Roman Yavnikov
cc8caa9635
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* feat: stopMarketFill in FutureFillModel + test * feat: futureStopMarket RegressionAlgo on PY|C# * feature: add validation of market time in utest * feature: validate exchange hours when order filled in regression algos * feat: validation of StopMarket Type fix: styling format in PY * fix: validation on ExtendedMarketHours in FutureFillMode feature: validate that all stop orders was completed in algos * fix: validation: asset.Subscription -> ConfigProvider.GetSubscriptionData fix:style: missed braces * fix: asset.IsInternalFeed() -> general includeInternalConfigs flag remove: extra login in algo * feat: write comment why we use includeInternalConfigs in true remove: extra log in PY version of algo
72 lines
3.3 KiB
Python
72 lines
3.3 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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from QuantConnect import Orders
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# <summary>
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# This example demonstrates how to create future 'stopMarketOrder' in extended Market Hours time
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# </summary>
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class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
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# Keep new created instance of stopMarketOrder
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stopMarketTicket = None
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SP500EMini = None
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# Initialize the Algorithm and Prepare Required Data
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def Initialize(self):
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self.SetStartDate(2013, 10, 6)
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self.SetEndDate(2013, 10, 12)
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# Add mini SP500 future with extended Market hours flag
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self.SP500EMini = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours=True)
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# Init new schedule event with params: everyDay, 19:00:00 PM, what should to do
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self.Schedule.On(self.DateRules.EveryDay(),self.TimeRules.At(19, 0),self.MakeMarketAndStopMarketOrder)
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# This method is opened 2 new orders by scheduler
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def MakeMarketAndStopMarketOrder(self):
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self.MarketOrder(self.SP500EMini.Mapped, 1)
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self.stopMarketTicket = self.StopMarketOrder(self.SP500EMini.Mapped, -1, self.SP500EMini.Price * 1.1)
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# New Data Event handler receiving all subscription data in a single event
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def OnData(self, slice):
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if (self.stopMarketTicket == None or self.stopMarketTicket.Status != OrderStatus.Submitted):
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return None
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self.stopPrice = self.stopMarketTicket.Get(OrderField.StopPrice)
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self.bar = self.Securities[self.stopMarketTicket.Symbol].Cache.GetData()
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# An order fill update the resulting information is passed to this method.
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def OnOrderEvent(self, orderEvent):
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if orderEvent is None:
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return None
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if self.Transactions.GetOrderById(orderEvent.OrderId).Type is not OrderType.StopMarket:
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return None
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if orderEvent.Status == OrderStatus.Filled:
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# Get Exchange Hours for specific security
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exchangeHours = self.MarketHoursDatabase.GetExchangeHours(self.SP500EMini.SubscriptionDataConfig)
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# Validate, Exchange is opened explicitly
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if (not exchangeHours.IsOpen(orderEvent.UtcTime, self.SP500EMini.IsExtendedMarketHours)):
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raise Exception("The Exchange hours was closed, verify 'extendedMarketHours' flag in Initialize() when added new security(ies)")
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def OnEndOfAlgorithm(self):
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self.stopMarketOrders = self.Transactions.GetOrders(lambda o: o.Type is OrderType.StopMarket)
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for o in self.stopMarketOrders:
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if o.Status != OrderStatus.Filled:
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raise Exception("The Algorithms was not handled any StopMarketOrders")
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