Michael Handschuh
755dcb30ab
The risk management model is intended to check the algorithm's positions at the end of each time step to potentially exit positions that are losing too much.
72 lines
3.0 KiB
C#
72 lines
3.0 KiB
C#
/*
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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.Collections.Generic;
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using QuantConnect.Algorithm.Framework;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Algorithm.Framework.Signals;
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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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/// Basic template framework algorithm uses framework components to define the algorithm.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class BasicTemplateFrameworkAlgorithm : QCAlgorithmFramework
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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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// Set requested data resolution
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UniverseSettings.Resolution = Resolution.Minute;
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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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// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
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// Futures Resolution: Tick, Second, Minute
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// Options Resolution: Minute Only.
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var symbols = new List<Symbol>
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{
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QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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};
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// set algorithm framework models
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PortfolioSelection = new ManualPortfolioSelectionModel(symbols, UniverseSettings, SecurityInitializer);
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Signal = new ConstantSignalModel(SignalType.Price, Direction.Up);
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PortfolioConstruction = new SimplePortfolioConstructionModel();
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Execution = new ImmediateExecutionModel();
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RiskManagement = new NullRiskManagementModel();
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status.IsFill())
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{
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Debug($"Purchased Stock: {orderEvent.Symbol}");
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}
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}
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}
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} |