snugs
704bfc2298
QCAlgorithm order functions now return an OrderTicket OrderTicket can be used to directly update or cancel an order Placing an order now submits an OrderRequest which is processed by the ITransactionHandler
65 lines
2.3 KiB
C#
65 lines
2.3 KiB
C#
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/*
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* 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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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Provides a regression baseline
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/// </summary>
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public class UpdateOrderRegressionAlgorithm : QCAlgorithm
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{
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/// <summary>
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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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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07); //Set Start Date
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SetEndDate(2013, 10, 11); //Set End Date
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SetCash(100000); //Set Strategy Cash
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// Find more symbols here: http://quantconnect.com/data
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
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}
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private OrderTicket ticket;
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/// <summary>
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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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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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if (Time.TimeOfDay.TotalHours == 10)
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{
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ticket = LimitOrder("SPY", 10, .98m * data.Bars["SPY"].Low);
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}
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if (Time.TimeOfDay.TotalHours == 11)
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{
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ticket.Update(new UpdateOrderFields {LimitPrice = data.Bars["SPY"].Low});
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Console.WriteLine(Time + " - " + orderEvent);
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Console.WriteLine();
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}
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}
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} |