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Review TimeInForce handler interface

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- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
This commit is contained in:
Stefano Raggi
2018-05-01 20:53:43 +02:00
parent 1ecf9db692
commit 2d19ab7ead
17 changed files with 185 additions and 84 deletions
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Algorithm.Python/TimeInForceAlgorithm.py
+4 -3
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@@ -52,14 +52,15 @@ class TimeInForceAlgorithm(QCAlgorithm):
def OnData(self, data):
if self.gtcOrderTicket is None:
# This order has a default time in force of GoodTilCancelled,
# it will never expire and will not be cancelled automatically.
# This order has a default time in force of GoodTilCanceled,
# it 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 cancelled automatically.
# if not filled by then it will be canceled automatically.
self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
self.dayOrderTicket = self.LimitOrder(self.symbol, 10, 160)