Jared Broad
60 lines
2.6 KiB
Python
60 lines
2.6 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Securities import *
|
|
from QuantConnect.Data.Market import *
|
|
from QuantConnect.Orders import *
|
|
from datetime import datetime
|
|
|
|
### <summary>
|
|
### Demonstration of the Market On Close order for US Equities.
|
|
### </summary>
|
|
### <meta name="tag" content="trading and orders" />
|
|
### <meta name="tag" content="placing orders" />
|
|
class MarketOnOpenOnCloseAlgorithm(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(2013,10,07) #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.equity = self.AddEquity("SPY", Resolution.Second, fillDataForward = True, extendedMarketHours = True)
|
|
self.__submittedMarketOnCloseToday = False
|
|
self.__last = datetime.min
|
|
|
|
|
|
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.Time.date() != self.__last.date(): # each morning submit a market on open order
|
|
self.__submittedMarketOnCloseToday = False
|
|
self.MarketOnOpenOrder("SPY", 100)
|
|
self.__last = self.Time
|
|
|
|
if not self.__submittedMarketOnCloseToday and self.equity.Exchange.ExchangeOpen: # once the exchange opens submit a market on close order
|
|
self.__submittedMarketOnCloseToday = True
|
|
self.MarketOnCloseOrder("SPY", -100)
|
|
|
|
|
|
def OnOrderEvent(self, fill):
|
|
order = self.Transactions.GetOrderById(fill.OrderId)
|
|
self.Log("{0} - {1}:: {2}".format(self.Time, order.Type, fill)) |