wehub-resource-sync
48 lines
2.2 KiB
Python
48 lines
2.2 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Basic template algorithm simply initializes the date range and cash
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="limit orders" />
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### <meta name="tag" content="placing orders" />
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### <meta name="tag" content="updating orders" />
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### <meta name="tag" content="regression test" />
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class LimitFillRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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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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self.set_start_date(2013,10,7) #Set Start Date
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self.set_end_date(2013,10,11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.add_equity("SPY", Resolution.SECOND)
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def on_data(self, data):
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'''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
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if data.contains_key("SPY"):
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if self.is_round_hour(self.time):
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negative = 1 if self.time < (self.start_date + timedelta(days=2)) else -1
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self.limit_order("SPY", negative*10, data["SPY"].price)
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def is_round_hour(self, date_time):
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'''Verify whether datetime is round hour'''
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return date_time.minute == 0 and date_time.second == 0
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def on_order_event(self, order_event):
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self.debug(str(order_event))
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