Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
56 lines
2.2 KiB
Python
56 lines
2.2 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This algorithm demonstrates extended market hours trading.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="assets" />
|
|
### <meta name="tag" content="regression test" />
|
|
class ExtendedMarketTradingRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
self.SetStartDate(2013,10,7) #Set Start Date
|
|
self.SetEndDate(2013,10,11) #Set End Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
# Find more symbols here: http://quantconnect.com/data
|
|
self.spy = self.AddEquity("SPY", Resolution.Minute, Market.USA, True, 1, True)
|
|
|
|
self._lastAction = None
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
|
|
if self._lastAction is not None and self._lastAction.date() == self.Time.date():
|
|
return
|
|
|
|
spyBar = data.Bars['SPY']
|
|
|
|
if not self.InMarketHours():
|
|
self.LimitOrder("SPY", 10, spyBar.Low);
|
|
self._lastAction = self.Time
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Log(str(orderEvent))
|
|
if self.InMarketHours():
|
|
raise Exception("Order processed during market hours.")
|
|
|
|
def InMarketHours(self):
|
|
now = self.Time.time()
|
|
open = time(9,30,0)
|
|
close = time(16,0,0)
|
|
return (open < now) and (close > now)
|
|
|