Marco Grassi
e823dfdfb7
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
66 lines
2.7 KiB
Python
66 lines
2.7 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Basic template framework algorithm uses framework components to define the algorithm.
|
|
### Shows EqualWeightingPortfolioConstructionModel.LongOnly() application
|
|
### </summary>
|
|
### <meta name="tag" content="alpha streams" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="algorithm framework" />
|
|
class LongOnlyAlphaStreamAlgorithm(QCAlgorithm):
|
|
'''Basic template framework algorithm uses framework components to define the algorithm.
|
|
Shows EqualWeightingPortfolioConstructionModel.LongOnly() application'''
|
|
|
|
def Initialize(self):
|
|
|
|
# 1. Required:
|
|
self.SetStartDate(2013, 10, 7)
|
|
self.SetEndDate(2013, 10, 11)
|
|
|
|
# 2. Required: Alpha Streams Models:
|
|
self.SetBrokerageModel(BrokerageName.AlphaStreams)
|
|
|
|
# 3. Required: Significant AUM Capacity
|
|
self.SetCash(1000000)
|
|
|
|
# Only SPY will be traded
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Resolution.Daily, PortfolioBias.Long))
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
|
|
# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
|
|
# Commented so regression algorithm is more sensitive
|
|
#self.Settings.MinimumOrderMarginPortfolioPercentage = 0.005
|
|
|
|
# Set algorithm framework models
|
|
self.SetUniverseSelection(ManualUniverseSelectionModel(
|
|
[Symbol.Create(x, SecurityType.Equity, Market.USA) for x in ["SPY", "IBM"]]))
|
|
|
|
def OnData(self, slice):
|
|
|
|
if self.Portfolio.Invested: return
|
|
|
|
self.EmitInsights(
|
|
[
|
|
Insight.Price("SPY", timedelta(1), InsightDirection.Up),
|
|
Insight.Price("IBM", timedelta(1), InsightDirection.Down)
|
|
])
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
if orderEvent.Status == OrderStatus.Filled:
|
|
if self.Securities[orderEvent.Symbol].Holdings.IsShort:
|
|
raise ValueError("Invalid position, should not be short")
|
|
self.Debug(orderEvent)
|