wehub-resource-sync
100 lines
4.4 KiB
C#
100 lines
4.4 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 QuantConnect.Brokerages;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of payments for cash dividends in backtesting. When data normalization mode is set
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/// to "Raw" the dividends are paid as cash directly into your portfolio.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="data event handlers" />
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/// <meta name="tag" content="dividend event" />
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public class DividendAlgorithm : QCAlgorithm
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{
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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(1998, 01, 01); //Set Start Date
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SetEndDate(2006, 01, 01); //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, "MSFT", Resolution.Daily);
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Securities["MSFT"].SetDataNormalizationMode(DataNormalizationMode.Raw);
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// this will use the Tradier Brokerage open order split behavior
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// forward split will modify open order to maintain order value
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// reverse split open orders will be cancelled
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SetBrokerageModel(BrokerageName.TradierBrokerage);
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}
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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="data">TradeBars IDictionary object with your stock data</param>
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public void OnData(TradeBars data)
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{
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if (Transactions.OrdersCount == 0)
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{
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SetHoldings("MSFT", .5);
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// place some orders that won't fill, when the split comes in they'll get modified to reflect the split
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Debug("Purchased Stock: " + Securities["MSFT"].Price);
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StopMarketOrder("MSFT", -CalculateOrderQuantity("MSFT", .25), data["MSFT"].Low/2);
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LimitOrder("MSFT", -CalculateOrderQuantity("MSFT", .25), data["MSFT"].High*2);
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}
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}
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/// <summary>
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/// Raises the data event.
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/// </summary>
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/// <param name="data">Data.</param>
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public void OnData(Dividends data) // update this to Dividends dictionary
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{
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var dividend = data["MSFT"];
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Debug($"{dividend.Time.ToStringInvariant("o")} >> DIVIDEND >> {dividend.Symbol} - " +
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$"{dividend.Distribution.ToStringInvariant("C")} - {Portfolio.Cash} - " +
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$"{Portfolio["MSFT"].Price.ToStringInvariant("C")}"
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);
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}
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/// <summary>
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/// Raises the data event.
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/// </summary>
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/// <param name="data">Data.</param>
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public void OnData(Splits data)
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{
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Debug("MSFT: " + Securities["MSFT"].Price);
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var split = data["MSFT"];
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Debug($"{split.Time.ToIso8601Invariant()} >> SPLIT >> {split.Symbol} - " +
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$"{split.SplitFactor.ToStringInvariant()} - " +
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$"{Portfolio.Cash.ToStringInvariant()} - " +
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$"{Portfolio["MSFT"].Quantity.ToStringInvariant()}"
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);
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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// orders get adjusted based on split events to maintain order value
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var order = Transactions.GetOrderById(orderEvent.OrderId);
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Debug($"{Time.ToStringInvariant()} >> ORDER >> {order}");
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}
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}
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} |