Add AddRemoveSecurityRegressionAlgorithm.py

Add Python version of AddRemoveSecurityRegressionAlgorithm
2016-02-13 14:33:05 -02:00
parent 0af069d541
commit 3673373ad9
2 changed files with 74 additions and 0 deletions
@@ -0,0 +1,73 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+# 
+# Licensed under the Apache License, Version 2.0 (the "License"); 
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+# 
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+import clr
+clr.AddReference("System")
+clr.AddReference("QuantConnect.Common")
+clr.AddReference("QuantConnect.Algorithm")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data.Market import *
+import QuantConnect.Orders as Orders
+clr.ImportExtensions(Orders.OrderExtensions)
+
+class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):
+    '''Basic template algorithm simply initializes the date range and cash'''
+
+    def __init__(self):    
+        self._lastAction = None
+
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        
+        self.SetStartDate(2013,10,07)  #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        self.AddSecurity(SecurityType.Equity, "SPY")
+
+    def OnData(self, data):
+        '''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
+        '''
+        if self._lastAction is not None and self._lastAction.Date == self.Time.Date:
+            return
+
+        if not self.Portfolio.Invested:
+            self.SetHoldings("SPY", .5)
+            self._lastAction = self.Time
+
+        if self.Time.DayOfWeek == DayOfWeek.Tuesday:
+            self.AddSecurity(SecurityType.Equity, "AIG")
+            self.AddSecurity(SecurityType.Equity, "BAC")
+            self._lastAction = self.Time
+
+        if self.Time.DayOfWeek == DayOfWeek.Wednesday:
+            self.SetHoldings("AIG", .25)
+            self.SetHoldings("BAC", .25)
+            self._lastAction = self.Time
+
+        if self.Time.DayOfWeek == DayOfWeek.Thursday:
+            self.RemoveSecurity("AIG")
+            self.RemoveSecurity("BAC")
+            self._lastAction = self.Time
+
+    def OnOrderEvent(self, orderEvent):
+        if orderEvent.Status == Orders.OrderStatus.Submitted:
+            print "{0}: Submitted: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))
+        if orderEvent.Status.IsFill():
+            print "{0}: Filled: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))