Michael Handschuh
5879e477b7
Add regression test for delisted/tradable flags. Add Security.IsDelisted to flag.
107 lines
4.1 KiB
C#
107 lines
4.1 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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/// Demonstration of using the Delisting event in your algorithm. Assets are delisted on their last day of trading, or when their contract expires.
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/// This data is not included in the open source project.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="data event handlers" />
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/// <meta name="tag" content="delisting event" />
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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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Debug($"OnData(Slice): {Time}: {symbol}: {tradeBar.Close.ToString("0.00")}");
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}
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// the slice can also contain delisting data: data.Delistings in a dictionary string->Delisting
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var aaa = Securities["AAA"];
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if (aaa.IsDelisted && aaa.IsTradable)
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{
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throw new Exception("Delisted security must NOT be tradable");
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}
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if (!aaa.IsDelisted && !aaa.IsTradable)
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{
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throw new Exception("Securities must be marked as tradable until they're delisted or removed from the universe");
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}
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}
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public void OnData(Delistings data)
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{
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foreach (var kvp in data)
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{
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var symbol = kvp.Key;
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var delisting = kvp.Value;
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if (delisting.Type == DelistingType.Warning)
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{
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Debug($"OnData(Delistings): {Time}: {symbol} will be delisted at end of day today.");
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// liquidate on delisting warning
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SetHoldings(symbol, 0);
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}
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if (delisting.Type == DelistingType.Delisted)
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{
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Debug($"OnData(Delistings): {Time}: {symbol} has been delisted.");
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// fails because the security has already been delisted and is no longer tradable
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SetHoldings(symbol, 1);
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"OnOrderEvent(OrderEvent): {Time}: {orderEvent}");
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}
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}
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}
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