QuantConnect
75 lines
2.4 KiB
C#
75 lines
2.4 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 System.Collections;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Securities;
|
|
|
|
using System.Globalization;
|
|
using QuantConnect.Data.Market;
|
|
|
|
namespace QuantConnect
|
|
{
|
|
public class TestSetHoldingAlgorithm : QCAlgorithm
|
|
{
|
|
int step = 0;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 06, 01);
|
|
SetEndDate(2014, 05, 30);
|
|
SetCash(100000);
|
|
AddSecurity(SecurityType.Equity, "MSFT", Resolution.Minute);
|
|
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
|
|
AddSecurity(SecurityType.Equity, "IBM", Resolution.Minute);
|
|
}
|
|
|
|
public void OnData(TradeBars data)
|
|
{
|
|
//First Order, Set 50% MSFT:
|
|
if (!Portfolio.Invested)
|
|
{
|
|
SetHoldings("MSFT", 0.5); step++;
|
|
}
|
|
|
|
if (Time.Date == new DateTime(2013, 7, 1) && step == 1)
|
|
{
|
|
SetHoldings("MSFT", 1); step++;
|
|
}
|
|
|
|
if (Time.Date == new DateTime(2013, 8, 1) && step == 2)
|
|
{
|
|
SetHoldings("IBM", 1, true); step++;
|
|
}
|
|
|
|
if (Time.Date == new DateTime(2013, 9, 3) && step == 3)
|
|
{
|
|
SetHoldings("IBM", -0.5, true); step++;
|
|
}
|
|
|
|
if (Time.Date == new DateTime(2013, 10, 1) && step == 4)
|
|
{
|
|
SetHoldings("SPY", -0.5); step++;
|
|
}
|
|
|
|
if (Time.Date == new DateTime(2013, 11, 1) && step == 5)
|
|
{
|
|
SetHoldings("IBM", -0.5, true); //Succeed.
|
|
SetHoldings("SPY", -0.5); step++;
|
|
}
|
|
}
|
|
}
|
|
|
|
} |