wehub-resource-sync
61 lines
3.0 KiB
Python
61 lines
3.0 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>
|
|
### Basic template framework algorithm uses framework components to define the algorithm.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
class BasicTemplateFrameworkAlgorithm(QCAlgorithm):
|
|
'''Basic template framework algorithm uses framework components to define the algorithm.'''
|
|
|
|
def initialize(self):
|
|
'''initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
# Set requested data resolution
|
|
self.universe_settings.resolution = Resolution.MINUTE
|
|
|
|
self.set_start_date(2013,10,7) #Set Start Date
|
|
self.set_end_date(2013,10,11) #Set End Date
|
|
self.set_cash(100000) #Set Strategy Cash
|
|
|
|
# Find more symbols here: http://quantconnect.com/data
|
|
# Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
|
|
# Futures Resolution: Tick, Second, Minute
|
|
# Options Resolution: Minute Only.
|
|
symbols = [ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]
|
|
|
|
# set algorithm framework models
|
|
self.set_universe_selection(ManualUniverseSelectionModel(symbols))
|
|
self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
|
|
|
|
# We can define how often the EWPCM will rebalance if no new insight is submitted using:
|
|
# Resolution Enum:
|
|
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.DAILY))
|
|
# timedelta
|
|
# self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(timedelta(2)))
|
|
# A lamdda datetime -> datetime. In this case, we can use the pre-defined func at Expiry helper class
|
|
# self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Expiry.END_OF_WEEK))
|
|
|
|
self.set_execution(ImmediateExecutionModel())
|
|
self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.01))
|
|
|
|
self.debug("numpy test >>> print numpy.pi: " + str(np.pi))
|
|
|
|
def on_order_event(self, order_event):
|
|
if order_event.status == OrderStatus.FILLED:
|
|
self.debug("Purchased Stock: {0}".format(order_event.symbol))
|