/* * 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.Orders; namespace QuantConnect.Algorithm.CSharp { /// /// Showcases the delisting event of QCAlgorithm /// /// /// The data for this algorithm isn't in the github repo, so this will need to be run on the QC site /// public class DelistingEventsAlgorithm : QCAlgorithm { /// /// 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(2007, 05, 16); //Set Start Date SetEndDate(2007, 05, 25); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddSecurity(SecurityType.Equity, "AAA", Resolution.Daily); AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily); } /// /// 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 override void OnData(Slice data) { if (Transactions.OrdersCount == 0) { SetHoldings("AAA", 1); Debug("Purchased Stock"); } foreach (var kvp in data.Bars) { var symbol = kvp.Key; var tradeBar = kvp.Value; Console.WriteLine("OnData(Slice): {0}: {1}: {2}", Time, symbol, tradeBar.Close.ToString("0.00")); } // the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting } public void OnData(Delistings data) { foreach (var kvp in data) { var symbol = kvp.Key; var delisting = kvp.Value; if (delisting.Type == DelistingType.Warning) { Console.WriteLine("OnData(Delistings): {0}: {1} will be delisted at end of day today.", Time, symbol); } if (delisting.Type == DelistingType.Delisted) { Console.WriteLine("OnData(Delistings): {0}: {1} has been delisted.", Time, symbol); } } } public override void OnOrderEvent(OrderEvent orderEvent) { Console.WriteLine("OnOrderEvent(OrderEvent): {0}: {1}", Time, orderEvent); } } }