Colton Sellers
60 lines
2.4 KiB
Python
60 lines
2.4 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Orders import *
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from datetime import *
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class MarketOnCloseOrderBufferRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,4) #Set Start Date
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self.SetEndDate(2013,10,4) #Set End Date
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self.AddEquity("SPY", Resolution.Minute)
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# Modify our submission buffer time to 10 minutes
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MarketOnCloseOrder.SubmissionTimeBuffer = timedelta(minutes=10)
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def OnData(self, data):
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# Test our ability to submit MarketOnCloseOrders
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# Because we set our buffer to 10 minutes, any order placed
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# before 3:50PM should be accepted, any after marked invalid
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# Will not throw an order error and execute
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if self.Time.hour == 15 and self.Time.minute == 49:
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self.validOrderTicket = self.MarketOnCloseOrder("SPY", 2)
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# Will throw an order error and be marked invalid
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if self.Time.hour == 15 and self.Time.minute == 51:
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self.invalidOrderTicket = self.MarketOnCloseOrder("SPY", 2)
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def OnEndOfAlgorithm(self):
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# Set it back to default for other regressions
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MarketOnCloseOrder.SubmissionTimeBuffer = MarketOnCloseOrder.DefaultSubmissionTimeBuffer;
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if self.validOrderTicket.Status != OrderStatus.Filled:
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raise Exception("Valid order failed to fill")
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if self.invalidOrderTicket.Status != OrderStatus.Invalid:
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raise Exception("Invalid order was not rejected")
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