Jared Broad
69 lines
2.5 KiB
C#
69 lines
2.5 KiB
C#
/*
|
|
* 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.Brokerages;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Algorithm demonstrating how to setup a custom brokerage message handler. Using the custom messaging
|
|
/// handler you can ensure your algorithm continues operation through connection failures.
|
|
/// </summary>
|
|
/// <meta name="tag" content="trading and orders" />
|
|
/// <meta name="tag" content="brokerage models" />
|
|
public class CustomBrokerageErrorHandlerAlgorithm : QCAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 1, 1);
|
|
SetEndDate(DateTime.Now.Date.AddDays(-1));
|
|
SetCash(25000);
|
|
AddSecurity(SecurityType.Equity, "SPY");
|
|
|
|
//Set the brokerage message handler:
|
|
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
|
|
}
|
|
|
|
public void OnData(TradeBars data)
|
|
{
|
|
if (Portfolio.HoldStock) return;
|
|
Order("SPY", 100);
|
|
Debug("Purchased SPY on " + Time.ToShortDateString());
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handle the error messages in a custom manner
|
|
/// </summary>
|
|
public class CustomBrokerageMessageHandler : IBrokerageMessageHandler
|
|
{
|
|
private readonly IAlgorithm _algo;
|
|
public CustomBrokerageMessageHandler(IAlgorithm algo) { _algo = algo; }
|
|
|
|
/// <summary>
|
|
/// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
|
|
/// </summary>
|
|
/// <param name="message">Message object</param>
|
|
public void Handle(BrokerageMessageEvent message)
|
|
{
|
|
var toLog = _algo.Time.ToString("o") + " Event: " + message.Message;
|
|
_algo.Debug(toLog);
|
|
_algo.Log(toLog);
|
|
}
|
|
}
|
|
} |