Stefano Raggi
71 lines
2.9 KiB
Python
71 lines
2.9 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.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Orders import *
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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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class TimeInForceAlgorithm(QCAlgorithm):
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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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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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self.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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# self.DefaultOrderProperties.TimeInForce = TimeInForce.Day;
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self.symbol = self.AddEquity("SPY", Resolution.Second).Symbol
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self.gtcOrderTicket = None
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self.dayOrderTicket = None
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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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# Arguments:
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# data: Slice object keyed by symbol containing the stock data
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def OnData(self, data):
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if self.gtcOrderTicket is None:
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# This order has a default time in force of GoodTilCancelled,
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# it will never expire and will not be cancelled automatically.
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self.gtcOrderTicket = self.LimitOrder(self.symbol, 10, 160)
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if self.dayOrderTicket is None:
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# This order will expire at market close,
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# if not filled by then it will be cancelled automatically.
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self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
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self.dayOrderTicket = self.LimitOrder(self.symbol, 10, 160)
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# Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
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# This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
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def OnOrderEvent(self, orderEvent):
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self.Debug(f"{self.Time} {orderEvent}")
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