snugs
55 lines
2.2 KiB
C#
55 lines
2.2 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;
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using QuantConnect.Data;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Basic template algorithm simply initializes the date range and cash
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/// </summary>
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public class LimitFillRegressionAlgorithm : QCAlgorithm
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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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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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AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
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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">TradeBars IDictionary object with your stock data</param>
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public override void OnData(Slice data)
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{
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if (data.Bars.ContainsKey("SPY"))
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{
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if (Time.TimeOfDay.Ticks%TimeSpan.FromHours(1).Ticks == 0)
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{
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bool goLong = Time < StartDate + TimeSpan.FromTicks((EndDate - StartDate).Ticks/2);
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int negative = goLong ? 1 : -1;
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LimitOrder("SPY", negative*10, data["SPY"].Price);
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}
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}
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}
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}
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} |