Jhonathan Abreu
f1076020af
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* Add fillForward parameters to every History method * Remove conflicting Python history method * Undo removing conflicting Python history method * Minor changes * Minor changes * Minor changes * Add fillForward and extendedMarket parameters to history request factory * Minor changes * Minor changes * Minor changes * Minor changes * Minor unit tests changes * Rename fillForward parameter in History API New name if fillDataForward as in the Add*Security API to standarize parameters naming * Rename fillForward parameter Using the shorter fillForward in every API
50 lines
2.3 KiB
Python
50 lines
2.3 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 AlgorithmImports import *
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### <summary>
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### Demonstration of the Market On Close order for US Equities.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />
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class MarketOnOpenOnCloseAlgorithm(QCAlgorithm):
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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(2013,10,7) #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.equity = self.AddEquity("SPY", Resolution.Second, fillForward = True, extendedMarketHours = True)
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self.__submittedMarketOnCloseToday = False
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self.__last = datetime.min
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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.Time.date() != self.__last.date(): # each morning submit a market on open order
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self.__submittedMarketOnCloseToday = False
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self.MarketOnOpenOrder("SPY", 100)
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self.__last = self.Time
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if not self.__submittedMarketOnCloseToday and self.equity.Exchange.ExchangeOpen: # once the exchange opens submit a market on close order
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self.__submittedMarketOnCloseToday = True
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self.MarketOnCloseOrder("SPY", -100)
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def OnOrderEvent(self, fill):
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order = self.Transactions.GetOrderById(fill.OrderId)
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self.Log("{0} - {1}:: {2}".format(self.Time, order.Type, fill))
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