forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Expand file tree
/
Copy pathBasicTemplateFrameworkAlgorithm.py
More file actions
77 lines (65 loc) · 3.6 KB
/
BasicTemplateFrameworkAlgorithm.py
File metadata and controls
77 lines (65 loc) · 3.6 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
# 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.
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Risk import *
from QuantConnect.Algorithm.Framework.Selection import *
from datetime import timedelta
import numpy as np
### <summary>
### Basic template framework algorithm uses framework components to define the algorithm.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="using quantconnect" />
### <meta name="tag" content="trading and orders" />
class BasicTemplateFrameworkAlgorithm(QCAlgorithm):
'''Basic template framework algorithm uses framework components to define the algorithm.'''
def Initialize(self):
''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2013,10,7) #Set Start Date
self.SetEndDate(2013,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Fi
4911
nd more symbols here: http://quantconnect.com/data
# Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
# Futures Resolution: Tick, Second, Minute
# Options Resolution: Minute Only.
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
# set algorithm framework models
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
# We can define who often the EWPCM will rebalance if no new insight is submitted using:
# Resolution Enum:
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Resolution.Daily))
# timedelta
# self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(timedelta(2)))
# A lamdda datetime -> datetime. In this case, we can use the pre-defined func at Expiry helper class
# self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Expiry.EndOfWeek))
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))
self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))