/* * 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. */ using System; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Orders; namespace QuantConnect.Algorithm.CSharp { /// /// Basic template algorithm simply initializes the date range and cash /// public class AddRemoveSecurityRegressionAlgorithm : QCAlgorithm { private DateTime lastAction; /// /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. /// public override void Initialize() { SetStartDate(2013, 10, 07); //Set Start Date SetEndDate(2013, 10, 11); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddSecurity(SecurityType.Equity, "SPY"); } /// /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// /// Slice object keyed by symbol containing the stock data public void OnData(TradeBars data) { if (lastAction.Date == Time.Date) return; if (!Portfolio.Invested) { SetHoldings("SPY", 0.5); lastAction = Time; } if (Time.DayOfWeek == DayOfWeek.Tuesday) { AddSecurity(SecurityType.Equity, "AIG"); AddSecurity(SecurityType.Equity, "BAC"); lastAction = Time; } else if (Time.DayOfWeek == DayOfWeek.Wednesday) { SetHoldings("AIG", .25); SetHoldings("BAC", .25); lastAction = Time; } else if (Time.DayOfWeek == DayOfWeek.Thursday) { RemoveSecurity("BAC"); RemoveSecurity("AIG"); lastAction = Time; } } public override void OnOrderEvent(OrderEvent orderEvent) { if (orderEvent.Status == OrderStatus.Submitted) { Console.WriteLine(Time + ": Submitted: " + Transactions.GetOrderById(orderEvent.OrderId)); } if (orderEvent.Status.IsFill()) { Console.WriteLine(Time + ": Filled: " + Transactions.GetOrderById(orderEvent.OrderId)); } } } }