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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.Algorithm.Framework")
AddReference("QuantConnect.Common")
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Selection import *
from QuantConnect.Brokerages import *
from QuantConnect.Data import *
from QuantConnect.Interfaces import *
from QuantConnect.Orders import *
from System import *
from datetime import timedelta
### <summary>
### Basic template framework algorithm uses framework components to define the algorithm.
### Shows EqualWeightingPortfolioConstructionModel.LongOnly() application
### </summary>
### <meta name="tag" content="alpha streams" />
### <meta name="tag" content="using quantconnect" />
### <meta name="tag" content="algorithm framework" />
class LongOnlyAlphaStreamAlgorithm(QCAlgorithm):
'''Basic template framework algorithm uses framework components to define the algorithm.
Shows EqualWeightingPortfolioConstructionModel.LongOnly() application'''
def Initialize(self):
# 1. Required:
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
# 2. Required: Alpha Streams Models:
self.SetBrokerageModel(BrokerageName.AlphaStreams)
# 3. Required: Significant AUM Capacity
self.SetCash(1000000)
# Only SPY will be traded
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(Resolution.Daily, PortfolioBias.Long))
self.SetExecution(ImmediateExecutionModel())
# Set algorithm framework models
self.SetUniverseSelection(ManualUniverseSelectionModel(
[Symbol.Create(x, SecurityType.Equity, Market.USA) for x in ["SPY", "IBM"]]))
def OnData(self, slice):
if self.Portfolio.Invested: return
self.EmitInsights(
[
Insight.Price("SPY", timedelta(1), InsightDirection.Up),
Insight.Price("IBM", timedelta(1), InsightDirection.Down)
])
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
if self.Securities[orderEvent.Symbol].Holdings.IsShort:
raise ValueError("Invalid position, should not be short");
self.Debug(orderEvent)