snugs
2c1a00fa23
This change adds OnData(Delisting data) event handler to the algorithm and is fired when a security gets delisted. Likewise, when a security is delisted, data will stop being sent into the algorithm and if the algorithm has any holdings then a MarketOnClose order is submitted at midnight on the last day of trading. If you require that the algorithm does not sell its shares, then you must cancel the MarketOnClose order before close of trading.
90 lines
3.4 KiB
C#
90 lines
3.4 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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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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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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/// Showcases the delisting event of QCAlgorithm
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/// </summary>
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/// <remarks>
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/// The data for this algorithm isn't in the github repo, so this will need to be run on the QC site
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/// </remarks>
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public class DelistingEventsAlgorithm : 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(2007, 05, 16); //Set Start Date
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SetEndDate(2007, 05, 25); //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, "AAA", Resolution.Daily);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
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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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if (Transactions.OrdersCount == 0)
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{
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SetHoldings("AAA", 1);
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Debug("Purchased Stock");
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}
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foreach (var kvp in data.Bars)
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{
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var symbol = kvp.Key;
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var tradeBar = kvp.Value;
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Console.WriteLine("OnData(Slice): {0}: {1}: {2}", Time, symbol, tradeBar.Close.ToString("0.00"));
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}
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// the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting
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}
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public void OnData(Delistings data)
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{
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foreach (var kvp in data)
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{
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var symbol = kvp.Key;
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var delisting = kvp.Value;
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if (delisting.Type == DelistingType.Warning)
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{
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Console.WriteLine("OnData(Delistings): {0}: {1} will be delisted at end of day today.", Time, symbol);
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}
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if (delisting.Type == DelistingType.Delisted)
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{
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Console.WriteLine("OnData(Delistings): {0}: {1} has been delisted.", Time, symbol);
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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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Console.WriteLine("OnOrderEvent(OrderEvent): {0}: {1}", Time, orderEvent);
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}
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}
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}
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