wehub-resource-sync
80 lines
3.4 KiB
Python
80 lines
3.4 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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### Demonstration of using the Delisting event in your algorithm. Assets are delisted on their last day of trading, or when their contract expires.
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### This data is not included in the open source project.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="data event handlers" />
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### <meta name="tag" content="delisting event" />
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class DelistingEventsAlgorithm(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(2007, 5, 15) #Set Start Date
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self.set_end_date(2007, 5, 25) #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("AAA.1", Resolution.DAILY)
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self.add_equity("SPY", Resolution.DAILY)
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if self.transactions.orders_count == 0:
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self.set_holdings("AAA.1", 1)
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self.debug("Purchased stock")
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for kvp in data.bars:
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symbol = kvp.key
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value = kvp.value
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self.log("OnData(Slice): {0}: {1}: {2}".format(self.time, symbol, value.close))
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# the slice can also contain delisting data: data.delistings in a dictionary string->Delisting
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aaa = self.securities["AAA.1"]
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if aaa.is_delisted and aaa.is_tradable:
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raise AssertionError("Delisted security must NOT be tradable")
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if not aaa.is_delisted and not aaa.is_tradable:
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raise AssertionError("Securities must be marked as tradable until they're delisted or removed from the universe")
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for kvp in data.delistings:
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symbol = kvp.key
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value = kvp.value
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if value.type == DelistingType.WARNING:
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self.log("OnData(Delistings): {0}: {1} will be delisted at end of day today.".format(self.time, symbol))
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# liquidate on delisting warning
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self.set_holdings(symbol, 0)
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if value.type == DelistingType.DELISTED:
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self.log("OnData(Delistings): {0}: {1} has been delisted.".format(self.time, symbol))
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# fails because the security has already been delisted and is no longer tradable
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self.set_holdings(symbol, 1)
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def on_order_event(self, order_event):
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self.log("OnOrderEvent(OrderEvent): {0}: {1}".format(self.time, order_event))
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