Noah Misch
2b1136e446
Report Generator Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Commit d24f665ee4 removed the
Engine/AlgorithmManager.cs support for OnData(TradeBars), making these
methods dead code. Hence, some of these algorithms no longer placed
orders. Fix by changing OnData(TradeBars) to OnData(Slice). Files that
use the TradeBars argument or use OnData(Dividends) have the same
trouble; leave them for future work.
81 lines
3.0 KiB
C#
81 lines
3.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Brokerages;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Algorithm demonstrating how to setup a custom brokerage message handler. Using the custom messaging
|
|
/// handler you can ensure your algorithm continues operation through connection failures.
|
|
/// </summary>
|
|
/// <meta name="tag" content="trading and orders" />
|
|
/// <meta name="tag" content="brokerage models" />
|
|
public class CustomBrokerageErrorHandlerAlgorithm : QCAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 1, 1);
|
|
SetEndDate(DateTime.Now.Date.AddDays(-1));
|
|
SetCash(25000);
|
|
AddSecurity(SecurityType.Equity, "SPY");
|
|
|
|
//Set the brokerage message handler:
|
|
SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (Portfolio.HoldStock) return;
|
|
Order("SPY", 100);
|
|
Debug("Purchased SPY on " + Time.ToShortDateString());
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handle the error messages in a custom manner
|
|
/// </summary>
|
|
public class CustomBrokerageMessageHandler : IBrokerageMessageHandler
|
|
{
|
|
private readonly IAlgorithm _algo;
|
|
public CustomBrokerageMessageHandler(IAlgorithm algo) { _algo = algo; }
|
|
|
|
/// <summary>
|
|
/// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
|
|
/// </summary>
|
|
/// <param name="message">Message object</param>
|
|
public void HandleMessage(BrokerageMessageEvent message)
|
|
{
|
|
var toLog = $"{_algo.Time.ToStringInvariant("o")} Event: {message.Message}";
|
|
_algo.Debug(toLog);
|
|
_algo.Log(toLog);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handles a new order placed manually in the brokerage side
|
|
/// </summary>
|
|
/// <param name="eventArgs">The new order event</param>
|
|
/// <returns>Whether the order should be added to the transaction handler</returns>
|
|
public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
|
|
{
|
|
return true;
|
|
}
|
|
}
|
|
}
|