wehub-resource-sync
66 lines
2.8 KiB
Python
66 lines
2.8 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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### This algorithm demonstrates the runtime addition and removal of securities from your algorithm.
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### With LEAN it is possible to add and remove securities after the initialization.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="assets" />
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### <meta name="tag" content="regression test" />
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class AddRemoveSecurityRegressionAlgorithm(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")
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self._last_action = None
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def on_data(self, data):
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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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if self._last_action is not None and self._last_action.date() == self.time.date():
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return
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if not self.portfolio.invested:
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self.set_holdings("SPY", .5)
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self._last_action = self.time
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if self.time.weekday() == 1:
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self.add_equity("AIG")
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self.add_equity("BAC")
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self._last_action = self.time
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if self.time.weekday() == 2:
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self.set_holdings("AIG", .25)
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self.set_holdings("BAC", .25)
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self._last_action = self.time
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if self.time.weekday() == 3:
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self.remove_security("AIG")
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self.remove_security("BAC")
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self._last_action = self.time
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def on_order_event(self, order_event):
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if order_event.status == OrderStatus.SUBMITTED:
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self.debug("{0}: Submitted: {1}".format(self.time, self.transactions.get_order_by_id(order_event.order_id)))
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if order_event.status == OrderStatus.FILLED:
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self.debug("{0}: Filled: {1}".format(self.time, self.transactions.get_order_by_id(order_event.order_id)))
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