AlexCatarino
70 lines
3.1 KiB
Python
70 lines
3.1 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.Orders import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Execution import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import *
|
|
from QuantConnect.Algorithm.Framework.Risk import *
|
|
from QuantConnect.Algorithm.Framework.Selection import *
|
|
from QuantConnect.Algorithm.Framework.Alphas import *
|
|
import numpy as np
|
|
|
|
### <summary>
|
|
### Basic template framework algorithm uses framework components to define the algorithm.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
|
|
'''Basic template framework algorithm uses framework components to define the algorithm.'''
|
|
|
|
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.'''
|
|
|
|
# Set requested data resolution
|
|
self.UniverseSettings.Resolution = Resolution.Minute
|
|
|
|
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
|
|
# Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
|
|
# Futures Resolution: Tick, Second, Minute
|
|
# Options Resolution: Minute Only.
|
|
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
|
|
|
|
# set algorithm framework models
|
|
self.PortfolioSelection = ManualPortfolioSelectionModel(symbols)
|
|
self.Alpha = ConstantAlphaModel(AlphaType.Price, AlphaDirection.Up, TimeSpan.FromMinutes(20), 0.025, None)
|
|
self.PortfolioConstruction = SimplePortfolioConstructionModel()
|
|
|
|
# these are the default values for Execution and RiskManagement models
|
|
#self.Execution = ImmediateExecutionModel()
|
|
#self.RiskManagement = NullRiskManagementModel()
|
|
|
|
self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
if orderEvent.Status == OrderStatus.Filled:
|
|
self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
|