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Updates python framework to support python datetime

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Updates nuget package to support conversion from C# DateTime to python datetime.
Updates algorithms to reflect this change.
This commit is contained in:
AlexCatarino
2017-05-23 13:40:26 +01:00
parent 326e80415e
commit 18d83fb8ec
33 changed files with 142 additions and 173 deletions
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Algorithm.Python/UpdateOrderRegressionAlgorithm.py
+19 -22
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@@ -11,14 +11,11 @@
# See the License for the specific language governing permissions and
# limitations under the License.
from math import copysign
from datetime import datetime
import clr
clr.AddReference("System.Core")
clr.AddReference("System.Collections")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Common")
from clr import AddReference
AddReference("System.Core")
AddReference("System.Collections")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from System.Linq import *
@@ -28,8 +25,10 @@ from QuantConnect.Data import *
from QuantConnect.Orders import *
from QuantConnect.Securities import *
from QuantConnect.Util import *
from AlgorithmPythonUtil import to_python_datetime
import decimal as d
from math import copysign
from datetime import datetime
class UpdateOrderRegressionAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
@@ -70,15 +69,13 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
if not data.ContainsKey(self.__Symbol):
return
pyTime = to_python_datetime(self.Time)
if pyTime.month != self.__LastMonth:
if self.Time.month != self.__LastMonth:
# we'll submit the next type of order from the queue
orderType = self.__orderTypesQueue.Dequeue();
#Log("");
self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(pyTime.strftime("%B"), orderType))
self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(self.Time.strftime("%B"), orderType))
#Log("")
self.__LastMonth = pyTime.month
self.__LastMonth = self.Time.month
self.Log("ORDER TYPE:: {0}".format(orderType))
isLong = self.__Quantity > 0
stopPrice = d.Decimal(1 + self.__StopPercentage)*data[self.__Symbol].High if isLong else d.Decimal(1 - self.__StopPercentage)*data[self.__Symbol].Low
@@ -94,26 +91,26 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
elif len(self.__tickets) > 0:
ticket = self.__tickets[-1]
if pyTime.day > 8 and pyTime.day < 14:
if self.Time.day > 8 and self.Time.day < 14:
if ticket.UpdateRequests.Count == 0 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
updateOrderFields = UpdateOrderFields()
updateOrderFields.Quantity = Nullable[int](ticket.Quantity + copysign(self.__DeltaQuantity, self.__Quantity))
updateOrderFields.Tag = "Change quantity: {0}".format(pyTime)
updateOrderFields.Quantity = ticket.Quantity + copysign(self.__DeltaQuantity, self.__Quantity)
updateOrderFields.Tag = "Change quantity: {0}".format(self.Time)
ticket.Update(updateOrderFields)
elif pyTime.day > 13 and pyTime.day < 20:
elif self.Time.day > 13 and self.Time.day < 20:
if ticket.UpdateRequests.Count == 1 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
updateOrderFields = UpdateOrderFields()
updateOrderFields.LimitPrice = Nullable[Decimal](self.__Security.Price*d.Decimal(1 - copysign(self.__LimitPercentageDelta, ticket.Quantity)))
updateOrderFields.StopPrice = Nullable[Decimal](self.__Security.Price*d.Decimal(1 + copysign(self.__StopPercentageDelta, ticket.Quantity)))
updateOrderFields.Tag = "Change prices: {0}".format(pyTime)
updateOrderFields.LimitPrice = self.__Security.Price*d.Decimal(1 - copysign(self.__LimitPercentageDelta, ticket.Quantity))
updateOrderFields.StopPrice = self.__Security.Price*d.Decimal(1 + copysign(self.__StopPercentageDelta, ticket.Quantity))
updateOrderFields.Tag = "Change prices: {0}".format(self.Time)
ticket.Update(updateOrderFields)
else:
if ticket.UpdateRequests.Count == 2 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
ticket.Cancel("{0} and is still open!".format(pyTime))
ticket.Cancel("{0} and is still open!".format(self.Time))
self.Log("CANCELLED:: {0}".format(ticket.CancelRequest))