Ricardo Andrés Marino Rojas
97959d560a
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* First draft of the solution * First draft of the tests * Nit changes * Nit change * Add improvements * Improve unit tests * Regression algos * Nit change * Nit changes * Improve unit tests * Improve unit test * Nit change * Address reviews
40 lines
1.9 KiB
Python
40 lines
1.9 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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### <summary>
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### Regression algorithm to test we can liquidate our portfolio holdings using order properties
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### </summary>
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class CanLiquidateWithOrderPropertiesRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2014, 6, 5)
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self.set_end_date(2014, 6, 6)
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self.set_cash(100000)
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self.open_exchange = datetime(2014, 6, 6, 10, 0, 0)
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self.close_exchange = datetime(2014, 6, 6, 16, 0, 0)
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self.add_equity("AAPL", resolution = Resolution.MINUTE)
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def on_data(self, slice):
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if self.time > self.open_exchange and self.time < self.close_exchange:
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if not self.portfolio.invested:
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self.market_order("AAPL", 10)
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else:
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order_properties = OrderProperties()
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order_properties.time_in_force = TimeInForce.DAY
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tickets = self.liquidate(asynchronous = True, order_properties = order_properties)
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for ticket in tickets:
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if ticket.SubmitRequest.OrderProperties.TimeInForce != TimeInForce.DAY:
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raise Exception(f"The TimeInForce for all orders should be daily, but it was {ticket.SubmitRequest.OrderProperties.TimeInForce}")
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