wehub-resource-sync
66 lines
3.2 KiB
Python
66 lines
3.2 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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class MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
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'''This regression test is a version of "MarketOnCloseOrderBufferRegressionAlgorithm"
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where we test market-on-close modeling with data from the post market.'''
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_valid_order_ticket = None
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_invalid_order_ticket = None
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_valid_order_ticket_extended_market_hours = None
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def initialize(self) -> None:
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self.set_start_date(2013,10,7) #Set Start Date
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self.set_end_date(2013,10,8) #Set End Date
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self.add_equity("SPY", Resolution.MINUTE, extended_market_hours = True)
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def moc_at_mid_night():
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self._valid_order_ticket_at_midnight = self.market_on_close_order("SPY", 2)
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self.schedule.on(self.date_rules.tomorrow, self.time_rules.midnight, moc_at_mid_night)
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# Modify our submission buffer time to 10 minutes
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MarketOnCloseOrder.submission_time_buffer = timedelta(minutes=10)
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def on_data(self, data: Slice) -> None:
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# Test our ability to submit MarketOnCloseOrders
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# Because we set our buffer to 10 minutes, any order placed
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# before 3:50PM should be accepted, any after marked invalid
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# Will not throw an order error and execute
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if self.time.hour == 15 and self.time.minute == 49 and not self._valid_order_ticket:
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self._valid_order_ticket = self.market_on_close_order("SPY", 2)
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# Will throw an order error and be marked invalid
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if self.time.hour == 15 and self.time.minute == 51 and not self._invalid_order_ticket:
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self._invalid_order_ticket = self.market_on_close_order("SPY", 2)
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# Will not throw an order error and execute
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if self.time.hour == 16 and self.time.minute == 48 and not self._valid_order_ticket_extended_market_hours:
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self._valid_order_ticket_extended_market_hours = self.market_on_close_order("SPY", 2)
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def on_end_of_algorithm(self) -> None:
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# Set it back to default for other regressions
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MarketOnCloseOrder.submission_time_buffer = MarketOnCloseOrder.DEFAULT_SUBMISSION_TIME_BUFFER
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if self._valid_order_ticket.status != OrderStatus.FILLED:
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raise AssertionError("Valid order failed to fill")
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if self._invalid_order_ticket.status != OrderStatus.INVALID:
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raise AssertionError("Invalid order was not rejected")
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if self._valid_order_ticket_extended_market_hours.status != OrderStatus.FILLED:
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raise AssertionError("Valid order during extended market hours failed to fill")
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