Adds python version of BasicTemplateFrameworkAlgorithm (#1334)

2017-11-21 18:00:27 +00:00
parent d6496ebb85
commit 74bb93b8bf
3 changed files with 68 additions and 0 deletions
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+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Orders import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm.Framework import *
+from QuantConnect.Algorithm.Framework.Execution import *
+from QuantConnect.Algorithm.Framework.Portfolio import *
+from QuantConnect.Algorithm.Framework.Risk import *
+from QuantConnect.Algorithm.Framework.Selection import *
+from QuantConnect.Algorithm.Framework.Signals import *
+import numpy as np
+
+### <summary>
+### Basic template framework algorithm uses framework components to define the algorithm.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="trading and orders" />
+class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
+    '''Basic template framework algorithm uses framework components to define the algorithm.'''
+
+    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.'''
+
+        # Set requested data resolution
+        self.UniverseSettings.Resolution = Resolution.Minute
+
+        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
+        # Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
+        # Futures Resolution: Tick, Second, Minute
+        # Options Resolution: Minute Only.
+        symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
+
+        # set algorithm framework models
+        self.PortfolioSelection = ManualPortfolioSelectionModel(symbols)
+        self.Signal = ConstantSignalModel(SignalType.Price, Direction.Up)
+        self.PortfolioConstruction = SimplePortfolioConstructionModel()
+        self.Execution = ImmediateExecutionModel()
+        self.RiskManagement = NullRiskManagementModel()
+        self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
+
+    def OnOrderEvent(self, orderEvent):
+        if orderEvent.Status == OrderStatus.Filled:
+            self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))