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pep8 conversion of python algos (#7948)

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* pep8 conversion of python algos

* adding 10 more pep8 converted algos

* PEP8 updates/fixes

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Ashutosh
2024-04-19 19:36:48 +05:30
committed by GitHub
parent 77591f90c7
commit 3c30e255fe
21 changed files with 490 additions and 491 deletions
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Algorithm.Python/StopLimitOrderRegressionAlgorithm.py
+39 -39
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@@ -22,56 +22,56 @@ from AlgorithmImports import *
class StopLimitOrderRegressionAlgorithm(QCAlgorithm):
'''Basic algorithm demonstrating how to place stop limit orders.'''
Tolerance = 0.001
FastPeriod = 30
SlowPeriod = 60
tolerance = 0.001
fast_period = 30
slow_period = 60
def Initialize(self):
self.SetStartDate(2013, 1, 1)
self.SetEndDate(2017, 1, 1)
self.SetCash(100000)
def initialize(self):
self.set_start_date(2013, 1, 1)
self.set_end_date(2017, 1, 1)
self.set_cash(100000)
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._fast = self.EMA(self._symbol, self.FastPeriod, Resolution.Daily)
self._slow = self.EMA(self._symbol, self.SlowPeriod, Resolution.Daily)
self._fast = self.ema(self._symbol, self.fast_period, Resolution.DAILY)
self._slow = self.ema(self._symbol, self.slow_period, Resolution.DAILY)
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 self.IsReady():
def on_data(self, slice: Slice):
if not self.is_ready():
return
security = self.Securities[self._symbol]
if self._buyOrderTicket is None and self.TrendIsUp():
self._buyOrderTicket = self.StopLimitOrder(self._symbol, 100, stopPrice=security.High * 1.10, limitPrice=security.High * 1.11)
elif self._buyOrderTicket.Status == OrderStatus.Filled and self._sellOrderTicket is None and self.TrendIsDown():
self._sellOrderTicket = self.StopLimitOrder(self._symbol, -100, stopPrice=security.Low * 0.99, limitPrice=security.Low * 0.98)
security = self.securities[self._symbol]
if self._buy_order_ticket is None and self.trend_is_up():
self._buy_order_ticket = self.stop_limit_order(self._symbol, 100, stop_price=security.high * 1.10, limit_price=security.high * 1.11)
elif self._buy_order_ticket.status == OrderStatus.FILLED and self._sell_order_ticket is None and self.trend_is_down():
self._sell_order_ticket = self.stop_limit_order(self._symbol, -100, stop_price=security.low * 0.99, limit_price=security.low * 0.98)
def OnOrderEvent(self, orderEvent: OrderEvent):
if orderEvent.Status == OrderStatus.Filled:
order: StopLimitOrder = self.Transactions.GetOrderById(orderEvent.OrderId)
if not order.StopTriggered:
def on_order_event(self, order_event: OrderEvent):
if order_event.status == OrderStatus.FILLED:
order: StopLimitOrder = self.transactions.get_order_by_id(order_event.order_id)
if not order.stop_triggered:
raise Exception("StopLimitOrder StopTriggered should haven been set if the order filled.")
if orderEvent.Direction == OrderDirection.Buy:
limitPrice = self._buyOrderTicket.Get(OrderField.LimitPrice)
if orderEvent.FillPrice > limitPrice:
raise Exception(f"Buy stop limit order should have filled with price less than or equal to the limit price {limitPrice}. "
f"Fill price: {orderEvent.FillPrice}")
if order_event.direction == OrderDirection.BUY:
limit_price = self._buy_order_ticket.get(OrderField.LIMIT_PRICE)
if order_event.fill_price > limit_price:
raise Exception(f"Buy stop limit order should have filled with price less than or equal to the limit price {limit_price}. "
f"Fill price: {order_event.fill_price}")
else:
limitPrice = self._sellOrderTicket.Get(OrderField.LimitPrice)
if orderEvent.FillPrice < limitPrice:
raise Exception(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limitPrice}. "
f"Fill price: {orderEvent.FillPrice}")
limit_price = self._sell_order_ticket.get(OrderField.LIMIT_PRICE)
if order_event.fill_price < limit_price:
raise Exception(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limit_price}. "
f"Fill price: {order_event.fill_price}")
def IsReady(self):
return self._fast.IsReady and self._slow.IsReady
def is_ready(self):
return self._fast.is_ready and self._slow.is_ready
def TrendIsUp(self):
return self.IsReady() and self._fast.Current.Value > self._slow.Current.Value * (1 + self.Tolerance)
def trend_is_up(self):
return self.is_ready() and self._fast.current.value > self._slow.current.value * (1 + self.tolerance)
def TrendIsDown(self):
return self.IsReady() and self._fast.Current.Value < self._slow.Current.Value * (1 + self.Tolerance)
def trend_is_down(self):
return self.is_ready() and self._fast.current.value < self._slow.current.value * (1 + self.tolerance)