AlexCatarino
53 lines
2.3 KiB
Python
53 lines
2.3 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 datetime import datetime, timedelta
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import clr
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clr.AddReference("System")
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clr.AddReference("QuantConnect.Algorithm")
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clr.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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class LimitFillRegressionAlgorithm(QCAlgorithm):
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'''Basic template algorithm simply initializes the date range and cash'''
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def Initialize(self):
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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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self.SetStartDate(2013,10,07) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)
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def OnData(self, data):
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if data.Bars.ContainsKey("SPY"):
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currentTime = datetime(self.Time)
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if self.IsRoundHour(currentTime):
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goLong = currentTime < datetime(self.StartDate) + (datetime(self.EndDate) - datetime(self.StartDate))/2
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negative = 1 if goLong else -1
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self.LimitOrder("SPY", negative*10, data["SPY"].Price)
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def IsRoundHour(self, dateTime):
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'''Verify whether datetime is round hour'''
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return dateTime.minute == 0 and dateTime.second == 0 and dateTime.microsecond == 0 |