wehub-resource-sync
123 lines
6.5 KiB
Python
123 lines
6.5 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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from math import copysign
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### <summary>
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### Provides a regression baseline focused on updating orders
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### </summary>
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### <meta name="tag" content="regression test" />
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class UpdateOrderRegressionAlgorithm(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(2013,1,1) #Set Start Date
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self.set_end_date(2015,1,1) #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.security = self.add_equity("SPY", Resolution.DAILY)
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self.last_month = -1
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self.quantity = 100
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self.delta_quantity = 10
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self.stop_percentage = 0.025
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self.stop_percentage_delta = 0.005
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self.limit_percentage = 0.025
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self.limit_percentage_delta = 0.005
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order_type_enum = [OrderType.MARKET, OrderType.LIMIT, OrderType.STOP_MARKET, OrderType.STOP_LIMIT, OrderType.MARKET_ON_OPEN, OrderType.MARKET_ON_CLOSE, OrderType.TRAILING_STOP]
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self.order_types_queue = CircularQueue[OrderType](order_type_enum)
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self.order_types_queue.circle_completed += self.on_circle_completed
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self.tickets = []
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def on_circle_completed(self, sender, event):
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'''Flip our signs when we've gone through all the order types'''
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self.quantity *= -1
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def on_data(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
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if not data.bars.contains_key("SPY"):
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return
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if self.time.month != self.last_month:
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# we'll submit the next type of order from the queue
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order_type = self.order_types_queue.dequeue()
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self.log("\r\n--------------MONTH: {0}:: {1}".format(self.time.strftime("%B"), order_type))
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self.last_month = self.time.month
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self.log("ORDER TYPE:: {0}".format(order_type))
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is_long = self.quantity > 0
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stop_price = (1 + self.stop_percentage)*data["SPY"].high if is_long else (1 - self.stop_percentage)*data["SPY"].low
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limit_price = (1 - self.limit_percentage)*stop_price if is_long else (1 + self.limit_percentage)*stop_price
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if order_type == OrderType.LIMIT:
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limit_price = (1 + self.limit_percentage)*data["SPY"].high if not is_long else (1 - self.limit_percentage)*data["SPY"].low
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request = SubmitOrderRequest(order_type, self.security.symbol.security_type, "SPY", self.quantity, stop_price, limit_price, 0, 0.01, True,
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self.utc_time, str(int(order_type)))
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ticket = self.transactions.add_order(request)
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self.tickets.append(ticket)
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elif len(self.tickets) > 0:
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ticket = self.tickets[-1]
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if self.time.day > 8 and self.time.day < 14:
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if len(ticket.update_requests) == 0 and ticket.status is not OrderStatus.FILLED:
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self.log("TICKET:: {0}".format(ticket))
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update_order_fields = UpdateOrderFields()
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update_order_fields.quantity = ticket.quantity + copysign(self.delta_quantity, self.quantity)
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update_order_fields.tag = "Change quantity: {0}".format(self.time.day)
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ticket.update(update_order_fields)
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elif self.time.day > 13 and self.time.day < 20:
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if len(ticket.update_requests) == 1 and ticket.status is not OrderStatus.FILLED:
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self.log("TICKET:: {0}".format(ticket))
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update_order_fields = UpdateOrderFields()
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update_order_fields.limit_price = self.security.price*(1 - copysign(self.limit_percentage_delta, ticket.quantity))
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update_order_fields.stop_price = self.security.price*(1 + copysign(self.stop_percentage_delta, ticket.quantity)) if ticket.order_type != OrderType.TRAILING_STOP else None
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update_order_fields.tag = "Change prices: {0}".format(self.time.day)
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ticket.update(update_order_fields)
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else:
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if len(ticket.update_requests) == 2 and ticket.status is not OrderStatus.FILLED:
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self.log("TICKET:: {0}".format(ticket))
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ticket.cancel("{0} and is still open!".format(self.time.day))
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self.log("CANCELLED:: {0}".format(ticket.cancel_request))
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def on_order_event(self, orderEvent):
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order = self.transactions.get_order_by_id(orderEvent.order_id)
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ticket = self.transactions.get_order_ticket(orderEvent.order_id)
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#order cancelations update CanceledTime
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if order.status == OrderStatus.CANCELED and order.canceled_time != orderEvent.utc_time:
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raise ValueError("Expected canceled order CanceledTime to equal canceled order event time.")
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#fills update LastFillTime
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if (order.status == OrderStatus.FILLED or order.status == OrderStatus.PARTIALLY_FILLED) and order.last_fill_time != orderEvent.utc_time:
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raise ValueError("Expected filled order LastFillTime to equal fill order event time.")
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# check the ticket to see if the update was successfully processed
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if len([ur for ur in ticket.update_requests if ur.response is not None and ur.response.is_success]) > 0 and order.created_time != self.utc_time and order.last_update_time is None:
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raise ValueError("Expected updated order LastUpdateTime to equal submitted update order event time")
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if orderEvent.status == OrderStatus.FILLED:
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self.log("FILLED:: {0} FILL PRICE:: {1}".format(self.transactions.get_order_by_id(orderEvent.order_id), orderEvent.fill_price))
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else:
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self.log(orderEvent.to_string())
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self.log("TICKET:: {0}".format(ticket))
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