Stefano Raggi
2d19ab7ead
- removed IAlgorithm dependency from time in force handlers - renamed GoodTilCancelled to GoodTilCanceled - added GTC time in force in regression algorithms - inlined initialization of time in force handler dictionary
87 lines
3.5 KiB
C#
87 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm of time in force order settings.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class TimeInForceAlgorithm : QCAlgorithm
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{
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private Symbol _symbol;
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private OrderTicket _gtcOrderTicket;
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private OrderTicket _dayOrderTicket;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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// The default time in force setting for all orders is GoodTilCancelled (GTC),
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// uncomment this line to set a different time in force.
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// We currently only support GTC and DAY.
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// DefaultOrderProperties.TimeInForce = TimeInForce.Day;
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_symbol = AddEquity("SPY", Resolution.Minute).Symbol;
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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if (_gtcOrderTicket == null)
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{
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// This order has a default time in force of GoodTilCanceled,
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// it will never expire and will not be canceled automatically.
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DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled;
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_gtcOrderTicket = LimitOrder(_symbol, 10, 160m);
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}
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if (_dayOrderTicket == null)
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{
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// This order will expire at market close,
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// if not filled by then it will be canceled automatically.
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DefaultOrderProperties.TimeInForce = TimeInForce.Day;
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_dayOrderTicket = LimitOrder(_symbol, 10, 160m);
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}
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}
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/// <summary>
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/// Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
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/// </summary>
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/// <param name="orderEvent">Order event instance containing details of the event</param>
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/// <remarks>This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time} {orderEvent}");
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}
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}
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}
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