github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

pep8 conversion of python algos (#7942)

Browse Source 
* pep8 conversion of python algos

* adding 10 more pep8 converted algos
This commit is contained in:
Ashutosh
2024-04-18 23:44:56 +05:30
committed by GitHub
parent ed351c8726
commit 1cae47ab25
15 changed files with 363 additions and 360 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/TrailingStopOrderRegressionAlgorithm.py
+43 -43
View File
@@ -22,64 +22,64 @@ from AlgorithmImports import *
class TrailingStopOrderRegressionAlgorithm(QCAlgorithm):
'''Basic algorithm demonstrating how to place trailing stop orders.'''
BuyTrailingAmount = 2
SellTrailingAmount = 0.5
buy_trailing_amount = 2
sell_trailing_amount = 0.5
def Initialize(self):
def initialize(self):
self.SetStartDate(2013,10, 7)
self.SetEndDate(2013,10,11)
self.SetCash(100000)
self.set_start_date(2013,10, 7)
self.set_end_date(2013,10,11)
self.set_cash(100000)
self._symbol = self.AddEquity("SPY").Symbol
self._symbol = self.add_equity("SPY").symbol
self._buyOrderTicket: OrderTicket = None
self._sellOrderTicket: OrderTicket = None
self._previousSlice: Slice = None
self._buy_order_ticket: OrderTicket = None
self._sell_order_ticket: OrderTicket = None
self._previous_slice: Slice = None
def OnData(self, slice: Slice):
if not slice.ContainsKey(self._symbol):
def on_data(self, slice: Slice):
if not slice.contains_key(self._symbol):
return
if self._buyOrderTicket is None:
self._buyOrderTicket = self.TrailingStopOrder(self._symbol, 100, trailingAmount=self.BuyTrailingAmount, trailingAsPercentage=False)
elif self._buyOrderTicket.Status != OrderStatus.Filled:
stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
if self._buy_order_ticket is None:
self._buy_order_ticket = self.trailing_stop_order(self._symbol, 100, trailing_amount=self.buy_trailing_amount, trailing_as_percentage=False)
elif self._buy_order_ticket.status != OrderStatus.FILLED:
stop_price = self._buy_order_ticket.get(OrderField.STOP_PRICE)
# Get the previous bar to compare to the stop price,
# because stop price update attempt with the current slice data happens after OnData.
low = self._previousSlice.QuoteBars[self._symbol].Ask.Low if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
else self._previousSlice.Bars[self._symbol].Low
low = self._previous_slice.quote_bars[self._symbol].ask.low if self._previous_slice.quote_bars.contains_key(self._symbol) \
else self._previous_slice.bars[self._symbol].low
stopPriceToMarketPriceDistance = stopPrice - low
if stopPriceToMarketPriceDistance > self.BuyTrailingAmount:
raise Exception(f"StopPrice {stopPrice} should be within {self.BuyTrailingAmount} of the previous low price {low} at all times.")
stop_price_to_market_price_distance = stop_price - low
if stop_price_to_market_price_distance > self.buy_trailing_amount:
raise Exception(f"StopPrice {stop_price} should be within {self.buy_trailing_amount} of the previous low price {low} at all times.")
if self._sellOrderTicket is None:
if self.Portfolio.Invested:
self._sellOrderTicket = self.TrailingStopOrder(self._symbol, -100, trailingAmount=self.SellTrailingAmount, trailingAsPercentage=False)
elif self._sellOrderTicket.Status != OrderStatus.Filled:
stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
if self._sell_order_ticket is None:
if self.portfolio.invested:
self._sell_order_ticket = self.trailing_stop_order(self._symbol, -100, trailing_amount=self.sell_trailing_amount, trailing_as_percentage=False)
elif self._sell_order_ticket.status != OrderStatus.FILLED:
stop_price = self._sell_order_ticket.get(OrderField.STOP_PRICE)
# Get the previous bar to compare to the stop price,
# because stop price update attempt with the current slice data happens after OnData.
high = self._previousSlice.QuoteBars[self._symbol].Bid.High if self._previousSlice.QuoteBars.ContainsKey(self._symbol) \
else self._previousSlice.Bars[self._symbol].High
stopPriceToMarketPriceDistance = high - stopPrice
if stopPriceToMarketPriceDistance > self.SellTrailingAmount:
raise Exception(f"StopPrice {stopPrice} should be within {self.SellTrailingAmount} of the previous high price {high} at all times.")
high = self._previous_slice.quote_bars[self._symbol].bid.high if self._previous_slice.quote_bars.contains_key(self._symbol) \
else self._previous_slice.bars[self._symbol].high
stop_price_to_market_price_distance = high - stop_price
if stop_price_to_market_price_distance > self.sell_trailing_amount:
raise Exception(f"StopPrice {stop_price} should be within {self.sell_trailing_amount} of the previous high price {high} at all times.")
self._previousSlice = slice
self._previous_slice = slice
def OnOrderEvent(self, orderEvent: OrderEvent):
if orderEvent.Status == OrderStatus.Filled:
if orderEvent.Direction == OrderDirection.Buy:
stopPrice = self._buyOrderTicket.Get(OrderField.StopPrice)
if orderEvent.FillPrice < stopPrice:
raise Exception(f"Buy trailing stop order should have filled with price greater than or equal to the stop price {stopPrice}. "
f"Fill price: {orderEvent.FillPrice}")
def on_order_event(self, orderEvent: OrderEvent):
if orderEvent.status == OrderStatus.FILLED:
if orderEvent.direction == OrderDirection.BUY:
stop_price = self._buy_order_ticket.get(OrderField.STOP_PRICE)
if orderEvent.fill_price < stop_price:
raise Exception(f"Buy trailing stop order should have filled with price greater than or equal to the stop price {stop_price}. "
f"Fill price: {orderEvent.fill_price}")
else:
stopPrice = self._sellOrderTicket.Get(OrderField.StopPrice)
if orderEvent.FillPrice > stopPrice:
raise Exception(f"Sell trailing stop order should have filled with price less than or equal to the stop price {stopPrice}. "
f"Fill price: {orderEvent.FillPrice}")
stop_price = self._sell_order_ticket.get(OrderField.STOP_PRICE)
if orderEvent.fill_price > stop_price:
raise Exception(f"Sell trailing stop order should have filled with price less than or equal to the stop price {stop_price}. "
f"Fill price: {orderEvent.fill_price}")