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

Added more orders in TimeInForceAlgorithm regression

Browse Source
This commit is contained in:
Stefano Raggi
2018-05-30 11:58:51 +02:00
parent 7a76b07174
commit 1fea8b8bb0
3 changed files with 114 additions and 43 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/TimeInForceAlgorithm.py
+47 -16
View File
@@ -43,39 +43,70 @@ class TimeInForceAlgorithm(QCAlgorithm):
# We currently only support GTC and DAY.
# self.DefaultOrderProperties.TimeInForce = TimeInForce.Day;
self.symbol = self.AddEquity("SPY", Resolution.Second).Symbol
self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
self.gtcOrderTicket = None
self.dayOrderTicket = None
self.gtdOrderTicket = None
self.gtcOrderTicket1 = None
self.gtcOrderTicket2 = None
self.dayOrderTicket1 = None
self.dayOrderTicket2 = None
self.gtdOrderTicket1 = None
self.gtdOrderTicket2 = None
self.expectedOrderStatuses = {}
# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
# Arguments:
# data: Slice object keyed by symbol containing the stock data
def OnData(self, data):
if self.gtcOrderTicket is None:
# This order has a default time in force of GoodTilCanceled,
# it will never expire and will not be canceled automatically.
if self.gtcOrderTicket1 is None:
# These GTC orders will never expire and will not be canceled automatically.
self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
self.gtcOrderTicket = self.LimitOrder(self.symbol, 10, 160)
if self.dayOrderTicket is None:
# This order will expire at market close,
# if not filled by then it will be canceled automatically.
# this order will not be filled before the end of the backtest
self.gtcOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
self.expectedOrderStatuses[self.gtcOrderTicket1.OrderId] = OrderStatus.Submitted
# this order will be filled before the end of the backtest
self.gtcOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
self.expectedOrderStatuses[self.gtcOrderTicket2.OrderId] = OrderStatus.Filled
if self.dayOrderTicket1 is None:
# These DAY orders will expire at market close,
# if not filled by then they will be canceled automatically.
self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
self.dayOrderTicket = self.LimitOrder(self.symbol, 10, 160)
if self.gtdOrderTicket is None:
# This order will expire on October 10th at market close,
# if not filled by then it will be canceled automatically.
# this order will not be filled before market close and will be canceled
self.dayOrderTicket1 = self.LimitOrder(self.symbol, 10, 160)
self.expectedOrderStatuses[self.dayOrderTicket1.OrderId] = OrderStatus.Canceled
# this order will be filled before market close
self.dayOrderTicket2 = self.LimitOrder(self.symbol, 10, 180)
self.expectedOrderStatuses[self.dayOrderTicket2.OrderId] = OrderStatus.Filled
if self.gtdOrderTicket1 is None:
# These GTD orders will expire on October 10th at market close,
# if not filled by then they will be canceled automatically.
self.DefaultOrderProperties.TimeInForce = GoodTilDateTimeInForce(datetime(2013, 10, 10))
self.gtdOrderTicket = self.LimitOrder(self.symbol, 10, 100)
# this order will not be filled before expiry and will be canceled
self.gtdOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
self.expectedOrderStatuses[self.gtdOrderTicket1.OrderId] = OrderStatus.Canceled
# this order will be filled before expiry
self.gtdOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
self.expectedOrderStatuses[self.gtdOrderTicket2.OrderId] = OrderStatus.Filled
# Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
# This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
def OnOrderEvent(self, orderEvent):
self.Debug(f"{self.Time} {orderEvent}")
# End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
def OnEndOfAlgorithm(self):
for orderId, expectedStatus in self.expectedOrderStatuses.items():
order = self.Transactions.GetOrderById(orderId)
if order.Status != expectedStatus:
raise Exception(f"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.Status}")