AlexCatarino
70 lines
2.8 KiB
Python
70 lines
2.8 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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import clr
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clr.AddReference("System")
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clr.AddReference("QuantConnect.Algorithm")
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clr.AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Brokerages import *
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class CustomBrokerageErrorHandlerAlgorithm(QCAlgorithm):
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'''QCU How do I handle brokerage messages in a custom way?
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Often you may want more stability and fault tolerance so you may want to control
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what happens with brokerage messages. Using the custom messaging handler you
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can ensure your algorithm continues operation through connection failures.'''
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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(2013,10,07) #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.AddSecurity(SecurityType.Equity, "SPY")
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#Set the brokerage message handler:
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self.SetBrokerageMessageHandler(CustomBrokerageMessageHandler(self))
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if self.Portfolio.HoldStock:
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return
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self.Order("SPY", 100)
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self.Debug("Purchased SPY on {0}".format(self.Time.ToShortDateString()))
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class CustomBrokerageMessageHandler(IBrokerageMessageHandler):
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'''Handle the error messages in a custom manner'''
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def __init__(self, algo):
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self._algo = algo
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def Handle(self, message):
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'''Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
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Arguments:
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message: Message object
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'''
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toLog = "{0} Event: {1}".format(self._algo.Time.ToString("o"), message.Message)
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self._algo.Debug(toLog)
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self._algo.Log(toLog) |