wehub-resource-sync
71 lines
3.6 KiB
Python
71 lines
3.6 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 example demonstrates how to create future 'stop_market_order' in extended Market Hours time
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# </summary>
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class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
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# Keep new created instance of stop_market_order
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_stop_market_ticket = None
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# Initialize the Algorithm and Prepare Required Data
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def initialize(self) -> None:
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self.set_start_date(2013, 10, 6)
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self.set_end_date(2013, 10, 12)
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# Add mini SP500 future with extended Market hours flag
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self._sp_500_e_mini = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, extended_market_hours=True)
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# Init new schedule event with params: every_day, 19:00:00 PM, what should to do
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self.schedule.on(self.date_rules.every_day(),self.time_rules.at(19, 0),self.make_market_and_stop_market_order)
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# This method is opened 2 new orders by scheduler
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def make_market_and_stop_market_order(self) -> None:
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# Don't place orders at the end of the last date, the market-on-stop order won't have time to fill
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if self.time.date() == self.end_date.date() - timedelta(1) or not self._sp_500_e_mini.mapped:
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return
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self.market_order(self._sp_500_e_mini.mapped, 1)
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self._stop_market_ticket = self.stop_market_order(self._sp_500_e_mini.mapped, -1, self._sp_500_e_mini.price * 1.1)
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# New Data Event handler receiving all subscription data in a single event
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def on_data(self, slice: Slice) -> None:
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if (self._stop_market_ticket == None or self._stop_market_ticket.status != OrderStatus.SUBMITTED):
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return None
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self.stop_price = self._stop_market_ticket.get(OrderField.STOP_PRICE)
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self.bar = self.securities[self._stop_market_ticket.symbol].cache.get_data()
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# An order fill update the resulting information is passed to this method.
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def on_order_event(self, order_event: OrderEvent) -> None:
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if self.transactions.get_order_by_id(order_event.order_id).type is not OrderType.STOP_MARKET:
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return None
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if order_event.status == OrderStatus.FILLED:
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# Get Exchange Hours for specific security
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exchange_hours = self.market_hours_database.get_exchange_hours(self._sp_500_e_mini.subscription_data_config)
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# Validate, Exchange is opened explicitly
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if (not exchange_hours.is_open(order_event.utc_time, self._sp_500_e_mini.is_extended_market_hours)):
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raise AssertionError("The Exchange hours was closed, verify 'extended_market_hours' flag in Initialize() when added new security(ies)")
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def on_end_of_algorithm(self) -> None:
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self.stop_market_orders = self.transactions.get_orders(lambda o: o.type is OrderType.STOP_MARKET)
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for o in self.stop_market_orders:
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if o.status != OrderStatus.FILLED:
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raise AssertionError("The Algorithms was not handled any StopMarketOrders")
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