AlexCatarino
67 lines
2.7 KiB
Python
67 lines
2.7 KiB
Python
# 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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import OrderStatus
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from QuantConnect.Algorithm import QCAlgorithm
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class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):
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'''Basic template algorithm simply initializes the date range and cash'''
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def Initialize(self):
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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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self.SetStartDate(2013,10,07) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.AddEquity("SPY")
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self._lastAction = None
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def OnData(self, data):
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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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if self._lastAction is not None and self._lastAction.date() == self.Time.date():
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return
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", .5)
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self._lastAction = self.Time
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if self.Time.weekday() == 1:
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self.AddEquity("AIG")
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self.AddEquity("BAC")
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self._lastAction = self.Time
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if self.Time.weekday() == 2:
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self.SetHoldings("AIG", .25)
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self.SetHoldings("BAC", .25)
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self._lastAction = self.Time
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if self.Time.weekday() == 3:
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self.RemoveSecurity("AIG")
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self.RemoveSecurity("BAC")
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self._lastAction = self.Time
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Submitted:
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self.Debug("{0}: Submitted: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId)))
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if orderEvent.Status == OrderStatus.Filled:
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self.Debug("{0}: Filled: {1}".format(self.Time, self.Transactions.GetOrderById(orderEvent.OrderId))) |