wehub-resource-sync
56 lines
2.3 KiB
Python
56 lines
2.3 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 extended market hours trading.
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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 ExtendedMarketTradingRegressionAlgorithm(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.spy = self.add_equity("SPY", Resolution.MINUTE, Market.USA, True, 1, True)
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self._last_action = None
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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 self._last_action is not None and self._last_action.date() == self.time.date():
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return
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spy_bar = data.bars['SPY']
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if not self.in_market_hours():
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self.limit_order("SPY", 10, spy_bar.low)
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self._last_action = self.time
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def on_order_event(self, order_event):
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self.log(str(order_event))
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if self.in_market_hours():
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raise AssertionError("Order processed during market hours.")
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def in_market_hours(self):
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now = self.time.time()
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open = time(9,30,0)
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close = time(16,0,0)
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return (open < now) and (close > now)
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