AlexCatarino
137 lines
6.4 KiB
Python
137 lines
6.4 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 math import copysign
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from datetime import datetime
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import clr
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clr.AddReference("System.Core")
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clr.AddReference("System.Collections")
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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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from QuantConnect.Data import *
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from QuantConnect.Orders import *
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from QuantConnect.Securities import *
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from QuantConnect.Util import *
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clr.ImportExtensions(Extensions)
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clr.ImportExtensions(OrderExtensions)
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clr.ImportExtensions(Linq)
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class UpdateOrderRegressionAlgorithm(QCAlgorithm):
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'''Basic template algorithm simply initializes the date range and cash'''
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def __init__(self):
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self.__LastMonth = -1
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self.__Quantity = 100
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self.__DeltaQuantity = 10
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self.__StopPercentage = 0.025
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self.__StopPercentageDelta = 0.005
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self.__LimitPercentage = 0.025
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self.__LimitPercentageDelta = 0.005
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self.__SecType = SecurityType.Equity
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self.__Symbol = Symbol.Create("SPY", self.__SecType, "USA")
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self.__Security = None
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OrderTypeEnum = [OrderType.Market, OrderType.Limit, OrderType.StopMarket, OrderType.StopLimit, OrderType.MarketOnOpen, OrderType.MarketOnClose]
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self.__orderTypesQueue = CircularQueue[OrderType](OrderTypeEnum)
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self.__tickets = []
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def onCircleCompleted(self, sender, event):
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'''Flip our signs when we've gone through all the order types'''
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self.__Quantity *= -1
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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(2013,01,01) #Set Start Date
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self.SetEndDate(2015,01,01) #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(self.__SecType, self.__Symbol, Resolution.Daily)
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self.__Security = self.Securities[self.__Symbol];
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self.__orderTypesQueue.CircleCompleted += self.onCircleCompleted
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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 not data.Bars.ContainsKey(self.__Symbol):
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return
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pyTime = datetime(self.Time)
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if pyTime.month != self.__LastMonth:
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# we'll submit the next type of order from the queue
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orderType = self.__orderTypesQueue.Dequeue();
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#Log("");
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self.Log("\r\n--------------MONTH: {0}:: {1}\r\n".format(pyTime.strftime("%B"), orderType))
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#Log("")
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self.__LastMonth = pyTime.month
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self.Log("ORDER TYPE:: {0}".format(orderType))
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isLong = self.__Quantity > 0
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stopPrice = (1 + self.__StopPercentage)*data.Bars[self.__Symbol].High if isLong else (1 - self.__StopPercentage)*data.Bars[self.__Symbol].Low
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limitPrice = (1 - self.__LimitPercentage)*stopPrice if isLong else (1 + self.__LimitPercentage)*stopPrice
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if orderType == OrderType.Limit:
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limitPrice = (1 + self.__LimitPercentage)*data.Bars[self.__Symbol].High if not isLong else (1 - self.__LimitPercentage)*data.Bars[self.__Symbol].Low
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request = SubmitOrderRequest(orderType, self.__SecType, self.__Symbol, self.__Quantity, stopPrice, limitPrice, self.Time, orderType.ToString())
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ticket = self.Transactions.AddOrder(request)
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self.__tickets.append(ticket)
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elif len(self.__tickets) > 0:
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ticket = self.__tickets[-1]
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if pyTime.day > 8 and pyTime.day < 14:
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if len(ticket.UpdateRequests) == 0 and ticket.Status.IsOpen():
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self.Log("TICKET:: {0}".format(ticket))
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updateOrderFields = UpdateOrderFields()
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updateOrderFields.Quantity = ticket.Quantity + copysign(self.__DeltaQuantity, self.__Quantity)
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updateOrderFields.Tag = "Change quantity: {0}".format(pyTime)
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ticket.Update(updateOrderFields)
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self.Log("UPDATE1:: {0}".format(ticket.UpdateRequests.Last()))
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elif pyTime.day > 13 and pyTime.day < 20:
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if len(ticket.UpdateRequests) == 1 and ticket.Status.IsOpen():
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self.Log("TICKET:: {0}".format(ticket))
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updateOrderFields = UpdateOrderFields()
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updateOrderFields.LimitPrice = self.__Security.Price*(1 - copysign(self.__LimitPercentageDelta, ticket.Quantity))
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updateOrderFields.StopPrice = self.__Security.Price*(1 + copysign(self.__StopPercentageDelta, ticket.Quantity))
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updateOrderFields.Tag = "Change prices: {0}".format(pyTime)
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ticket.Update(updateOrderFields)
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self.Log("UPDATE2:: {0}".format(ticket.UpdateRequests.Last()))
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else:
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if len(ticket.UpdateRequests) == 2 and ticket.Status.IsOpen():
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self.Log("TICKET:: {0}".format(ticket))
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ticket.Cancel("{0} and is still open!".format(pyTime))
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self.Log("CANCELLED:: {0}".format(ticket.CancelRequest))
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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self.Log("FILLED:: {0} FILL PRICE:: {1}".format(self.Transactions.GetOrderById(orderEvent.OrderId), orderEvent.FillPrice.SmartRounding()))
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else:
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self.Log(orderEvent.ToString())
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self.Log("TICKET:: {0}".format(self.__tickets[-1])) |