Alexandre Catarino
3aabb11315
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* Allows Market-On-Close Orders Outside Buffer Period Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data. * Adds Regression Test with Extended Market Hours - Removes `nextMarketClose > Time` condition since it's unnecessary. If the algorithm Time is greater than the close of that day, `nextMarektClose` refers to the next day. * Updates Unit Test Updates `OrderQuantityConversionTest` because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request. * Updates Summary of new Regression Tests
66 lines
3.1 KiB
Python
66 lines
3.1 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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class MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
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'''This regression test is a version of "MarketOnCloseOrderBufferRegressionAlgorithm"
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where we test market-on-close modeling with data from the post market.'''
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validOrderTicket = None
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invalidOrderTicket = None
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validOrderTicketExtendedMarketHours = None
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def Initialize(self):
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,8) #Set End Date
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self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True)
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def mocAtMidNight():
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self.validOrderTicketAtMidnight = self.MarketOnCloseOrder("SPY", 2)
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.Midnight, mocAtMidNight)
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# Modify our submission buffer time to 10 minutes
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MarketOnCloseOrder.SubmissionTimeBuffer = timedelta(minutes=10)
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def OnData(self, data):
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# Test our ability to submit MarketOnCloseOrders
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# Because we set our buffer to 10 minutes, any order placed
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# before 3:50PM should be accepted, any after marked invalid
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# Will not throw an order error and execute
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if self.Time.hour == 15 and self.Time.minute == 49 and not self.validOrderTicket:
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self.validOrderTicket = self.MarketOnCloseOrder("SPY", 2)
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# Will throw an order error and be marked invalid
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if self.Time.hour == 15 and self.Time.minute == 51 and not self.invalidOrderTicket:
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self.invalidOrderTicket = self.MarketOnCloseOrder("SPY", 2)
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# Will not throw an order error and execute
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if self.Time.hour == 16 and self.Time.minute == 48 and not self.validOrderTicketExtendedMarketHours:
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self.validOrderTicketExtendedMarketHours = self.MarketOnCloseOrder("SPY", 2)
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def OnEndOfAlgorithm(self):
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# Set it back to default for other regressions
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MarketOnCloseOrder.SubmissionTimeBuffer = MarketOnCloseOrder.DefaultSubmissionTimeBuffer
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if self.validOrderTicket.Status != OrderStatus.Filled:
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raise Exception("Valid order failed to fill")
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if self.invalidOrderTicket.Status != OrderStatus.Invalid:
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raise Exception("Invalid order was not rejected")
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if self.validOrderTicketExtendedMarketHours.Status != OrderStatus.Filled:
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raise Exception("Valid order during extended market hours failed to fill")
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