Noah Misch
2b1136e446
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Commit d24f665ee4 removed the
Engine/AlgorithmManager.cs support for OnData(TradeBars), making these
methods dead code. Hence, some of these algorithms no longer placed
orders. Fix by changing OnData(TradeBars) to OnData(Slice). Files that
use the TradeBars argument or use OnData(Dividends) have the same
trouble; leave them for future work.
76 lines
3.0 KiB
C#
76 lines
3.0 KiB
C#
/*
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* 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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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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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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public class MarketOnOpenOnCloseAlgorithm : QCAlgorithm
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{
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private bool _submittedMarketOnCloseToday;
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private Security _security;
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/// <summary>
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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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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Second, fillForward: true, extendedMarketHours: true);
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_security = Securities["SPY"];
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}
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private DateTime last = DateTime.MinValue;
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/// <summary>
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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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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (Time.Date != last.Date) // each morning submit a market on open order
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{
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_submittedMarketOnCloseToday = false;
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MarketOnOpenOrder("SPY", 100);
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last = Time;
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}
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if (!_submittedMarketOnCloseToday && _security.Exchange.ExchangeOpen) // once the exchange opens submit a market on close order
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{
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_submittedMarketOnCloseToday = true;
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MarketOnCloseOrder("SPY", -100);
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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var order = Transactions.GetOrderById(orderEvent.OrderId);
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Console.WriteLine(Time + " - " + order.Type + " - " + orderEvent.Status + ":: " + orderEvent);
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}
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}
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}
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