Jhonathan Abreu
36404a6187
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Submit (and fill in case of market orders) in the same time step even if orders are asynchronous in backtesting since it's data driven instead of real time driven.
54 lines
2.5 KiB
Python
54 lines
2.5 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 datetime import timedelta
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from AlgorithmImports import *
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### <summary>
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### Demonstration on how to access order tickets right after placing an order.
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### </summary>
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class OrderTicketAssignmentDemoAlgorithm(QCAlgorithm):
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'''Demonstration on how to access order tickets right after placing an order.'''
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def initialize(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.set_cash(100000)
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self._symbol = self.add_equity("SPY").symbol
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self.trade_count = 0
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self.consolidate(self._symbol, timedelta(hours=1), self.hour_consolidator)
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def hour_consolidator(self, bar: TradeBar):
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# Reset self.ticket to None on each new bar
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self.ticket = None
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self.ticket = self.market_order(self._symbol, 1, asynchronous=True)
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self.debug(f"{self.time}: Buy: Price {bar.price}, order_id: {self.ticket.order_id}")
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self.trade_count += 1
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def on_order_event(self, order_event: OrderEvent):
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# We cannot access self.ticket directly because it is assigned asynchronously:
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# this order event could be triggered before self.ticket is assigned.
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ticket = order_event.ticket
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if ticket is None:
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raise AssertionError("Expected order ticket in order event to not be null")
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if order_event.status == OrderStatus.SUBMITTED and self.ticket is not None:
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raise AssertionError("Field self.ticket not expected no be assigned on the first order event")
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self.debug(ticket.to_string())
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def on_end_of_algorithm(self):
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# Just checking that orders were placed
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if not self.portfolio.invested or self.trade_count != self.transactions.orders_count:
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raise AssertionError(f"Expected the portfolio to have holdings and to have {self.trade_count} trades, but had {self.transactions.orders_count}")
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