wehub-resource-sync
103 lines
5.0 KiB
Python
103 lines
5.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Demonstration algorithm of time in force order settings.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
class TimeInForceAlgorithm(QCAlgorithm):
|
|
|
|
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
|
def initialize(self):
|
|
|
|
self.set_start_date(2013,10,7)
|
|
self.set_end_date(2013,10,11)
|
|
self.set_cash(100000)
|
|
|
|
# The default time in force setting for all orders is GoodTilCancelled (GTC),
|
|
# uncomment this line to set a different time in force.
|
|
# We currently only support GTC and DAY.
|
|
# self.default_order_properties.time_in_force = TimeInForce.day
|
|
|
|
self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
|
|
|
|
self._gtc_order_ticket1 = None
|
|
self._gtc_order_ticket2 = None
|
|
self._day_order_ticket1 = None
|
|
self._day_order_ticket2 = None
|
|
self._gtd_order_ticket1 = None
|
|
self._gtd_order_ticket2 = None
|
|
self._expected_order_statuses = {}
|
|
|
|
# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
# Arguments:
|
|
# data: Slice object keyed by symbol containing the stock data
|
|
def on_data(self, data):
|
|
|
|
if not self._gtc_order_ticket1:
|
|
# These GTC orders will never expire and will not be canceled automatically.
|
|
|
|
self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
|
|
|
|
# this order will not be filled before the end of the backtest
|
|
self._gtc_order_ticket1 = self.limit_order(self._symbol, 10, 100)
|
|
self._expected_order_statuses[self._gtc_order_ticket1.order_id] = OrderStatus.SUBMITTED
|
|
|
|
# this order will be filled before the end of the backtest
|
|
self._gtc_order_ticket2 = self.limit_order(self._symbol, 10, 160)
|
|
self._expected_order_statuses[self._gtc_order_ticket2.order_id] = OrderStatus.FILLED
|
|
|
|
if not self._day_order_ticket1:
|
|
# These DAY orders will expire at market close,
|
|
# if not filled by then they will be canceled automatically.
|
|
|
|
self.default_order_properties.time_in_force = TimeInForce.DAY
|
|
|
|
# this order will not be filled before market close and will be canceled
|
|
self._day_order_ticket1 = self.limit_order(self._symbol, 10, 140)
|
|
self._expected_order_statuses[self._day_order_ticket1.order_id] = OrderStatus.CANCELED
|
|
|
|
# this order will be filled before market close
|
|
self._day_order_ticket2 = self.limit_order(self._symbol, 10, 180)
|
|
self._expected_order_statuses[self._day_order_ticket2.order_id] = OrderStatus.FILLED
|
|
|
|
if not self._gtd_order_ticket1:
|
|
# These GTD orders will expire on October 10th at market close,
|
|
# if not filled by then they will be canceled automatically.
|
|
|
|
self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_DATE(datetime(2013, 10, 10))
|
|
|
|
# this order will not be filled before expiry and will be canceled
|
|
self._gtd_order_ticket1 = self.limit_order(self._symbol, 10, 100)
|
|
self._expected_order_statuses[self._gtd_order_ticket1.order_id] = OrderStatus.CANCELED
|
|
|
|
# this order will be filled before expiry
|
|
self._gtd_order_ticket2 = self.limit_order(self._symbol, 10, 160)
|
|
self._expected_order_statuses[self._gtd_order_ticket2.order_id] = OrderStatus.FILLED
|
|
|
|
# Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
|
|
# This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
|
|
def on_order_event(self, orderEvent):
|
|
self.debug(f"{self.time} {orderEvent}")
|
|
|
|
# End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
|
|
def on_end_of_algorithm(self):
|
|
for orderId, expectedStatus in self._expected_order_statuses.items():
|
|
order = self.transactions.get_order_by_id(orderId)
|
|
if order.status != expectedStatus:
|
|
raise AssertionError(f"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.status}")
|