# 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 AlgorithmImports import *### <summary>### This algorithm demonstrates the runtime addition and removal of securities from your algorithm.### With LEAN it is possible to add and remove securities after the initialization.### </summary>### <meta name="tag" content="using data" />### <meta name="tag" content="assets" />### <meta name="tag" content="regression test" />class AddRemoveSecurityRegressionAlgorithm(QCAlgorithm):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.set_start_date(2013,10,7) #Set Start Dateself.set_end_date(2013,10,11) #Set End Dateself.set_cash(100000) #Set Strategy Cash# Find more symbols here: http://quantconnect.com/dataself.add_equity("SPY")self._last_action = Nonedef on_data(self, data):'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''if self._last_action is not None and self._last_action.date() == self.time.date():returnif not self.portfolio.invested:self.set_holdings("SPY", .5)self._last_action = self.timeif self.time.weekday() == 1:self.add_equity("AIG")self.add_equity("BAC")self._last_action = self.timeif self.time.weekday() == 2:self.set_holdings("AIG", .25)self.set_holdings("BAC", .25)self._last_action = self.timeif self.time.weekday() == 3:self.remove_security("AIG")self.remove_security("BAC")self._last_action = self.timedef on_order_event(self, order_event):if order_event.status == OrderStatus.SUBMITTED:self.debug("{0}: Submitted: {1}".format(self.time, self.transactions.get_order_by_id(order_event.order_id)))if order_event.status == OrderStatus.FILLED:self.debug("{0}: Filled: {1}".format(self.time, self.transactions.get_order_by_id(order_event.order_id)))
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