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Assorted changes to address import statements and Rolling Window code that fails to run

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This commit is contained in:
Jack Simonson
2019-03-04 11:37:21 -08:00
parent ff565f933f
commit c071979350
2 changed files with 7 additions and 8 deletions
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Algorithm.Python/UpdateOrderRegressionAlgorithm.py
+6 -7
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@@ -25,7 +25,6 @@ from QuantConnect.Data import *
from QuantConnect.Orders import *
from QuantConnect.Securities import *
from QuantConnect.Util import *
import decimal as d
from math import copysign
from datetime import datetime
@@ -79,11 +78,11 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
self.last_month = self.Time.month
self.Log("ORDER TYPE:: {0}".format(orderType))
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
stopPrice = (1 + self.stop_percentage)*data["SPY"].High if isLong else (1 - self.stop_percentage)*data["SPY"].Low
limitPrice = (1 - self.limit_percentage)*stopPrice if isLong else (1 + self.limit_percentage)*stopPrice
if orderType == OrderType.Limit:
limitPrice = d.Decimal(1 + self.limit_percentage)*data["SPY"].High if not isLong else d.Decimal(1 - self.limit_percentage)*data["SPY"].Low
limitPrice = (1 + self.limit_percentage)*data["SPY"].High if not isLong else (1 - self.limit_percentage)*data["SPY"].Low
request = SubmitOrderRequest(orderType, self.security.Symbol.SecurityType, "SPY", self.quantity, stopPrice, limitPrice, self.UtcTime, str(orderType))
ticket = self.Transactions.AddOrder(request)
@@ -96,7 +95,7 @@ class UpdateOrderRegressionAlgorithm(QCAlgorithm):
if len(ticket.UpdateRequests) == 0 and ticket.Status is not OrderStatus.Filled:
self.Log("TICKET:: {0}".format(ticket))
updateOrderFields = UpdateOrderFields()
updateOrderFields.Quantity = ticket.Quantity + d.Decimal(copysign(self.delta_quantity, self.quantity))
updateOrderFields.Quantity = ticket.Quantity + copysign(self.delta_quantity, self.quantity)
updateOrderFields.Tag = "Change quantity: {0}".format(self.Time)
ticket.Update(updateOrderFields)
@@ -104,8 +103,8 @@ 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.limit_percentage_delta, ticket.Quantity))
updateOrderFields.StopPrice = self.security.Price*d.Decimal(1 + copysign(self.stop_percentage_delta, ticket.Quantity))
updateOrderFields.LimitPrice = self.security.Price*(1 - copysign(self.limit_percentage_delta, ticket.Quantity))
updateOrderFields.StopPrice = self.security.Price*(1 + copysign(self.stop_percentage_delta, ticket.Quantity))
updateOrderFields.Tag = "Change prices: {0}".format(self.Time)
ticket.Update(updateOrderFields)
else: