Jhonathan Abreu
78 lines
3.6 KiB
Python
78 lines
3.6 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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### Basic algorithm demonstrating how to place stop limit orders.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />
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### <meta name="tag" content="stop limit order"/>
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class StopLimitOrderRegressionAlgorithm(QCAlgorithm):
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'''Basic algorithm demonstrating how to place stop limit orders.'''
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Tolerance = 0.001
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FastPeriod = 30
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SlowPeriod = 60
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def Initialize(self):
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self.SetStartDate(2013, 1, 1)
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self.SetEndDate(2017, 1, 1)
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self.SetCash(100000)
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self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
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self._fast = self.EMA(self._symbol, self.FastPeriod, Resolution.Daily)
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self._slow = self.EMA(self._symbol, self.SlowPeriod, Resolution.Daily)
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self._buyOrderTicket: OrderTicket = None
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self._sellOrderTicket: OrderTicket = None
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self._previousSlice: Slice = None
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def OnData(self, slice: Slice):
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if not self.IsReady():
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return
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security = self.Securities[self._symbol]
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if self._buyOrderTicket is None and self.TrendIsUp():
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self._buyOrderTicket = self.StopLimitOrder(self._symbol, 100, stopPrice=security.High * 1.10, limitPrice=security.High * 1.11)
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elif self._buyOrderTicket.Status == OrderStatus.Filled and self._sellOrderTicket is None and self.TrendIsDown():
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self._sellOrderTicket = self.StopLimitOrder(self._symbol, -100, stopPrice=security.Low * 0.99, limitPrice=security.Low * 0.98)
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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order: StopLimitOrder = self.Transactions.GetOrderById(orderEvent.OrderId)
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if not order.StopTriggered:
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raise Exception("StopLimitOrder StopTriggered should haven been set if the order filled.")
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if orderEvent.Direction == OrderDirection.Buy:
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limitPrice = self._buyOrderTicket.Get(OrderField.LimitPrice)
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if orderEvent.FillPrice > limitPrice:
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raise Exception(f"Buy stop limit order should have filled with price less than or equal to the limit price {limitPrice}. "
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f"Fill price: {orderEvent.FillPrice}")
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else:
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limitPrice = self._sellOrderTicket.Get(OrderField.LimitPrice)
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if orderEvent.FillPrice < limitPrice:
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raise Exception(f"Sell stop limit order should have filled with price greater than or equal to the limit price {limitPrice}. "
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f"Fill price: {orderEvent.FillPrice}")
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def IsReady(self):
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return self._fast.IsReady and self._slow.IsReady
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def TrendIsUp(self):
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return self.IsReady() and self._fast.Current.Value > self._slow.Current.Value * (1 + self.Tolerance)
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def TrendIsDown(self):
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return self.IsReady() and self._fast.Current.Value < self._slow.Current.Value * (1 + self.Tolerance)
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