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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.
*/
using QuantConnect.Brokerages;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Demonstration of payments for cash dividends in backtesting. When data normalization mode is set
/// to "Raw" the dividends are paid as cash directly into your portfolio.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="data event handlers" />
/// <meta name="tag" content="dividend event" />
public class DividendAlgorithm : QCAlgorithm
{
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(1998, 01, 01); //Set Start Date
SetEndDate(2006, 01, 01); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "MSFT", Resolution.Daily);
Securities["MSFT"].SetDataNormalizationMode(DataNormalizationMode.Raw);
// this will use the Tradier Brokerage open order split behavior
// forward split will modify open order to maintain order value
// reverse split open orders will be cancelled
SetBrokerageModel(BrokerageName.TradierBrokerage);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (Transactions.OrdersCount == 0)
{
SetHoldings("MSFT", .5);
// place some orders that won't fill, when the split comes in they'll get modified to reflect the split
Debug("Purchased Stock: " + Securities["MSFT"].Price);
StopMarketOrder("MSFT", -CalculateOrderQuantity("MSFT", .25), data["MSFT"].Low/2);
LimitOrder("MSFT", -CalculateOrderQuantity("MSFT", .25), data["MSFT"].High*2);
}
}
/// <summary>
/// Raises the data event.
/// </summary>
/// <param name="data">Data.</param>
public void OnData(Dividends data) // update this to Dividends dictionary
{
var dividend = data["MSFT"];
Debug($"{dividend.Time.ToStringInvariant("o")} >> DIVIDEND >> {dividend.Symbol} - " +
$"{dividend.Distribution.ToStringInvariant("C")} - {Portfolio.Cash} - " +
$"{Portfolio["MSFT"].Price.ToStringInvariant("C")}"
);
}
/// <summary>
/// Raises the data event.
/// </summary>
/// <param name="data">Data.</param>
public void OnData(Splits data)
{
Debug("MSFT: " + Securities["MSFT"].Price);
var split = data["MSFT"];
Debug($"{split.Time.ToIso8601Invariant()} >> SPLIT >> {split.Symbol} - " +
$"{split.SplitFactor.ToStringInvariant()} - " +
$"{Portfolio.Cash.ToStringInvariant()} - " +
$"{Portfolio["MSFT"].Quantity.ToStringInvariant()}"
);
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
// orders get adjusted based on split events to maintain order value
var order = Transactions.GetOrderById(orderEvent.OrderId);
Debug($"{Time.ToStringInvariant()} >> ORDER >> {order}");
}
}
}