wehub-resource-sync
84 lines
4.1 KiB
Python
84 lines
4.1 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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### Basic algorithm demonstrating how to place stop limit orders.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />
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### <meta name="tag" content="stop limit order"/>
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class StopLimitOrderRegressionAlgorithm(QCAlgorithm):
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'''Basic algorithm demonstrating how to place stop limit orders.'''
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tolerance = 0.001
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fast_period = 30
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slow_period = 60
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asynchronous_orders = False
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def initialize(self):
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self.set_start_date(2013, 1, 1)
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self.set_end_date(2017, 1, 1)
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self.set_cash(100000)
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self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
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self._fast = self.ema(self._symbol, self.fast_period, Resolution.DAILY)
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self._slow = self.ema(self._symbol, self.slow_period, Resolution.DAILY)
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self._buy_order_ticket: OrderTicket = None
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self._sell_order_ticket: OrderTicket = None
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self._previous_slice: Slice = None
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def on_data(self, slice: Slice):
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if not self.is_ready():
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return
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security = self.securities[self._symbol]
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if self._buy_order_ticket is None and self.trend_is_up():
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self._buy_order_ticket = self.stop_limit_order(self._symbol, 100, stop_price=security.high * 1.10, limit_price=security.high * 1.11, asynchronous=self.asynchronous_orders)
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elif self._buy_order_ticket.status == OrderStatus.FILLED and self._sell_order_ticket is None and self.trend_is_down():
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self._sell_order_ticket = self.stop_limit_order(self._symbol, -100, stop_price=security.low * 0.99, limit_price=security.low * 0.98, asynchronous=self.asynchronous_orders)
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def on_order_event(self, order_event: OrderEvent):
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if order_event.status == OrderStatus.FILLED:
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order = self.transactions.get_order_by_id(order_event.order_id)
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if not order.stop_triggered:
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raise AssertionError("StopLimitOrder StopTriggered should haven been set if the order filled.")
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if order_event.direction == OrderDirection.BUY:
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limit_price = self._buy_order_ticket.get(OrderField.LIMIT_PRICE)
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if order_event.fill_price > limit_price:
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raise AssertionError(f"Buy stop limit order should have filled with price less than or equal to the limit price {limit_price}. "
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f"Fill price: {order_event.fill_price}")
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else:
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limit_price = self._sell_order_ticket.get(OrderField.LIMIT_PRICE)
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if order_event.fill_price < limit_price:
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raise AssertionError(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limit_price}. "
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f"Fill price: {order_event.fill_price}")
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def on_end_of_algorithm(self):
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for ticket in self.transactions.get_order_tickets():
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if ticket.submit_request.asynchronous != self.asynchronous_orders:
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raise AssertionError("Expected all orders to have the same asynchronous flag as the algorithm.")
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def is_ready(self):
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return self._fast.is_ready and self._slow.is_ready
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def trend_is_up(self):
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return self.is_ready() and self._fast.current.value > self._slow.current.value * (1 + self.tolerance)
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def trend_is_down(self):
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return self.is_ready() and self._fast.current.value < self._slow.current.value * (1 + self.tolerance)
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