wehub-resource-sync
54 lines
2.5 KiB
Python
54 lines
2.5 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 datetime import timedelta
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from AlgorithmImports import *
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### <summary>
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### Demonstration on how to access order tickets right after placing an order.
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### </summary>
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class OrderTicketAssignmentDemoAlgorithm(QCAlgorithm):
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'''Demonstration on how to access order tickets right after placing an order.'''
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def initialize(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.set_cash(100000)
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self._symbol = self.add_equity("SPY").symbol
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self.trade_count = 0
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self.consolidate(self._symbol, timedelta(hours=1), self.hour_consolidator)
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def hour_consolidator(self, bar: TradeBar):
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# Reset self.ticket to None on each new bar
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self.ticket = None
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self.ticket = self.market_order(self._symbol, 1, asynchronous=True)
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self.debug(f"{self.time}: Buy: Price {bar.price}, order_id: {self.ticket.order_id}")
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self.trade_count += 1
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def on_order_event(self, order_event: OrderEvent):
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# We cannot access self.ticket directly because it is assigned asynchronously:
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# this order event could be triggered before self.ticket is assigned.
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ticket = order_event.ticket
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if ticket is None:
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raise AssertionError("Expected order ticket in order event to not be null")
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if order_event.status == OrderStatus.SUBMITTED and self.ticket is not None:
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raise AssertionError("Field self.ticket not expected no be assigned on the first order event")
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self.debug(ticket.to_string())
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def on_end_of_algorithm(self):
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# Just checking that orders were placed
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if not self.portfolio.invested or self.trade_count != self.transactions.orders_count:
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raise AssertionError(f"Expected the portfolio to have holdings and to have {self.trade_count} trades, but had {self.transactions.orders_count}")
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