| Overall Statistics |
|
Total Trades 34 Average Win 0.18% Average Loss -0.12% Compounding Annual Return -0.097% Drawdown 1.400% Expectancy -0.282 Net Profit -0.591% Sharpe Ratio -0.322 Probabilistic Sharpe Ratio 0.015% Loss Rate 71% Win Rate 29% Profit-Loss Ratio 1.44 Alpha -0.001 Beta -0.001 Annual Standard Deviation 0.002 Annual Variance 0 Information Ratio -0.716 Tracking Error 0.165 Treynor Ratio 1.118 Total Fees $9.23 |
using QuantConnect.Securities;
namespace QuantConnect
{
public partial class Base ///ONDATA
{
public class Alpha_SYMBOL_DOWN_S2 : AlphaModel
{
private readonly Symbol _symbol;
private string SYMBOL = "GBPUSD" ;
public Alpha_SYMBOL_DOWN_S2(Symbol symbol)
{
_symbol = symbol;
}
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
{
var open_orders = algorithm.Transactions.GetOpenOrders(x=>x.Status == OrderStatus.Submitted);
if (!open_orders.Any())
{
algorithm.Liquidate();
}
if (!open_orders.Any(x=>x.Tag.Contains("SYMBOL_DOWN_S2_OCO1")))
{
Base.SYMBOL_OCO1_DOWN_S2_IsReady = true;
}
if (open_orders.Any(x=>x.Tag.Contains("SYMBOL_DOWN_S2")))
{
foreach (var order in open_orders)
{
if (Base.SYMBOL_OCO1_EO1_DOWN_S2)
Base.SYMBOL_OCO1_EO1_DOWN_S2_ID = order.Id;
if (algorithm.UtcTime - order.CreatedTime >= TimeSpan.FromMinutes(Base.SYMBOL_DOWN_S2_OCO_DELAY_7DAY))
{
int SYMBOL_OCO1S1_DOWN_S2 = 0;
for (; SYMBOL_OCO1S1_DOWN_S2 < Base.SYMBOL_DOWN_S2_OCO1Sets1.Count; SYMBOL_OCO1S1_DOWN_S2++)
if (Base.SYMBOL_DOWN_S2_OCO1Sets1[SYMBOL_OCO1S1_DOWN_S2].InOrders(order.Id))
{
Base.SYMBOL_DOWN_S2_OCO1Sets1[SYMBOL_OCO1S1_DOWN_S2].TimeOut();
yield return Insight.Price(SYMBOL, TimeSpan.FromMilliseconds(1001), InsightDirection.Up, null, null, null, 1);
algorithm.MarketOrder(SYMBOL, order.Quantity, false, "SYMBOL_DOWN_S2_Entry_1__Time out_OCO1");
Base.SYMBOL_DOWN_S2_OCO1Sets1.Clear();
SYMBOL_OCO1S1_DOWN_S2 = 0;
break;
}
}
}
}
var dat_ = from MINUTE in DATA_MINUTE.Values
from DAY in DATA_DAY.Values
from ICHI_WEEK in DATA_ICHI_WEEK.Values
from ICHI_DAY in DATA_ICHI_DAY.Values
select new {MINUTE, DAY, ICHI_WEEK, ICHI_DAY} ;
foreach (var d_ in dat_)
{
if (d_.MINUTE.Symbol.Equals(SYMBOL) && d_.DAY.Symbol.Equals(SYMBOL) && d_.ICHI_WEEK.Symbol.Equals(SYMBOL) && d_.ICHI_DAY.Symbol.Equals(SYMBOL))
{
if (
d_.ICHI_WEEK.BQIsReady &&
d_.ICHI_DAY.BQIsReady &&
d_.MINUTE.BQIsReady &&
d_.DAY.BQIsReady &&
d_.ICHI_WEEK.WasJustUpdated(algorithm.Time) &&
d_.ICHI_DAY.WasJustUpdated(algorithm.Time) &&
d_.MINUTE.WasJustUpdated(algorithm.Time) &&
d_.DAY.WasJustUpdated(algorithm.Time)
)
{
DOWM_SYMBOL_DOWN_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Monday);
DOWT_SYMBOL_DOWN_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Tuesday);
DOWW_SYMBOL_DOWN_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Wednesday);
DOWTH_SYMBOL_DOWN_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Thursday);
DOWR_SYMBOL_DOWN_S2 = (DOWM_SYMBOL_DOWN_S2 || DOWT_SYMBOL_DOWN_S2 || DOWW_SYMBOL_DOWN_S2 || DOWTH_SYMBOL_DOWN_S2 || algorithm.UtcTime.DayOfWeek == DayOfWeek.Friday);
if(d_.ICHI_DAY.Kijun[0] != 0)
algorithm.Debug("Mi : " + d_.MINUTE.B[0].High + " " + "MO : " + d_.DAY.B[0].High + " " + "iW : " + d_.ICHI_WEEK.Kijun[0] + " " + "iM : " + d_.ICHI_DAY.Kijun[0]);
if (Base.SYMBOL_OCO1_DOWN_S2_IsReady == false)
{
Base.SYMBOL_OCO1_DOWN_S2_Monthly_IsReady = false;
}
if (algorithm.Time == d_.DAY.B[0].EndTime)
{
Base.SYMBOL_OCO1_DOWN_S2_Monthly_IsReady = true;
}
Signal1:
if (
d_.DAY.B[0].Low < d_.ICHI_WEEK.Kijun[0] &&
d_.DAY.B[1].Low > d_.ICHI_WEEK.Kijun[0] &&
d_.DAY.B[1].Open - d_.DAY.B[1].Close > d_.MINUTE.B[0].Close * 0.001m &&
d_.DAY.B[1].Open - d_.DAY.B[1].Close < d_.MINUTE.B[0].Close * 0.01m &&
d_.DAY.B[0].Open - d_.DAY.B[0].Close > 0 &&
d_.DAY.B[0].High - d_.DAY.B[0].Low > (d_.DAY.B[1].High - d_.DAY.B[1].Low)
)
{
SYMBOL_Signal_Condition_DOWN_1 = true ;
SYMBOL_DOWN_S2_SL_1 = d_.DAY.B[0].High - d_.DAY.B[0].Low;
SYMBOL_DOWN_S2_TP1_1 = SYMBOL_DOWN_S2_SL_1 * 2m ;
}
if (
d_.DAY.B[1].Open - d_.DAY.B[1].Close < d_.MINUTE.B[0].Close * 0.001m
)
{
SYMBOL_Signal_Condition_DOWN_1 = false;
}
if (SYMBOL_Signal_Condition_DOWN_1 &&
DOWR_SYMBOL_DOWN_S2 &&
Base.SYMBOL_OCO1_DOWN_S2_IsReady == true &&
Base.SYMBOL_OCO1_DOWN_S2_Monthly_IsReady == true)
{
if (SYMBOL_DOWN_S2_SL_1 != 0)
{
SYMBOL_quantity_DOWN_S2_1 = -(int)Math.Floor(algorithm.Portfolio.GetBuyingPower(d_.MINUTE.Symbol, 0))/10;
}
SYMBOL_quantity_SL_DOWN_S2_1 = SYMBOL_quantity_DOWN_S2_1;
SYMBOL_quantity_TP1_DOWN_S2_1 = (int)Math.Floor(SYMBOL_quantity_DOWN_S2_1 * 1m);
Base.SYMBOL_OCO1_EO1_DOWN_S2 = true;
yield return Insight.Price(d_.MINUTE.Symbol, TimeSpan.FromMinutes(5), InsightDirection.Down, null, null, null, 0.1);
SYMBOL_OCO1_MO1_DOWN_S2 = algorithm.MarketOrder(d_.MINUTE.Symbol, SYMBOL_quantity_TP1_DOWN_S2_1, false,"SYMBOL_DOWN_S2_Entry_TP1_OCO1");
Base.SYMBOL_OCO1_EO1_DOWN_S2 = false;
Base.SYMBOL_OCO1_DOWN_S2_IsReady = false;
if (Base.SYMBOL_OCO1_DOWN_S2_IsReady == false)
break;
}
yield break;
}
}
}
}
}
}
}using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Parameters;
using QuantConnect.Orders;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;
namespace QuantConnect
{
public partial class Base : QCAlgorithm
{
public static TimeSpan Minute = TimeSpan.FromMinutes(1);
public static TimeSpan Daily = TimeSpan.FromMinutes(1440);
public static int Rol_minute = 3;
public static int Rol_daily = 3;
public static Dictionary<string, ICHI_WEEK> DATA_ICHI_WEEK = new Dictionary<string, ICHI_WEEK>();
public static Dictionary<string, ICHI_DAY> DATA_ICHI_DAY = new Dictionary<string, ICHI_DAY>();
public static Dictionary<string, MINUTE> DATA_MINUTE = new Dictionary<string, MINUTE>();
public static Dictionary<string, DAY> DATA_DAY = new Dictionary<string, DAY>();
private SYMBOL_UP_S2_OnOrderEvent up_OnOrderEvent;
private SYMBOL_DOWN_S2_OnOrderEvent down_OnOrderEvent;
public static string symbol = "GBPUSD";
public override void Initialize()
{
SetStartDate(2015, 1, 1);
SetEndDate(DateTime.Now);
SetCash(1000000);
Settings.RebalancePortfolioOnInsightChanges = false;
Settings.RebalancePortfolioOnSecurityChanges = false;
SetBrokerageModel(BrokerageName.AlphaStreams);
SetWarmUp(TimeSpan.FromMinutes(1440*113), Resolution.Minute);
SetWarmUp(TimeSpan.FromMinutes(1440*113), Resolution.Daily);
var Forex = AddForex(symbol, Resolution.Minute, Market.FXCM).Symbol;
// var hichiw = History<QuoteBar>(symbol, 113, Resolution.Daily);
DATA_ICHI_WEEK.Add(symbol, new ICHI_WEEK(Forex, Daily, Rol_daily));
// var hichid = History<QuoteBar>(symbol, 113, Resolution.Daily);
DATA_ICHI_DAY.Add(symbol, new ICHI_DAY(Forex, Daily, Rol_daily));
// var hm = History<QuoteBar>(symbol, TimeSpan.FromDays(113), Resolution.Minute);
DATA_MINUTE.Add(symbol, new MINUTE(Forex, Minute, Rol_minute));
// var hd = History<QuoteBar>(symbol, 113, Resolution.Daily);
DATA_DAY.Add(symbol, new DAY(Forex, Daily, Rol_daily));
Consolidate("GBPUSD", CalendarType.Weekly, CalendarQuoteBarHandlerWeekly);
Consolidate("GBPUSD", Daily, CalendarQuoteBarHandlerDaily);
up_OnOrderEvent = new SYMBOL_UP_S2_OnOrderEvent(this);
down_OnOrderEvent = new SYMBOL_DOWN_S2_OnOrderEvent(this);
foreach (var kvp in DATA_ICHI_WEEK)
{
var ICHI_WEEK = kvp.Value;
var cons_ichiweek = (IDataConsolidator) new QuoteBarConsolidator(CalendarTypee.Weekly);
ICHI_WEEK.ichi = new IchimokuKinkoHyo(CreateIndicatorName(ICHI_WEEK.Symbol, "ICHIW", Resolution.Daily), Rol_daily);
cons_ichiweek.DataConsolidated += (sender, baseData) =>
{
var bar = (QuoteBar)baseData;
ICHI_WEEK.ichi.Update(bar);
ICHI_WEEK.Kijun.Add(ICHI_WEEK.ichi.Kijun.Current.Value);
};
SubscriptionManager.AddConsolidator(ICHI_WEEK.Symbol, cons_ichiweek);
}
foreach (var kvp in DATA_ICHI_DAY)
{
var ICHI_DAY = kvp.Value;
var data_ichi_day = (IDataConsolidator) new QuoteBarConsolidator(Daily);
ICHI_DAY.ichi = new IchimokuKinkoHyo(CreateIndicatorName(ICHI_DAY.Symbol, "ICHIM", Resolution.Daily), Rol_daily);
data_ichi_day.DataConsolidated += (sender, baseData) =>
{
var bar = (QuoteBar)baseData;
ICHI_DAY.ichi.Update(bar);
ICHI_DAY.Kijun.Add(ICHI_DAY.ichi.Kijun.Current.Value);
};
SubscriptionManager.AddConsolidator(ICHI_DAY.Symbol, data_ichi_day);
}
foreach (var kvp in DATA_MINUTE)
{
var MINUTE = kvp.Value;
var bar_minute = (IDataConsolidator)new QuoteBarConsolidator(Minute);
bar_minute.DataConsolidated += (sender, baseData) =>
{
var bar = (QuoteBar)baseData;
MINUTE.B.Add(bar);
};
SubscriptionManager.AddConsolidator(MINUTE.Symbol, bar_minute);
}
foreach (var kvp in DATA_DAY)
{
var DAY = kvp.Value;
var bar_day = (IDataConsolidator) new QuoteBarConsolidator(Daily);
bar_day.DataConsolidated += (sender, baseData) =>
{
var bar = (QuoteBar)baseData;
DAY.B.Add(bar);
};
SubscriptionManager.AddConsolidator(DAY.Symbol, bar_day);
}
foreach (var ICHI_DAY in DATA_ICHI_DAY.Values)
{
foreach (var ICHI_WEEK in DATA_ICHI_WEEK.Values)
{
PlotIndicator("ichi", ICHI_WEEK.ichi, ICHI_DAY.ichi);
}
}
//AddAlpha(new Alpha_SYMBOL_UP_S2(_SYMBOL));
AddAlpha(new Alpha_SYMBOL_DOWN_S2(_SYMBOL));
}
//////////// this permit to warmup /////////////
public void CalendarQuoteBarHandlerWeekly(QuoteBar quoteBar)
{
Debug($"{Time} :: {quoteBar.Time} {quoteBar.Close}");
foreach (var ICHI_WEEK in DATA_ICHI_WEEK.Values)
{
var bar = quoteBar;
ICHI_WEEK.ichi.Update(bar);
ICHI_WEEK.Kijun.Add(ICHI_WEEK.ichi.Kijun.Current.Value);
}
}
public void CalendarQuoteBarHandlerDaily(QuoteBar quoteBar)
{
Debug($"{Time} :: {quoteBar.Time} {quoteBar.Close}");
foreach (var ICHI_DAY in DATA_ICHI_DAY.Values)
{
var bar = quoteBar;
ICHI_DAY.ichi.Update(bar);
ICHI_DAY.Kijun.Add(ICHI_DAY.ichi.Kijun.Current.Value);
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
up_OnOrderEvent.OnOrderEvent(this, orderEvent);
down_OnOrderEvent.OnOrderEvent(this, orderEvent);
}
public void OnInsightsGeneratedVerifier(IAlgorithm algorithm, GeneratedInsightsCollection insightsCollection)
{
if (
insightsCollection.Insights.Count(insight => insight.Symbol.Value.Equals("GBPNZD")) != 1
)
{
throw new Exception("Unexpected insights were emitted");
}
}
}
public class ICHI_WEEK
{
public readonly Symbol Symbol;
public readonly TimeSpan Daily;
public IchimokuKinkoHyo ichi;
public readonly RollingWindow<decimal> Kijun;
public ICHI_WEEK(Symbol symbol, TimeSpan daily, int Rol_daily)
{
Symbol = symbol;
Daily = daily;
Kijun = new RollingWindow<decimal>(Rol_daily);
}
public bool BQIsReady
{
get { return
ichi.Kijun.IsReady &&
Kijun.IsReady
;}
}
public bool WasJustUpdated(DateTime current)
{
return
Kijun.Count > 0
;
}
}
public class ICHI_DAY
{
public readonly Symbol Symbol;
public readonly TimeSpan Daily;
public IchimokuKinkoHyo ichi;
public readonly RollingWindow<decimal> Kijun;
public ICHI_DAY(Symbol symbol, TimeSpan daily, int Rol_daily)
{
Symbol = symbol;
Daily = daily;
Kijun = new RollingWindow<decimal>(Rol_daily);
}
public bool BQIsReady
{
get { return
ichi.Kijun.IsReady &&
Kijun.IsReady
;}
}
public bool WasJustUpdated(DateTime current)
{
return
Kijun.Count > 0
&&
ichi.Kijun.Current.Time > (current - TimeSpan.FromSeconds(5)) - Daily
&&
ichi.Kijun.Current.Time < (current + TimeSpan.FromSeconds(5)) - Daily
;
}
}
public class MINUTE
{
public readonly Symbol Symbol;
public readonly RollingWindow<QuoteBar> B;
public readonly TimeSpan Minute;
public MINUTE(Symbol symbol, TimeSpan minute, int Rol_minute)
{
Symbol = symbol;
Minute = minute;
B = new RollingWindow<QuoteBar>(Rol_minute);
}
public bool BQIsReady
{
get { return
B.IsReady
;}
}
public bool WasJustUpdated(DateTime current)
{
return
B.Count > 0
&&
B[0].Time > (current - TimeSpan.FromSeconds(5)) - Minute
&&
B[0].Time < (current + TimeSpan.FromSeconds(5)) - Minute
;
}
}
public class DAY
{
public readonly Symbol Symbol;
public readonly RollingWindow<QuoteBar> B;
public readonly TimeSpan Daily;
public DAY(Symbol symbol, TimeSpan daily, int Rol_daily)
{
Symbol = symbol;
Daily = daily;
B = new RollingWindow<QuoteBar>(Rol_daily);
}
public bool BQIsReady
{
get { return
B.IsReady
;}
}
public bool WasJustUpdated(DateTime current)
{
return
B.Count > 0
&&
B[0].Time > (current - TimeSpan.FromSeconds(5)) - Daily
&&
B[0].Time < (current + TimeSpan.FromSeconds(5)) - Daily
;
}
}
}using QuantConnect.Securities;
namespace QuantConnect
{
public partial class Base ///ONDATA
{
public class Alpha_SYMBOL_UP_S2 : AlphaModel
{
private readonly Symbol _symbol;
private string SYMBOL = "GBPUSD" ;
public Alpha_SYMBOL_UP_S2(Symbol symbol)
{
_symbol = symbol;
}
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
{
var open_orders = algorithm.Transactions.GetOpenOrders(x=>x.Status == OrderStatus.Submitted);
if (!open_orders.Any())
{
algorithm.Liquidate();
}
if (!open_orders.Any(x=>x.Tag.Contains("SYMBOL_UP_S2_OCO1")))
{
Base.SYMBOL_OCO1_UP_S2_IsReady = true;
}
if (open_orders.Any(x=>x.Tag.Contains("SYMBOL_UP_S2")))
{
foreach (var order in open_orders)
{
if (Base.SYMBOL_OCO1_EO1_UP_S2)
Base.SYMBOL_OCO1_EO1_UP_S2_ID = order.Id;
if (algorithm.UtcTime - order.CreatedTime >= TimeSpan.FromMinutes(Base.SYMBOL_UP_S2_OCO_DELAY_7DAY))
{
int SYMBOL_OCO1S1_UP_S2 = 0;
for (; SYMBOL_OCO1S1_UP_S2 < Base.SYMBOL_UP_S2_OCO1Sets1.Count; SYMBOL_OCO1S1_UP_S2++)
if (Base.SYMBOL_UP_S2_OCO1Sets1[SYMBOL_OCO1S1_UP_S2].InOrders(order.Id))
{
Base.SYMBOL_UP_S2_OCO1Sets1[SYMBOL_OCO1S1_UP_S2].TimeOut();
yield return Insight.Price(SYMBOL, TimeSpan.FromMilliseconds(1001), InsightDirection.Down, null, null, null, 1);
algorithm.MarketOrder(SYMBOL, order.Quantity, false, "SYMBOL_UP_S2_Entry_1__Time out_OCO1");
Base.SYMBOL_UP_S2_OCO1Sets1.Clear();
SYMBOL_OCO1S1_UP_S2 = 0;
break;
}
}
}
}
var dat_ = from MINUTE in DATA_MINUTE.Values
from DAY in DATA_DAY.Values
from ICHI_WEEK in DATA_ICHI_WEEK.Values
from ICHI_DAY in DATA_ICHI_DAY.Values
select new {MINUTE, DAY, ICHI_WEEK, ICHI_DAY} ;
foreach (var d_ in dat_)
{
if (d_.MINUTE.Symbol.Equals(SYMBOL) && d_.DAY.Symbol.Equals(SYMBOL) && d_.ICHI_WEEK.Symbol.Equals(SYMBOL) && d_.ICHI_DAY.Symbol.Equals(SYMBOL))
{
if (
d_.ICHI_WEEK.BQIsReady &&
d_.ICHI_DAY.BQIsReady &&
d_.MINUTE.BQIsReady &&
d_.DAY.BQIsReady &&
d_.ICHI_WEEK.WasJustUpdated(algorithm.Time) &&
d_.ICHI_DAY.WasJustUpdated(algorithm.Time) &&
d_.MINUTE.WasJustUpdated(algorithm.Time) &&
d_.DAY.WasJustUpdated(algorithm.Time)
)
{
DOWM_SYMBOL_UP_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Monday);
DOWT_SYMBOL_UP_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Tuesday);
DOWW_SYMBOL_UP_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Wednesday);
DOWTH_SYMBOL_UP_S2 = (algorithm.UtcTime.DayOfWeek == DayOfWeek.Thursday);
DOWR_SYMBOL_UP_S2 = (DOWM_SYMBOL_UP_S2 || DOWT_SYMBOL_UP_S2 || DOWW_SYMBOL_UP_S2 || DOWTH_SYMBOL_UP_S2 || algorithm.UtcTime.DayOfWeek == DayOfWeek.Friday);
if (d_.MINUTE.Symbol.Equals(SYMBOL) && d_.DAY.Symbol.Equals(SYMBOL) && d_.ICHI_WEEK.Symbol.Equals(SYMBOL) && d_.ICHI_DAY.Symbol.Equals(SYMBOL))
{
if (Base.SYMBOL_OCO1_UP_S2_IsReady == false)
{
Base.SYMBOL_OCO1_UP_S2_Monthly_IsReady = false;
}
if (algorithm.Time == d_.DAY.B[0].EndTime)
{
Base.SYMBOL_OCO1_UP_S2_Monthly_IsReady = true;
}
if(d_.ICHI_DAY.Kijun[0] != 0)
algorithm.Debug("Mi : " + d_.MINUTE.B[0].High + " " + "MO : " + d_.DAY.B[0].High + " " + "iW : " + d_.ICHI_WEEK.Kijun[0] + " " + "iM : " + d_.ICHI_DAY.Kijun[0]);
Signal1:
if (
d_.DAY.B[1].Close - d_.DAY.B[1].Open > d_.MINUTE.B[0].Close * 0.001m
)
{
SYMBOL_Signal_Condition_UP_1 = true ;
SYMBOL_UP_S2_SL_1 = (d_.DAY.B[0].High - d_.DAY.B[0].Low);
SYMBOL_UP_S2_TP1_1 = SYMBOL_UP_S2_SL_1 * 4m ;
}
if (
d_.DAY.B[1].Close - d_.DAY.B[1].Open < d_.MINUTE.B[0].Close * 0.001m
)
{
SYMBOL_Signal_Condition_UP_1 = false;
}
if (SYMBOL_Signal_Condition_UP_1 &&
DOWR_SYMBOL_UP_S2 &&
Base.SYMBOL_OCO1_UP_S2_IsReady == true &&
Base.SYMBOL_OCO1_UP_S2_Monthly_IsReady == true)
{
if (SYMBOL_UP_S2_SL_1 != 0)
{
SYMBOL_quantity_UP_S2_1 = (int)Math.Floor(algorithm.Portfolio.GetBuyingPower(d_.MINUTE.Symbol, 0))/10;
}
SYMBOL_quantity_SL_UP_S2_1 = SYMBOL_quantity_UP_S2_1;
SYMBOL_quantity_TP1_UP_S2_1 = (int)Math.Floor(SYMBOL_quantity_UP_S2_1 * 1m);
Base.SYMBOL_OCO1_EO1_UP_S2 = true;
yield return Insight.Price(d_.MINUTE.Symbol, TimeSpan.FromMinutes(5), InsightDirection.Up, null, null, null, 0.1);
SYMBOL_OCO1_MO1_UP_S2 = algorithm.MarketOrder(d_.MINUTE.Symbol, SYMBOL_quantity_TP1_UP_S2_1, false,"SYMBOL_UP_S2_Entry_TP1_OCO1");
Base.SYMBOL_OCO1_EO1_UP_S2 = false;
Base.SYMBOL_OCO1_UP_S2_IsReady = false;
if (Base.SYMBOL_OCO1_UP_S2_IsReady == false)
break;
}
yield break;
}
}
}
}
}
}
}
}using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;
namespace QuantConnect
{
public partial class Base
{
public static Symbol _SYMBOL;
///oco1 up
public static OrderTicket SYMBOL_OCO1_MO1_UP_S2;
public static int SYMBOL_OCO1_EO1_UP_S2_ID ;
public static bool SYMBOL_OCO1_EO1_UP_S2 ;
public static Func<QCAlgorithm, string, decimal, decimal, SYMBOL_OCO1_UP_S2> SYMBOL_OOFE_OCO1_UP_S2_1 ;
public static SYMBOL_OCO1_UP_S2 SYMBOL_PFO_OCO1_UP_S2_1 ;
public static List<SYMBOL_OCO1_UP_S2> SYMBOL_UP_S2_OCO1Sets1 = new List<SYMBOL_OCO1_UP_S2>();
public static bool SYMBOL_OCO1_UP_S2_IsReady = true;
public static bool SYMBOL_OCO1_UP_S2_Monthly_IsReady = true;
//oco1 down
public static OrderTicket SYMBOL_OCO1_MO1_DOWN_S2 ;
public static int SYMBOL_OCO1_EO1_DOWN_S2_ID ;
public static bool SYMBOL_OCO1_EO1_DOWN_S2 ;
public static Func<QCAlgorithm, string, decimal, decimal, SYMBOL_OCO1_DOWN_S2> SYMBOL_OOFE_OCO1_DOWN_S2_1 ;
public static SYMBOL_OCO1_DOWN_S2 SYMBOL_PFO_OCO1_DOWN_S2_1 ;
public static List<SYMBOL_OCO1_DOWN_S2> SYMBOL_DOWN_S2_OCO1Sets1 = new List<SYMBOL_OCO1_DOWN_S2>();
public static bool SYMBOL_OCO1_DOWN_S2_IsReady = true;
public static bool SYMBOL_OCO1_DOWN_S2_Monthly_IsReady = true;
////////////////////////////
public static decimal SYMBOL_UP_S2_SL_1 {get; set;}
public static decimal SYMBOL_UP_S2_TP1_1 {get; set;}
public static decimal SYMBOL_DOWN_S2_SL_1 {get; set;}
public static decimal SYMBOL_DOWN_S2_TP1_1 {get; set;}
public static bool SYMBOL_Signal_Condition_UP_1 ;
public static bool SYMBOL_Signal_Condition_DOWN_1 ;
public static int SYMBOL_UP_S2_OCO_DELAY_7DAY = 43200;
public static int SYMBOL_DOWN_S2_OCO_DELAY_7DAY = 43200;
public static bool DOWR_SYMBOL_UP_S2 ;
public static bool DOWM_SYMBOL_UP_S2 ;
public static bool DOWT_SYMBOL_UP_S2 ;
public static bool DOWW_SYMBOL_UP_S2 ;
public static bool DOWTH_SYMBOL_UP_S2 ;
public static bool DOWR_SYMBOL_DOWN_S2 ;
public static bool DOWM_SYMBOL_DOWN_S2 ;
public static bool DOWT_SYMBOL_DOWN_S2 ;
public static bool DOWW_SYMBOL_DOWN_S2 ;
public static bool DOWTH_SYMBOL_DOWN_S2 ;
public static decimal SYMBOL_quantity_UP_S2_1 ;
public static decimal SYMBOL_quantity_SL_UP_S2_1 ;
public static decimal SYMBOL_quantity_TP1_UP_S2_1 ;
public static decimal SYMBOL_quantity_DOWN_S2_1 ;
public static decimal SYMBOL_quantity_SL_DOWN_S2_1 ;
public static decimal SYMBOL_quantity_TP1_DOWN_S2_1 ;
}
}using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;
namespace QuantConnect
{
public struct SYMBOL_UP_S2_OnOrderEvent
{
private QCAlgorithm _algorithm;
public SYMBOL_UP_S2_OnOrderEvent(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
public void OnOrderEvent(QCAlgorithm _algorithm, OrderEvent orderEvent)
{
var OrderID = _algorithm.Transactions.GetOrderById(orderEvent.OrderId);
if (orderEvent.Status == OrderStatus.Filled)
{
if (OrderID.Tag.StartsWith("SYMBOL OCO1 CANCEL 1 UP S2") ||
OrderID.Tag.StartsWith("SYMBOL OCO1 CANCEL 2 UP S2"))
{
_algorithm.MarketOrder(OrderID.Symbol, -OrderID.Quantity, false, "OrderID rescue SYMBOL S2");
}
}
if (Base.SYMBOL_OCO1_EO1_UP_S2)
Base.SYMBOL_OCO1_EO1_UP_S2_ID = orderEvent.OrderId;
if (orderEvent.Status == OrderStatus.Filled || orderEvent.Status == OrderStatus.PartiallyFilled)
{
if (orderEvent.OrderId == Base.SYMBOL_OCO1_EO1_UP_S2_ID)
{
Base.SYMBOL_OOFE_OCO1_UP_S2_1 = (algo1, symbol, filledPrice, fillQ) =>
{
return new SYMBOL_OCO1_UP_S2(
algo1.LimitOrder(orderEvent.Symbol, -orderEvent.Quantity, orderEvent.FillPrice + Base.SYMBOL_UP_S2_TP1_1,"TP1_SYMBOL_UP_S2_OCO1"),
algo1.StopMarketOrder(orderEvent.Symbol, -orderEvent.Quantity, orderEvent.FillPrice - Base.SYMBOL_UP_S2_SL_1,"SL_TP1_SYMBOL_UP_S2_OCO1"));
};
Base.SYMBOL_UP_S2_OCO1Sets1.Add( Base.SYMBOL_OOFE_OCO1_UP_S2_1(_algorithm, orderEvent.Symbol, orderEvent.FillPrice, orderEvent.Quantity));
Base.SYMBOL_OCO1_EO1_UP_S2_ID = -1;
}
int SYMBOL_OCO1S1_UP_S2 = 0;
for (; SYMBOL_OCO1S1_UP_S2 < Base.SYMBOL_UP_S2_OCO1Sets1.Count; SYMBOL_OCO1S1_UP_S2++)
if (Base.SYMBOL_UP_S2_OCO1Sets1[SYMBOL_OCO1S1_UP_S2].InOrders(orderEvent.OrderId))
{
Base.SYMBOL_UP_S2_OCO1Sets1[SYMBOL_OCO1S1_UP_S2].Filled();
Base.SYMBOL_UP_S2_OCO1Sets1.RemoveAt(SYMBOL_OCO1S1_UP_S2);
SYMBOL_OCO1S1_UP_S2 = 0;
break;
}
}
}
}
}using System.Linq;
using System.Collections.Generic;
using QuantConnect.Orders;
using NodaTime;
using NodaTime.TimeZones;
namespace QuantConnect
{
public struct SYMBOL_OCO1_DOWN_S2
{
public SYMBOL_OCO1_DOWN_S2(params OrderTicket[] orderTickets)
{
this.OrderTickets = orderTickets;
}
private OrderTicket[] OrderTickets { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTickets)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 1 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 2 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 3 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 4 DOWN S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTickets)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 1 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 2 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 3 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 4 DOWN S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTickets)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO1_UP_S2
{
public SYMBOL_OCO1_UP_S2(params OrderTicket[] orderTicketsUp)
{
this.OrderTicketsUp = orderTicketsUp;
}
private OrderTicket[] OrderTicketsUp { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 1 UP S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 2 UP S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 3 UP S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 4 UP S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 1 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 2 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 3 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO1" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO1"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 4 UP S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsUp)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO2_DOWN_S2
{
public SYMBOL_OCO2_DOWN_S2(params OrderTicket[] orderTicketsDown)
{
this.OrderTicketsDown = orderTicketsDown;
}
private OrderTicket[] OrderTicketsDown { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 1 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 2 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 3 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 4 DOWN S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 1 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 2 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 3 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO1 CANCEL 4 DOWN S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsDown)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO2_UP_S2
{
public SYMBOL_OCO2_UP_S2(params OrderTicket[] orderTicketsUp)
{
this.OrderTicketsUp = orderTicketsUp;
}
private OrderTicket[] OrderTicketsUp { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 1 UP S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 2 UP S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 3 UP S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 4 UP S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 1 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 2 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 3 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO2" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO2"))
{
orderTicket.Cancel("SYMBOL OCO2 CANCEL 4 UP S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsUp)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO3_DOWN_S2
{
public SYMBOL_OCO3_DOWN_S2(params OrderTicket[] orderTicketsDown)
{
this.OrderTicketsDown = orderTicketsDown;
}
private OrderTicket[] OrderTicketsDown { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 1 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 2 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 3 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 4 DOWN S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 1 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 2 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 3 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 4 DOWN S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsDown)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO3_UP_S2
{
public SYMBOL_OCO3_UP_S2(params OrderTicket[] orderTicketsUp)
{
this.OrderTicketsUp = orderTicketsUp;
}
private OrderTicket[] OrderTicketsUp { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 1 UP S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 2 UP S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 3 UP S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 4 UP S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 1 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 2 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 3 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO3" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO3"))
{
orderTicket.Cancel("SYMBOL OCO3 CANCEL 4 UP S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsUp)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO4_DOWN_S2
{
public SYMBOL_OCO4_DOWN_S2(params OrderTicket[] orderTicketsDown)
{
this.OrderTicketsDown = orderTicketsDown;
}
private OrderTicket[] OrderTicketsDown { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 1 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 2 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 3 DOWN S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 4 DOWN S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsDown)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 1 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 2 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 3 DOWN S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_DOWN_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_DOWN_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 4 DOWN S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsDown)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
public struct SYMBOL_OCO4_UP_S2
{
public SYMBOL_OCO4_UP_S2(params OrderTicket[] orderTicketsUp)
{
this.OrderTicketsUp = orderTicketsUp;
}
private OrderTicket[] OrderTicketsUp { get; set; }
public void Filled()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 1 UP S2");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 2 UP S2");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 3 UP S2");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 4 UP S2");
}
}
}
}
public void TimeOut()
{
// Cancel all the outstanding tickets.
foreach (var orderTicket in this.OrderTicketsUp)
{
if (orderTicket.Status == OrderStatus.Submitted)
{
if(orderTicket.Tag.StartsWith("TP1_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP1_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 1 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP2_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP2_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 2 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP3_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP3_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 3 UP S2 TIMEOUT");
}
if(orderTicket.Tag.StartsWith("TP4_SYMBOL_UP_S2_OCO4" ) || orderTicket.Tag.StartsWith("SL_TP4_SYMBOL_UP_S2_OCO4"))
{
orderTicket.Cancel("SYMBOL OCO4 CANCEL 4 UP S2 TIMEOUT");
}
}
}
}
public bool InOrders(int orderId)
{
foreach (var orderTicket in this.OrderTicketsUp)
if (orderTicket.OrderId == orderId)
return true;
return false;
}
}
}using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;
namespace QuantConnect
{
public struct SYMBOL_DOWN_S2_OnOrderEvent
{
private QCAlgorithm _algorithm;
public SYMBOL_DOWN_S2_OnOrderEvent(QCAlgorithm algorithm)
{
_algorithm = algorithm;
}
public void OnOrderEvent(QCAlgorithm _algorithm, OrderEvent orderEvent)
{
var OrderID = _algorithm.Transactions.GetOrderById(orderEvent.OrderId);
if (orderEvent.Status == OrderStatus.Filled)
{
if (OrderID.Tag.StartsWith("SYMBOL OCO1 CANCEL 1 DOWN S2") ||
OrderID.Tag.StartsWith("SYMBOL OCO1 CANCEL 2 DOWN S2"))
{
_algorithm.MarketOrder(OrderID.Symbol, -OrderID.Quantity, false, "OrderID rescue SYMBOL S2");
}
}
if (Base.SYMBOL_OCO1_EO1_DOWN_S2)
Base.SYMBOL_OCO1_EO1_DOWN_S2_ID = orderEvent.OrderId;
if (orderEvent.Status == OrderStatus.Filled || orderEvent.Status == OrderStatus.PartiallyFilled)
{
if (orderEvent.OrderId == Base.SYMBOL_OCO1_EO1_DOWN_S2_ID)
{
Base.SYMBOL_OOFE_OCO1_DOWN_S2_1 = (algo1, symbol, filledPrice, fillQ) =>
{
return new SYMBOL_OCO1_DOWN_S2(
algo1.StopMarketOrder(orderEvent.Symbol, -orderEvent.Quantity, orderEvent.FillPrice + Base.SYMBOL_DOWN_S2_SL_1,"SL_TP1_SYMBOL_DOWN_S2_OCO1"),
algo1.LimitOrder(orderEvent.Symbol, -orderEvent.Quantity, orderEvent.FillPrice - Base.SYMBOL_DOWN_S2_TP1_1,"TP1_SYMBOL_DOWN_S2_OCO1"));
};
Base.SYMBOL_DOWN_S2_OCO1Sets1.Add( Base.SYMBOL_OOFE_OCO1_DOWN_S2_1(_algorithm, orderEvent.Symbol, orderEvent.FillPrice, orderEvent.Quantity));
Base.SYMBOL_OCO1_EO1_DOWN_S2_ID = -1;
}
int SYMBOL_OCO1S1_DOWN_S2 = 0;
for (; SYMBOL_OCO1S1_DOWN_S2 < Base.SYMBOL_DOWN_S2_OCO1Sets1.Count; SYMBOL_OCO1S1_DOWN_S2++)
if (Base.SYMBOL_DOWN_S2_OCO1Sets1[SYMBOL_OCO1S1_DOWN_S2].InOrders(orderEvent.OrderId))
{
Base.SYMBOL_DOWN_S2_OCO1Sets1[SYMBOL_OCO1S1_DOWN_S2].Filled();
Base.SYMBOL_DOWN_S2_OCO1Sets1.RemoveAt(SYMBOL_OCO1S1_DOWN_S2);
SYMBOL_OCO1S1_DOWN_S2 = 0;
break;
}
}
}
}
}using System;
namespace QuantConnect.Data.Consolidators
{
[Obsolete("CalendarType is obsolete, please use Calendar instead")]
public static class CalendarTypee
{
/// <summary>
/// Computes the start of week (previous Monday) of given date/time
/// </summary>
public static Func<DateTime, CalendarInfo> Weekly => Calendar.Weekly;
/// <summary>
/// Computes the start of month (1st of the current month) of given date/time
/// </summary>
public static Func<DateTime, CalendarInfo> Monthly => Calendar.Monthly;
public static Func<DateTime, CalendarInfo> Yearly => Calendar.Yearly;
public static Func<DateTime, CalendarInfo> Quarterly => Calendar.Quarterly;
}
}