wehub-resource-sync
111 lines
4.8 KiB
C#
111 lines
4.8 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of the Scheduled Events features available in QuantConnect.
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/// </summary>
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/// <meta name="tag" content="scheduled events" />
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/// <meta name="tag" content="date rules" />
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/// <meta name="tag" content="time rules" />
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public class ScheduledEventsAlgorithm : 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(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.Minute);
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// events are scheduled using date and time rules
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// date rules specify on what dates and event will fire
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// time rules specify at what time on thos dates the event will fire
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// schedule an event to fire at a specific date/time
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Schedule.On(DateRules.On(2013, 10, 7), TimeRules.At(13, 0), () =>
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{
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Log("SpecificTime: Fired at : " + Time);
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});
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// schedule an event to fire every trading day for a security
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// the time rule here tells it to fire 10 minutes after SPY's market open
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Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10), () =>
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{
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Log("EveryDay.SPY 10 min after open: Fired at: " + Time);
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});
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// schedule an event to fire every trading day for a security
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// the time rule here tells it to fire 10 minutes before SPY's market close
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Schedule.On(DateRules.EveryDay("SPY"), TimeRules.BeforeMarketClose("SPY", 10), () =>
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{
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Log("EveryDay.SPY 10 min before close: Fired at: " + Time);
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});
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// schedule an event to fire on a single day of the week
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Schedule.On(DateRules.Every(DayOfWeek.Wednesday), TimeRules.At(12, 0), () =>
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{
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Log("Wed at 12pm: Fired at: " + Time);
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});
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// schedule an event to fire on certain days of the week
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Schedule.On(DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), TimeRules.At(12, 0), () =>
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{
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Log("Mon/Fri at 12pm: Fired at: " + Time);
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});
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// the scheduling methods return the ScheduledEvent object which can be used for other things
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// here I set the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
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Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(10)), () =>
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{
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// if we have over 1000 dollars in unrealized losses, liquidate
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if (Portfolio.TotalUnrealizedProfit < -1000)
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{
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Log("Liquidated due to unrealized losses at: " + Time);
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Liquidate();
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}
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});
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// schedule an event to fire at the beginning of the month, the symbol is optional if
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// specified, it will fire the first trading day for that symbol of the month, if not specified
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// it will fire on the first day of the month
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Schedule.On(DateRules.MonthStart("SPY"), TimeRules.AfterMarketOpen("SPY"), () =>
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{
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// good spot for rebalancing code?
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});
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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">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 (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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}
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}
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}
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}
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