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OnEndOfDayRegressionAlgorithm.py
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OnEndOfDayRegressionAlgorithm.py
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# 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.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Selection import *
class OnEndOfDayRegressionAlgorithm(QCAlgorithm):
'''Test algorithm verifying OnEndOfDay callbacks are called as expected. See GH issue 2865.'''
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.'''
self.SetStartDate(2013,10, 7)
self.SetEndDate(2013,10,11)
self.SetCash(100000)
self._spySymbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
self._bacSymbol = Symbol.Create("BAC", SecurityType.Equity, Market.USA)
self._ibmSymbol = Symbol.Create("IBM", SecurityType.Equity, Market.USA)
self._onEndOfDaySpyCallCount = 0
self._onEndOfDayBacCallCount = 0
self._onEndOfDayIbmCallCount = 0
self.AddUniverse('my_universe_name', self.selection)
def selection(self, time):
if time.day == 8:
return [self._spySymbol.Value, self._ibmSymbol.Value]
return [self._spySymbol.Value]
def OnEndOfDay(self, symbol):
'''We expect it to be called on each day after the first selection process
happens and the algorithm has a security in it
'''
if symbol == self._spySymbol:
if self._onEndOfDaySpyCallCount == 0:
# just the first time
self.SetHoldings(self._spySymbol, 0.5)
self.AddEquity("BAC")
self._onEndOfDaySpyCallCount += 1
if symbol == self._bacSymbol:
if self._onEndOfDayBacCallCount == 0:
# just the first time
self.SetHoldings(self._bacSymbol, 0.5)
self._onEndOfDayBacCallCount += 1
if symbol == self._ibmSymbol:
self._onEndOfDayIbmCallCount += 1
self.Log("OnEndOfDay() called: " + str(self.UtcTime)
+ ". SPY count " + str(self._onEndOfDaySpyCallCount)
+ ". BAC count " + str(self._onEndOfDayBacCallCount)
+ ". IBM count " + str(self._onEndOfDayIbmCallCount))
def OnEndOfAlgorithm(self):
'''Assert expected behavior'''
if self._onEndOfDaySpyCallCount != 5:
raise ValueError("OnEndOfDay(SPY) unexpected count call " + str(self._onEndOfDaySpyCallCount))
if self._onEndOfDayBacCallCount != 4:
raise ValueError("OnEndOfDay(BAC) unexpected count call " + str(self._onEndOfDayBacCallCount))
if self._onEndOfDayIbmCallCount != 1:
raise ValueError("OnEndOfDay(IBM) unexpected count call " + str(self._onEndOfDayIbmCallCount))