent.Status + ":: " + orderEvent);
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}
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}
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}
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