Adds ScheduledEventsAlgorithm.py

Adds Python version of ScheduledEventsAlgorithm

Algorithm.Python/ScheduledEventsAlgorithm.py

@@ -0,0 +1,104 @@
+# 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.Algorithm import *
+from QuantConnect.Data import *
+
+
+class ScheduledEventsAlgorithm(QCAlgorithm):
+    '''QCU Scheduled Events 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.'''
+        
+        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", Resolution.Second)
+
+        # events are scheduled using date and time rules
+        # date rules specify on what dates and event will fire
+        # time rules specify at what time on thos dates the event will fire
+
+        # Python note:
+        # Schedule.On third argument type is System.Action or System.Action[System.String,System.DateTime]
+        # we need to cast the callback function using Action(...) to make it work
+
+        # schedule an event to fire at a specific date/time
+        self.Schedule.On(self.DateRules.On(2013, 10, 7), self.TimeRules.At(13, 0), Action(self.SpecificTime))
+
+        # schedule an event to fire every trading day for a security the
+        # time rule here tells it to fire 10 minutes after SPY's market open
+        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 10), Action(self.EveryDayAfterMarketOpen))
+
+        # schedule an event to fire every trading day for a security the
+        # time rule here tells it to fire 10 minutes before SPY's market close
+        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), Action(self.EveryDayAfterMarketClose))
+
+        # schedule an event to fire on certain days of the week
+        self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Friday), self.TimeRules.At(12, 0), Action(self.EveryMonFriAtNoon))
+
+        # the scheduling methods return the ScheduledEvent object which can be used for other things here I set
+        # the event up to check the portfolio value every 10 minutes, and liquidate if we have too many losses
+        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(TimeSpan.FromMinutes(10)), Action(self.LiquidateUnrealizedLosses))
+
+        # schedule an event to fire at the beginning of the month, the symbol is optional
+        # if specified, it will fire the first trading day for that symbol of the month,
+        # if not specified it will fire on the first day of the month
+        self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY"), Action(self.RebalancingCode))
+
+
+    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 not self.Portfolio.Invested:
+            self.SetHoldings("SPY", 1)
+
+
+    def SpecificTime(self):
+        self.Log("SpecificTime: Fired at : {0}".format(self.Time))
+
+
+    def EveryDayAfterMarketOpen(self):
+        self.Log("EveryDay.SPY 10 min after open: Fired at: {0}".format(self.Time))
+
+
+    def EveryDayAfterMarketClose(self):
+        self.Log("EveryDay.SPY 10 min before close: Fired at: {0}".format(self.Time))
+
+
+    def EveryMonFriAtNoon(self):
+        self.Log("Mon/Fri at 12pm: Fired at: {0}".format(self.Time))
+
+
+    def LiquidateUnrealizedLosses(self):
+        ''' if we have over 1000 dollars in unrealized losses, liquidate'''
+        if self.Portfolio.TotalUnrealizedProfit < -1000:
+            self.Log("Liquidated due to unrealized losses at: {0}".format(self.Time))
+            self.Liquidate()
+
+
+    def RebalancingCode(self):
+        ''' Good spot for rebalancing code?'''
+        pass