# 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 *from collections import deque### <summary>### Basic algorithm demonstrating how to place LimitIfTouched orders.### </summary>### <meta name="tag" content="trading and orders" />### <meta name="tag" content="placing orders" />`### <meta name="tag" content="limit if touched order"/>class LimitIfTouchedRegressionAlgorithm(QCAlgorithm):asynchronous_orders = Falsedef initialize(self):self.set_start_date(2013, 10, 7)self.set_end_date(2013, 10, 11)self.set_cash(100000)self.add_equity("SPY")self.expected_events = deque(["Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 399 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 144ドル.6434 LimitPrice: 144ドル.3551 TriggerPrice: 143ドル.61 OrderFee: 1 USD","Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 156 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 145ドル.6636 LimitPrice: 145ドル.6434 TriggerPrice: 144ドル.89 OrderFee: 1 USD","Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 380 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 146ドル.7185 LimitPrice: 146ドル.6723 TriggerPrice: 145ドル.92 OrderFee: 1 USD"])def on_data(self, data):if data.contains_key("SPY"):if len(self.transactions.get_open_orders()) == 0:self._negative = 1 if self.time.day < 9 else -1order_request = SubmitOrderRequest(OrderType.LIMIT_IF_TOUCHED, SecurityType.EQUITY, "SPY",self._negative * 10, 0,data["SPY"].price - self._negative,data["SPY"].price - 0.25 * self._negative, self.utc_time,f"LIT - Quantity: {self._negative * 10}",asynchronous=self.asynchronous_orders)self._request = self.transactions.add_order(order_request)returnif self._request is not None:if self._request.quantity == 1:self.transactions.cancel_open_orders()self._request = Nonereturnnew_quantity = int(self._request.quantity - self._negative)self._request.update_quantity(new_quantity, f"LIT - Quantity: {new_quantity}")self._request.update_trigger_price(Extensions.round_to_significant_digits(self._request.get(OrderField.TRIGGER_PRICE), 5))def on_order_event(self, order_event):if order_event.status == OrderStatus.FILLED:expected = self.expected_events.popleft()if str(order_event) != expected:raise AssertionError(f"order_event {order_event.id} differed from {expected}. Actual {order_event}")def on_end_of_algorithm(self):for ticket in self.transactions.get_order_tickets():if ticket.submit_request.asynchronous != self.asynchronous_orders:raise AssertionError("Expected all orders to have the same asynchronous flag as the algorithm.")
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