Alexandre Catarino
58f0caf647
Some python algorithms suffered corrections to run under the new python framework (pythonnet). Others were deleted because some features will be supported in futures implementations. Adds a method in AlgorithmPythonUtil to transform C# DateTime into Python datetime
125 lines
6.1 KiB
Python
125 lines
6.1 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 math import copysign
|
|
from datetime import datetime
|
|
|
|
import clr
|
|
clr.AddReference("System.Core")
|
|
clr.AddReference("System.Collections")
|
|
clr.AddReference("QuantConnect.Algorithm")
|
|
clr.AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from System.Linq import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Orders import *
|
|
from QuantConnect.Securities import *
|
|
from QuantConnect.Util import *
|
|
from AlgorithmPythonUtil import to_python_datetime
|
|
import decimal as d
|
|
|
|
class UpdateOrderRegressionAlgorithm(QCAlgorithm):
|
|
'''Basic template algorithm simply initializes the date range and cash'''
|
|
|
|
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.'''
|
|
|
|
self.SetStartDate(2013,01,01) #Set Start Date
|
|
self.SetEndDate(2015,01,01) #Set End Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
# Find more symbols here: http://quantconnect.com/data
|
|
|
|
self.__Security = self.AddEquity("SPY", Resolution.Daily)
|
|
self.__Symbol = self.__Security.Symbol;
|
|
|
|
self.__LastMonth = -1
|
|
self.__Quantity = 100
|
|
self.__DeltaQuantity = 10
|
|
|
|
self.__StopPercentage = 0.025
|
|
self.__StopPercentageDelta = 0.005
|
|
self.__LimitPercentage = 0.025
|
|
self.__LimitPercentageDelta = 0.005
|
|
|
|
OrderTypeEnum = [OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.MarketOnOpen, OrderType.MarketOnClose]
|
|
self.__orderTypesQueue = CircularQueue[OrderType](OrderTypeEnum)
|
|
self.__orderTypesQueue.CircleCompleted += self.onCircleCompleted
|
|
self.__tickets = []
|
|
|
|
|
|
def onCircleCompleted(self, sender, event):
|
|
'''Flip our signs when we've gone through all the order types'''
|
|
self.__Quantity *= -1
|
|
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
|
|
if not data.ContainsKey(self.__Symbol):
|
|
return
|
|
|
|
pyTime = to_python_datetime(self.Time)
|
|
|
|
if pyTime.month != self.__LastMonth:
|
|
# we'll submit the next type of order from the queue
|
|
orderType = self.__orderTypesQueue.Dequeue();
|
|
#Log("");
|
|
self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(pyTime.strftime("%B"), orderType))
|
|
#Log("")
|
|
self.__LastMonth = pyTime.month
|
|
self.Log("ORDER TYPE:: {0}".format(orderType))
|
|
isLong = self.__Quantity > 0
|
|
stopPrice = d.Decimal(1 + self.__StopPercentage)*data[self.__Symbol].High if isLong else d.Decimal(1 - self.__StopPercentage)*data[self.__Symbol].Low
|
|
limitPrice = d.Decimal(1 - self.__LimitPercentage)*stopPrice if isLong else d.Decimal(1 + self.__LimitPercentage)*stopPrice
|
|
|
|
if orderType == OrderType.Limit:
|
|
limitPrice = d.Decimal(1 + self.__LimitPercentage)*data[self.__Symbol].High if not isLong else d.Decimal(1 - self.__LimitPercentage)*data[self.__Symbol].Low
|
|
|
|
request = SubmitOrderRequest(orderType, self.__Symbol.SecurityType, self.__Symbol, self.__Quantity, stopPrice, limitPrice, self.Time, str(orderType))
|
|
ticket = self.Transactions.AddOrder(request)
|
|
self.__tickets.append(ticket)
|
|
|
|
elif len(self.__tickets) > 0:
|
|
ticket = self.__tickets[-1]
|
|
|
|
if pyTime.day > 8 and pyTime.day < 14:
|
|
if ticket.UpdateRequests.Count == 0 and ticket.Status is not OrderStatus.Filled:
|
|
self.Log("TICKET:: {0}".format(ticket))
|
|
updateOrderFields = UpdateOrderFields()
|
|
updateOrderFields.Quantity = Nullable[int](ticket.Quantity + copysign(self.__DeltaQuantity, self.__Quantity))
|
|
updateOrderFields.Tag = "Change quantity: {0}".format(pyTime)
|
|
ticket.Update(updateOrderFields)
|
|
|
|
elif pyTime.day > 13 and pyTime.day < 20:
|
|
if ticket.UpdateRequests.Count == 1 and ticket.Status is not OrderStatus.Filled:
|
|
self.Log("TICKET:: {0}".format(ticket))
|
|
updateOrderFields = UpdateOrderFields()
|
|
updateOrderFields.LimitPrice = Nullable[Decimal](self.__Security.Price*d.Decimal(1 - copysign(self.__LimitPercentageDelta, ticket.Quantity)))
|
|
updateOrderFields.StopPrice = Nullable[Decimal](self.__Security.Price*d.Decimal(1 + copysign(self.__StopPercentageDelta, ticket.Quantity)))
|
|
updateOrderFields.Tag = "Change prices: {0}".format(pyTime)
|
|
ticket.Update(updateOrderFields)
|
|
else:
|
|
if ticket.UpdateRequests.Count == 2 and ticket.Status is not OrderStatus.Filled:
|
|
self.Log("TICKET:: {0}".format(ticket))
|
|
ticket.Cancel("{0} and is still open!".format(pyTime))
|
|
self.Log("CANCELLED:: {0}".format(ticket.CancelRequest))
|
|
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
if orderEvent.Status == OrderStatus.Filled:
|
|
self.Log("FILLED:: {0} FILL PRICE:: {1}".format(self.Transactions.GetOrderById(orderEvent.OrderId), orderEvent.FillPrice))
|
|
else:
|
|
self.Log(orderEvent.ToString())
|
|
self.Log("TICKET:: {0}".format(self.__tickets[-1])) |