quantconnect--lean/Algorithm.CSharp/UpdateOrderRegressionAlgorithm.cs

/*
 * 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 System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Util;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Provides a regression baseline focused on updating orders
    /// </summary>
    public class UpdateOrderRegressionAlgorithm : QCAlgorithm
    {
        private int LastMonth = -1;
        private Security Security;
        private int Quantity = 100;
        private const int DeltaQuantity = 10;

        private const decimal StopPercentage = 0.025m;
        private const decimal StopPercentageDelta = 0.005m;
        private const decimal LimitPercentage = 0.025m;
        private const decimal LimitPercentageDelta = 0.005m;

        private const string symbol = "SPY";
        private const SecurityType SecType = SecurityType.Equity;

        private readonly CircularQueue<OrderType> _orderTypesQueue = new CircularQueue<OrderType>(Enum.GetValues(typeof(OrderType))
                                                                        .OfType<OrderType>()
                                                                        .Where (x => x != OrderType.OptionExercise));
        private readonly List<OrderTicket> _tickets = new List<OrderTicket>(); 

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 01, 01);  //Set Start Date
            SetEndDate(2015, 01, 01);    //Set End Date
            SetCash(100000);             //Set Strategy Cash
            // Find more symbols here: http://quantconnect.com/data
            AddSecurity(SecType, symbol, Resolution.Daily);
            Security = Securities[symbol];

            _orderTypesQueue.CircleCompleted += (sender, args) =>
            {
                // flip our signs when we've gone through all the order types
                Quantity *= -1;
            };
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice data)
        {
            if (!data.Bars.ContainsKey(symbol)) return;

            // each month make an action
            if (Time.Month != LastMonth)
            {
                // we'll submit the next type of order from the queue
                var orderType = _orderTypesQueue.Dequeue();
                //Log("");
                Log("\r\n--------------MONTH: " + Time.ToString("MMMM") + ":: " + orderType + "\r\n");
                //Log("");
                LastMonth = Time.Month;
                Log("ORDER TYPE:: " + orderType);
                var isLong = Quantity > 0;
                var stopPrice = isLong ? (1 + StopPercentage)*data.Bars[symbol].High : (1 - StopPercentage)*data.Bars[symbol].Low;
                var limitPrice = isLong ? (1 - LimitPercentage)*stopPrice : (1 + LimitPercentage)*stopPrice;
                if (orderType == OrderType.Limit)
                {
                    limitPrice = !isLong ? (1 + LimitPercentage) * data.Bars[symbol].High : (1 - LimitPercentage) * data.Bars[symbol].Low;
                }
                var request = new SubmitOrderRequest(orderType, SecType, symbol, Quantity, stopPrice, limitPrice, Time, orderType.ToString());
                var ticket = Transactions.AddOrder(request);
                _tickets.Add(ticket);
            }
            else if (_tickets.Count > 0)
            {
                var ticket = _tickets.Last();
                if (Time.Day > 8 && Time.Day < 14)
                {
                    if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
                    {
                        Log("TICKET:: " + ticket);
                        ticket.Update(new UpdateOrderFields
                        {
                            Quantity = ticket.Quantity + Math.Sign(Quantity)*DeltaQuantity,
                            Tag = "Change quantity: " + Time
                        });
                        Log("UPDATE1:: " + ticket.UpdateRequests.Last());
                    }
                }
                else if (Time.Day > 13 && Time.Day < 20)
                {
                    if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
                    {
                        Log("TICKET:: " + ticket);
                        ticket.Update(new UpdateOrderFields
                        {
                            LimitPrice = Security.Price*(1 - Math.Sign(ticket.Quantity)*LimitPercentageDelta),
                            StopPrice = Security.Price*(1 + Math.Sign(ticket.Quantity)*StopPercentageDelta),
                            Tag = "Change prices: " + Time
                        });
                        Log("UPDATE2:: " + ticket.UpdateRequests.Last());
                    }
                }
                else
                {
                    if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
                    {
                        Log("TICKET:: " + ticket);
                        ticket.Cancel(Time + " and is still open!");
                        Log("CANCELLED:: " + ticket.CancelRequest);
                    }
                }
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (orderEvent.Status == OrderStatus.Filled)
            {
                Log("FILLED:: " + Transactions.GetOrderById(orderEvent.OrderId) + " FILL PRICE:: " + orderEvent.FillPrice.SmartRounding());
            }
            else
            {
                Log(orderEvent.ToString());
                Log("TICKET:: " + _tickets.Last());
            }
        }

        private new void Log(string msg)
        {
            if (LiveMode) Debug(msg);
            else base.Log(msg);
        }
    }
}