Jhonathan Abreu
60aba9efa4
* Make order ticket available from order event * Add regression algorithms * Address peer review * Address peer review
54 lines
2.5 KiB
Python
54 lines
2.5 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 datetime import timedelta
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Demonstration on how to access order tickets right after placing an order.
|
|
### </summary>
|
|
class OrderTicketAssignmentDemoAlgorithm(QCAlgorithm):
|
|
'''Demonstration on how to access order tickets right after placing an order.'''
|
|
def Initialize(self):
|
|
self.SetStartDate(2013, 10, 7)
|
|
self.SetEndDate(2013, 10, 11)
|
|
self.SetCash(100000)
|
|
|
|
self.symbol = self.AddEquity("SPY").Symbol
|
|
|
|
self.trade_count = 0
|
|
self.Consolidate(self.symbol, timedelta(hours=1), self.HourConsolidator)
|
|
|
|
def HourConsolidator(self, bar: TradeBar):
|
|
# Reset self.ticket to None on each new bar
|
|
self.ticket = None
|
|
self.ticket = self.MarketOrder(self.symbol, 1, asynchronous=True)
|
|
self.Debug(f"{self.Time}: Buy: Price {bar.Price}, orderId: {self.ticket.OrderId}")
|
|
self.trade_count += 1
|
|
|
|
def OnOrderEvent(self, orderEvent: OrderEvent):
|
|
# We cannot access self.ticket directly because it is assigned asynchronously:
|
|
# this order event could be triggered before self.ticket is assigned.
|
|
ticket = orderEvent.Ticket
|
|
if ticket is None:
|
|
raise Exception("Expected order ticket in order event to not be null")
|
|
if orderEvent.Status == OrderStatus.Submitted and self.ticket is not None:
|
|
raise Exception("Field self.ticket not expected no be assigned on the first order event")
|
|
|
|
self.Debug(ticket.ToString())
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
# Just checking that orders were placed
|
|
if not self.Portfolio.Invested or self.trade_count != self.Transactions.OrdersCount:
|
|
raise Exception(f"Expected the portfolio to have holdings and to have {self.tradeCount} trades, but had {self.Transactions.OrdersCount}")
|