Alexandre Catarino
58f0caf647
Some python algorithms suffered corrections to run under the new python framework (pythonnet). Others were deleted because some features will be supported in futures implementations. Adds a method in AlgorithmPythonUtil to transform C# DateTime into Python datetime
72 lines
3.0 KiB
Python
72 lines
3.0 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.Data import *
|
|
from QuantConnect.Data.Market import *
|
|
from QuantConnect.Orders import *
|
|
|
|
|
|
class DelistingEventsAlgorithm(QCAlgorithm):
|
|
'''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'''
|
|
|
|
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(2007, 05, 16) #Set Start Date
|
|
self.SetEndDate(2007, 05, 25) #Set End Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
# Find more symbols here: http://quantconnect.com/data
|
|
aaa = self.AddEquity("AAA", Resolution.Daily)
|
|
spy = self.AddEquity("SPY", Resolution.Daily)
|
|
self.aaa = aaa.Symbol
|
|
self.spy = spy.Symbol
|
|
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if self.Transactions.OrdersCount == 0:
|
|
self.SetHoldings(self.aaa, 1)
|
|
self.Debug("Purchased stock")
|
|
|
|
for kvp in data.Bars:
|
|
symbol = kvp.Key
|
|
value = kvp.Value
|
|
|
|
self.Log("OnData(Slice): {0}: {1}: {2}".format(self.Time, symbol, value.Close))
|
|
|
|
# the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting
|
|
for kvp in data.Delistings:
|
|
symbol = kvp.Key
|
|
value = kvp.Value
|
|
|
|
if value.Type == DelistingType.Warning:
|
|
self.Log("OnData(Delistings): {0}: {1} will be delisted at end of day today.".format(self.Time, symbol))
|
|
if value.Type == DelistingType.Delisted:
|
|
self.Log("OnData(Delistings): {0}: {1} has been delisted.".format(self.Time, symbol))
|
|
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Log("OnOrderEvent(OrderEvent): {0}: {1}".format(self.Time, orderEvent)) |