Alexandre Catarino
9b7af08b3e
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Fixes Market On Open Fill of Equity Fill Model Only use trade data (Tick with Trade type or TradeBar) to get the open price, since MOO is filled with the opening action price. Ensure that this method doesn't use trade data from before the market opens for high-resolution data case. Fix unit tests to show that the new implementation only fills with trade data from the current open market. Change regression tests to reflect the bug fix. In the `ExtendedMarketHoursHistoryRegressionAlgorithm`, MOO was filled with extended market hours. * Fix Bug for Tick Resolution Case For tick susbcription, the tick with the open price information is the the first valid (non-zero) tick of trade type from an open market. Addresses peer-review by moving the if-condition for data belonging to the open market where the subscriscribed types are checked. * Fix Bug for Low Resolution Edge Case For the edge case where the order is placed after the trade bar is open, for example, order places at 1 pm with daily-resolution data. The fill model will not use the open of the bar that will close at midnight, since this value is prior to the order. Adds unit test. Change regression tests to reflect the bug fix. In the `RegressionAlgorithm`, MOO was filled with open prior to the order. The algorithm now has one order less, since the last MOO would need to wait another day to be filled. * Implements SaleCondition and Exchange Check For Tick - Adds additional unit tests for MOO * Fixes Regression Test in DataConsolidatorPythonWrapperTests * Addresses Peer-Review - Adds new unit test cases.
536 lines
23 KiB
C#
536 lines
23 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 System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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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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/// In this algorithm we submit/update/cancel each order type
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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="managing orders" />
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/// <meta name="tag" content="order tickets" />
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/// <meta name="tag" content="updating orders" />
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public class OrderTicketDemoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private const string symbol = "SPY";
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private readonly List<OrderTicket> _openMarketOnOpenOrders = new List<OrderTicket>();
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private readonly List<OrderTicket> _openMarketOnCloseOrders = new List<OrderTicket>();
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private readonly List<OrderTicket> _openLimitOrders = new List<OrderTicket>();
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private readonly List<OrderTicket> _openStopMarketOrders = new List<OrderTicket>();
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private readonly List<OrderTicket> _openStopLimitOrders = new List<OrderTicket>();
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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, 7); //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, symbol, Resolution.Minute);
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}
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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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// MARKET ORDERS
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MarketOrders();
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// LIMIT ORDERS
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LimitOrders();
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// STOP MARKET ORDERS
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StopMarketOrders();
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// STOP LIMIT ORDERS
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StopLimitOrders();
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// MARKET ON OPEN ORDERS
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MarketOnOpenOrders();
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// MARKET ON CLOSE ORDERS
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MarketOnCloseOrders();
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}
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/// <summary>
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/// MarketOrders are the only orders that are processed synchronously by default, so
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/// they'll fill by the next line of code. This behavior equally applies to live mode.
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/// You can opt out of this behavior by specifying the 'asynchronous' parameter as true.
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/// </summary>
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private void MarketOrders()
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{
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if (TimeIs(7, 9, 31))
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{
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Log("Submitting MarketOrder");
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// submit a market order to buy 10 shares, this function returns an OrderTicket object
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// we submit the order with asynchronous:false, so it block until it is filled
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var newTicket = MarketOrder(symbol, 10, asynchronous: false);
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if (newTicket.Status != OrderStatus.Filled)
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{
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Log("Synchronous market order was not filled synchronously!");
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Quit();
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}
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// we can also submit the ticket asynchronously. In a backtest, we'll still perform
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// the fill before the next time events for your algorithm. here we'll submit the order
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// asynchronously and try to cancel it, sometimes it will, sometimes it will be filled
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// first.
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newTicket = MarketOrder(symbol, 10, asynchronous: true);
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var response = newTicket.Cancel("Attempt to cancel async order");
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if (response.IsSuccess)
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{
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Log("Successfully canceled async market order: " + newTicket.OrderId);
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}
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else
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{
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Log("Unable to cancel async market order: " + response.ErrorCode);
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}
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}
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}
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/// <summary>
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/// LimitOrders are always processed asynchronously. Limit orders are used to
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/// set 'good' entry points for an order. For example, you may wish to go
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/// long a stock, but want a good price, so can place a LimitOrder to buy with
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/// a limit price below the current market price. Likewise the opposite is true
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/// when selling, you can place a LimitOrder to sell with a limit price above the
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/// current market price to get a better sale price.
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/// You can submit requests to update or cancel the LimitOrder at any time.
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/// The 'LimitPrice' for an order can be retrieved from the ticket using the
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/// OrderTicket.Get(OrderField) method, for example:
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/// <code>
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/// var currentLimitPrice = orderTicket.Get(OrderField.LimitPrice);
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/// </code>
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/// </summary>
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private void LimitOrders()
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{
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if (TimeIs(7, 12, 0))
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{
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Log("Submitting LimitOrder");
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// submit a limit order to buy 10 shares at .1% below the bar's close
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var close = Securities[symbol].Close;
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var newTicket = LimitOrder(symbol, 10, close * .999m);
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_openLimitOrders.Add(newTicket);
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// submit another limit order to sell 10 shares at .1% above the bar's close
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newTicket = LimitOrder(symbol, -10, close * 1.001m);
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_openLimitOrders.Add(newTicket);
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}
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// when we submitted new limit orders we placed them into this list,
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// so while there's two entries they're still open and need processing
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if (_openLimitOrders.Count == 2)
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{
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var openOrders = _openLimitOrders;
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// check if either is filled and cancel the other
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var longOrder = openOrders[0];
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var shortOrder = openOrders[1];
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if (CheckPairOrdersForFills(longOrder, shortOrder))
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{
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_openLimitOrders.Clear();
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return;
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}
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// if niether order has filled, bring in the limits by a penny
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var newLongLimit = longOrder.Get(OrderField.LimitPrice) + 0.01m;
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var newShortLimit = shortOrder.Get(OrderField.LimitPrice) - 0.01m;
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Log($"Updating limits - Long: {newLongLimit.ToStringInvariant("0.00")} Short: {newShortLimit.ToStringInvariant("0.00")}");
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longOrder.Update(new UpdateOrderFields
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{
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// we could change the quantity, but need to specify it
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//Quantity =
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LimitPrice = newLongLimit,
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Tag = "Update #" + (longOrder.UpdateRequests.Count + 1)
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});
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shortOrder.Update(new UpdateOrderFields
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{
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LimitPrice = newShortLimit,
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Tag = "Update #" + (shortOrder.UpdateRequests.Count + 1)
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});
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}
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}
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/// <summary>
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/// StopMarketOrders work in the opposite way that limit orders do.
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/// When placing a long trade, the stop price must be above current
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/// market price. In this way it's a 'stop loss' for a short trade.
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/// When placing a short trade, the stop price must be below current
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/// market price. In this way it's a 'stop loss' for a long trade.
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/// You can submit requests to update or cancel the StopMarketOrder at any time.
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/// The 'StopPrice' for an order can be retrieved from the ticket using the
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/// OrderTicket.Get(OrderField) method, for example:
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/// <code>
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/// var currentStopPrice = orderTicket.Get(OrderField.StopPrice);
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/// </code>
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/// </summary>
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private void StopMarketOrders()
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{
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if (TimeIs(7, 12 + 4, 0))
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{
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Log("Submitting StopMarketOrder");
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// a long stop is triggered when the price rises above the value
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// so we'll set a long stop .25% above the current bar's close
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var close = Securities[symbol].Close;
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var stopPrice = close * 1.0025m;
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var newTicket = StopMarketOrder(symbol, 10, stopPrice);
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_openStopMarketOrders.Add(newTicket);
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// a short stop is triggered when the price falls below the value
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// so we'll set a short stop .25% below the current bar's close
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stopPrice = close * .9975m;
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newTicket = StopMarketOrder(symbol, -10, stopPrice);
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_openStopMarketOrders.Add(newTicket);
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}
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// when we submitted new stop market orders we placed them into this list,
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// so while there's two entries they're still open and need processing
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if (_openStopMarketOrders.Count == 2)
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{
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// check if either is filled and cancel the other
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var longOrder = _openStopMarketOrders[0];
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var shortOrder = _openStopMarketOrders[1];
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if (CheckPairOrdersForFills(longOrder, shortOrder))
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{
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_openStopMarketOrders.Clear();
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return;
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}
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// if niether order has filled, bring in the stops by a penny
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var newLongStop = longOrder.Get(OrderField.StopPrice) - 0.01m;
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var newShortStop = shortOrder.Get(OrderField.StopPrice) + 0.01m;
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Log($"Updating stops - Long: {newLongStop.ToStringInvariant("0.00")} Short: {newShortStop.ToStringInvariant("0.00")}");
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longOrder.Update(new UpdateOrderFields
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{
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// we could change the quantity, but need to specify it
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//Quantity =
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StopPrice = newLongStop,
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Tag = "Update #" + (longOrder.UpdateRequests.Count + 1)
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});
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shortOrder.Update(new UpdateOrderFields
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{
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StopPrice = newShortStop,
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Tag = "Update #" + (shortOrder.UpdateRequests.Count + 1)
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});
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}
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}
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/// <summary>
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/// StopLimitOrders work as a combined stop and limit order. First, the
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/// price must pass the stop price in the same way a StopMarketOrder works,
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/// but then we're also gauranteed a fill price at least as good as the
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/// limit price. This order type can be beneficial in gap down scenarios
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/// where a StopMarketOrder would have triggered and given the not as beneficial
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/// gapped down price, whereas the StopLimitOrder could protect you from
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/// getting the gapped down price through prudent placement of the limit price.
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/// You can submit requests to update or cancel the StopLimitOrder at any time.
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/// The 'StopPrice' or 'LimitPrice' for an order can be retrieved from the ticket
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/// using the OrderTicket.Get(OrderField) method, for example:
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/// <code>
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/// var currentStopPrice = orderTicket.Get(OrderField.StopPrice);
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/// var currentLimitPrice = orderTicket.Get(OrderField.LimitPrice);
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/// </code>
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/// </summary>
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private void StopLimitOrders()
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{
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if (TimeIs(8, 12, 1))
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{
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Log("Submitting StopLimitOrder");
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// a long stop is triggered when the price rises above the value
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// so we'll set a long stop .25% above the current bar's close
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// now we'll also be setting a limit, this means we are gauranteed
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// to get at least the limit price for our fills, so make the limit
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// price a little softer than the stop price
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var close = Securities[symbol].Close;
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var stopPrice = close * 1.001m;
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var limitPrice = close - 0.03m;
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var newTicket = StopLimitOrder(symbol, 10, stopPrice, limitPrice);
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_openStopLimitOrders.Add(newTicket);
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// a short stop is triggered when the price falls below the value
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// so we'll set a short stop .25% below the current bar's close
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// now we'll also be setting a limit, this means we are gauranteed
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// to get at least the limit price for our fills, so make the limit
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// price a little softer than the stop price
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stopPrice = close * .999m;
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limitPrice = close + 0.03m;
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newTicket = StopLimitOrder(symbol, -10, stopPrice, limitPrice);
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_openStopLimitOrders.Add(newTicket);
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}
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// when we submitted new stop limit orders we placed them into this list,
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// so while there's two entries they're still open and need processing
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if (_openStopLimitOrders.Count == 2)
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{
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// check if either is filled and cancel the other
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var longOrder = _openStopLimitOrders[0];
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var shortOrder = _openStopLimitOrders[1];
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if (CheckPairOrdersForFills(longOrder, shortOrder))
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{
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_openStopLimitOrders.Clear();
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return;
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}
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// if niether order has filled, bring in the stops/limits in by a penny
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var newLongStop = longOrder.Get(OrderField.StopPrice) - 0.01m;
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var newLongLimit = longOrder.Get(OrderField.LimitPrice) + 0.01m;
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var newShortStop = shortOrder.Get(OrderField.StopPrice) + 0.01m;
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var newShortLimit = shortOrder.Get(OrderField.LimitPrice) - 0.01m;
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Log($"Updating stops - Long: {newLongStop.ToStringInvariant("0.00")} Short: {newShortStop.ToStringInvariant("0.00")}");
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Log($"Updating limits - Long: {newLongLimit.ToStringInvariant("0.00")} Short: {newShortLimit.ToStringInvariant("0.00")}");
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longOrder.Update(new UpdateOrderFields
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{
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// we could change the quantity, but need to specify it
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//Quantity =
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StopPrice = newLongStop,
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LimitPrice = newLongLimit,
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Tag = "Update #" + (longOrder.UpdateRequests.Count + 1)
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});
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shortOrder.Update(new UpdateOrderFields
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{
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StopPrice = newShortStop,
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LimitPrice = newShortLimit,
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Tag = "Update #" + (shortOrder.UpdateRequests.Count + 1)
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});
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}
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}
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/// <summary>
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/// MarketOnCloseOrders are always executed at the next market's closing
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/// price. The only properties that can be updated are the quantity and
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/// order tag properties.
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/// </summary>
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private void MarketOnCloseOrders()
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{
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if (TimeIs(9, 12, 0))
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{
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Log("Submitting MarketOnCloseOrder");
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// open a new position or triple our existing position
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var qty = Portfolio[symbol].Quantity;
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qty = qty == 0 ? 100 : 2*qty;
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var newTicket = MarketOnCloseOrder(symbol, qty);
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_openMarketOnCloseOrders.Add(newTicket);
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}
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if (_openMarketOnCloseOrders.Count == 1 && Time.Minute == 59)
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{
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var ticket = _openMarketOnCloseOrders[0];
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// check for fills
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if (ticket.Status == OrderStatus.Filled)
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{
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_openMarketOnCloseOrders.Clear();
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return;
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}
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var quantity = ticket.Quantity + 1;
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Log("Updating quantity - New Quantity: " + quantity);
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// we can update the quantity and tag
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ticket.Update(new UpdateOrderFields
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{
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Quantity = quantity,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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}
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if (TimeIs(EndDate.Day, 12 + 3, 45))
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{
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Log("Submitting MarketOnCloseOrder to liquidate end of algorithm");
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MarketOnCloseOrder(symbol, -Portfolio[symbol].Quantity, "Liquidate end of algorithm");
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}
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}
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/// <summary>
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/// MarketOnOpenOrders are always executed at the next market's opening
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/// price. The only properties that can be updated are the quantity and
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/// order tag properties.
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/// </summary>
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private void MarketOnOpenOrders()
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{
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if (TimeIs(8, 12 + 2, 0))
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{
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Log("Submitting MarketOnOpenOrder");
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// its EOD, let's submit a market on open order to short even more!
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var newTicket = MarketOnOpenOrder(symbol, 50);
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_openMarketOnOpenOrders.Add(newTicket);
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}
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if (_openMarketOnOpenOrders.Count == 1 && Time.Minute == 59)
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{
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var ticket = _openMarketOnOpenOrders[0];
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// check for fills
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if (ticket.Status == OrderStatus.Filled)
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{
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_openMarketOnOpenOrders.Clear();
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return;
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}
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var quantity = ticket.Quantity + 1;
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Log("Updating quantity - New Quantity: " + quantity);
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// we can update the quantity and tag
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ticket.Update(new UpdateOrderFields
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{
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Quantity = quantity,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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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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var order = Transactions.GetOrderById(orderEvent.OrderId);
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Console.WriteLine("{0}: {1}: {2}", Time, order.Type, orderEvent);
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if (orderEvent.Quantity == 0)
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{
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throw new Exception("OrderEvent quantity is Not expected to be 0, it should hold the current order Quantity");
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}
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if (orderEvent.Quantity != order.Quantity)
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{
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throw new Exception("OrderEvent quantity should hold the current order Quantity");
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}
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if (order is LimitOrder && orderEvent.LimitPrice == 0
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|| order is StopLimitOrder && orderEvent.LimitPrice == 0)
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{
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throw new Exception("OrderEvent LimitPrice is Not expected to be 0 for LimitOrder and StopLimitOrder");
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}
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if (order is StopMarketOrder && orderEvent.StopPrice == 0)
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{
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throw new Exception("OrderEvent StopPrice is Not expected to be 0 for StopMarketOrder");
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}
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}
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private bool CheckPairOrdersForFills(OrderTicket longOrder, OrderTicket shortOrder)
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{
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if (longOrder.Status == OrderStatus.Filled)
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{
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Log(shortOrder.OrderType + ": Cancelling short order, long order is filled.");
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shortOrder.Cancel("Long filled.");
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return true;
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}
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if (shortOrder.Status == OrderStatus.Filled)
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{
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Log(longOrder.OrderType + ": Cancelling long order, short order is filled.");
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longOrder.Cancel("Short filled");
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return true;
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}
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return false;
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}
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private bool TimeIs(int day, int hour, int minute)
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{
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return Time.Day == day && Time.Hour == hour && Time.Minute == minute;
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "8"},
|
|
{"Average Win", "0%"},
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|
{"Average Loss", "-0.01%"},
|
|
{"Compounding Annual Return", "91.836%"},
|
|
{"Drawdown", "0.100%"},
|
|
{"Expectancy", "-1"},
|
|
{"Net Profit", "0.836%"},
|
|
{"Sharpe Ratio", "12.924"},
|
|
{"Probabilistic Sharpe Ratio", "99.044%"},
|
|
{"Loss Rate", "100%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0.247"},
|
|
{"Beta", "0.23"},
|
|
{"Annual Standard Deviation", "0.054"},
|
|
{"Annual Variance", "0.003"},
|
|
{"Information Ratio", "-7.426"},
|
|
{"Tracking Error", "0.172"},
|
|
{"Treynor Ratio", "3.059"},
|
|
{"Total Fees", "$8.00"},
|
|
{"Estimated Strategy Capacity", "$48000000.00"},
|
|
{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
|
|
{"Fitness Score", "0.093"},
|
|
{"Kelly Criterion Estimate", "0"},
|
|
{"Kelly Criterion Probability Value", "0"},
|
|
{"Sortino Ratio", "150.447"},
|
|
{"Return Over Maximum Drawdown", "1180.131"},
|
|
{"Portfolio Turnover", "0.093"},
|
|
{"Total Insights Generated", "0"},
|
|
{"Total Insights Closed", "0"},
|
|
{"Total Insights Analysis Completed", "0"},
|
|
{"Long Insight Count", "0"},
|
|
{"Short Insight Count", "0"},
|
|
{"Long/Short Ratio", "100%"},
|
|
{"Estimated Monthly Alpha Value", "$0"},
|
|
{"Total Accumulated Estimated Alpha Value", "$0"},
|
|
{"Mean Population Estimated Insight Value", "$0"},
|
|
{"Mean Population Direction", "0%"},
|
|
{"Mean Population Magnitude", "0%"},
|
|
{"Rolling Averaged Population Direction", "0%"},
|
|
{"Rolling Averaged Population Magnitude", "0%"},
|
|
{"OrderListHash", "11d64052951ca2d3abf586c88d41a97a"}
|
|
};
|
|
}
|
|
}
|