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Modifies python example algorithms to show implicit convertion benefits

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AlexCatarino
2017-06-15 18:40:34 +01:00
parent 6ca9d7cf14
commit 6242706342
22 changed files with 189 additions and 212 deletions
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Algorithm.Python/UpdateOrderRegressionAlgorithm.py
+29 -30
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@@ -41,61 +41,60 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.__Security = self.AddEquity("SPY", Resolution.Daily)
self.__Symbol = self.__Security.Symbol;
self.security = self.AddEquity("SPY", Resolution.Daily)
self.last_month = -1
self.quantity = 100
self.delta_quantity = 10
self.__LastMonth = -1
self.__Quantity = 100
self.__DeltaQuantity = 10
self.__StopPercentage = 0.025
self.__StopPercentageDelta = 0.005
self.__LimitPercentage = 0.025
self.__LimitPercentageDelta = 0.005
self.stop_percentage = 0.025
self.stop_percentage_delta = 0.005
self.limit_percentage = 0.025
self.limit_percentage_delta = 0.005
OrderTypeEnum = [OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.MarketOnOpen, OrderType.MarketOnClose]
self.__orderTypesQueue = CircularQueue[OrderType](OrderTypeEnum)
self.__orderTypesQueue.CircleCompleted += self.onCircleCompleted
self.__tickets = []
self.order_types_queue = CircularQueue[OrderType](OrderTypeEnum)
self.order_types_queue.CircleCompleted += self.onCircleCompleted
self.tickets = []
def onCircleCompleted(self, sender, event):
'''Flip our signs when we've gone through all the order types'''
self.__Quantity *= -1
self.quantity *= -1
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if not data.ContainsKey(self.__Symbol):
if not data.ContainsKey("SPY"):
return
if self.Time.month != self.__LastMonth:
if self.Time.month != self.last_month:
# we'll submit the next type of order from the queue
orderType = self.__orderTypesQueue.Dequeue();
orderType = self.order_types_queue.Dequeue();
#Log("");
self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(self.Time.strftime("%B"), orderType))
#Log("")
self.__LastMonth = self.Time.month
self.last_month = self.Time.month
self.Log("ORDER TYPE:: {0}".format(orderType))
isLong = self.__Quantity > 0
stopPrice = d.Decimal(1 + self.__StopPercentage)*data[self.__Symbol].High if isLong else d.Decimal(1 - self.__StopPercentage)*data[self.__Symbol].Low
limitPrice = d.Decimal(1 - self.__LimitPercentage)*stopPrice if isLong else d.Decimal(1 + self.__LimitPercentage)*stopPrice
isLong = self.quantity > 0
stopPrice = d.Decimal(1 + self.stop_percentage)*data["SPY"].High if isLong else d.Decimal(1 - self.stop_percentage)*data["SPY"].Low
limitPrice = d.Decimal(1 - self.limit_percentage)*stopPrice if isLong else d.Decimal(1 + self.limit_percentage)*stopPrice
if orderType == OrderType.Limit:
limitPrice = d.Decimal(1 + self.__LimitPercentage)*data[self.__Symbol].High if not isLong else d.Decimal(1 - self.__LimitPercentage)*data[self.__Symbol].Low
limitPrice = d.Decimal(1 + self.limit_percentage)*data["SPY"].High if not isLong else d.Decimal(1 - self.limit_percentage)*data["SPY"].Low
request = SubmitOrderRequest(orderType, self.__Symbol.SecurityType, self.__Symbol, self.__Quantity, stopPrice, limitPrice, self.Time, str(orderType))
request = SubmitOrderRequest(orderType, self.security.Symbol.SecurityType, "SPY", self.quantity, stopPrice, limitPrice, self.Time, str(orderType))
ticket = self.Transactions.AddOrder(request)
self.__tickets.append(ticket)
self.tickets.append(ticket)
elif len(self.__tickets) > 0:
ticket = self.__tickets[-1]
elif len(self.tickets) > 0:
ticket = self.tickets[-1]
if self.Time.day > 8 and self.Time.day < 14:
if len(ticket.UpdateRequests) == 0 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
updateOrderFields = UpdateOrderFields()
updateOrderFields.Quantity = ticket.Quantity + copysign(self.__DeltaQuantity, self.__Quantity)
updateOrderFields.Quantity = ticket.Quantity + copysign(self.delta_quantity, self.quantity)
updateOrderFields.Tag = "Change quantity: {0}".format(self.Time)
ticket.Update(updateOrderFields)
@@ -103,8 +102,8 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
if len(ticket.UpdateRequests) == 1 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
updateOrderFields = UpdateOrderFields()
updateOrderFields.LimitPrice = self.__Security.Price*d.Decimal(1 - copysign(self.__LimitPercentageDelta, ticket.Quantity))
updateOrderFields.StopPrice = self.__Security.Price*d.Decimal(1 + copysign(self.__StopPercentageDelta, ticket.Quantity))
updateOrderFields.LimitPrice = self.security.Price*d.Decimal(1 - copysign(self.limit_percentage_delta, ticket.Quantity))
updateOrderFields.StopPrice = self.security.Price*d.Decimal(1 + copysign(self.stop_percentage_delta, ticket.Quantity))
updateOrderFields.Tag = "Change prices: {0}".format(self.Time)
ticket.Update(updateOrderFields)
else:
@@ -119,4 +118,4 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
self.Log("FILLED:: {0} FILL PRICE:: {1}".format(self.Transactions.GetOrderById(orderEvent.OrderId), orderEvent.FillPrice))
else:
self.Log(orderEvent.ToString())
self.Log("TICKET:: {0}".format(self.__tickets[-1]))
self.Log("TICKET:: {0}".format(self.tickets[-1]))