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pep8 conversion of python #7 (#7945)

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* pep8 conversion

* PEP8 updates/fixes

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 03:12:36 +08:00
committed by GitHub
parent 7e5b8d6243
commit 4a1f30bd96
24 changed files with 754 additions and 757 deletions
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Algorithm.Python/ForwardDataOnlyFillModelAlgorithm.py
+23 -23
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@@ -18,34 +18,34 @@ from AlgorithmImports import *
### pessimistic fill models and eliminate the possibility to fill on old market data that may not be relevant.
### </summary>
class ForwardDataOnlyFillModelAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013,10,1)
self.SetEndDate(2013,10,31)
def initialize(self):
self.set_start_date(2013,10,1)
self.set_end_date(2013,10,31)
self.security = self.AddEquity("SPY", Resolution.Hour)
self.security.SetFillModel(ForwardDataOnlyFillModel())
self.security = self.add_equity("SPY", Resolution.HOUR)
self.security.set_fill_model(ForwardDataOnlyFillModel())
self.Schedule.On(self.DateRules.WeekStart(), self.TimeRules.AfterMarketOpen(self.security.Symbol), self.Trade)
self.schedule.on(self.date_rules.week_start(), self.time_rules.after_market_open(self.security.symbol), self.trade)
def Trade(self):
if not self.Portfolio.Invested:
if self.Time.hour != 9 or self.Time.minute != 30:
raise Exception(f"Unexpected event time {self.Time}")
def trade(self):
if not self.portfolio.invested:
if self.time.hour != 9 or self.time.minute != 30:
raise Exception(f"Unexpected event time {self.time}")
ticket = self.Buy("SPY", 1)
if ticket.Status != OrderStatus.Submitted:
raise Exception(f"Unexpected order status {ticket.Status}")
ticket = self.buy("SPY", 1)
if ticket.status != OrderStatus.SUBMITTED:
raise Exception(f"Unexpected order status {ticket.status}")
def OnOrderEvent(self, orderEvent: OrderEvent):
self.Debug(f"OnOrderEvent:: {orderEvent}")
if orderEvent.Status == OrderStatus.Filled and (self.Time.hour != 10 or self.Time.minute != 0):
raise Exception(f"Unexpected fill time {self.Time}")
def on_order_event(self, order_event: OrderEvent):
self.debug(f"OnOrderEvent:: {order_event}")
if order_event.status == OrderStatus.FILLED and (self.time.hour != 10 or self.time.minute != 0):
raise Exception(f"Unexpected fill time {self.time}")
class ForwardDataOnlyFillModel(EquityFillModel):
def Fill(self, parameters: FillModelParameters):
orderLocalTime = Extensions.ConvertFromUtc(parameters.Order.Time, parameters.Security.Exchange.TimeZone)
for dataType in [ QuoteBar, TradeBar, Tick ]:
data = parameters.Security.Cache.GetData[dataType]()
if not data is None and orderLocalTime <= data.EndTime:
return super().Fill(parameters)
def fill(self, parameters: FillModelParameters):
order_local_time = Extensions.convert_from_utc(parameters.order.time, parameters.security.exchange.time_zone)
for data_type in [ QuoteBar, TradeBar, Tick ]:
data = parameters.security.cache.get_data[data_type]()
if not data is None and order_local_time <= data.end_time:
return super().fill(parameters)
return Fill([])