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Dear Honored Community!
I am a beginner here. I have created a simple FOREX ALGO: I create a list or SMAs for the first period. Than in a second period I compare prices to this first period:
- if current price = an earlier price in an increasing trend I Buy,
- if current price = an earlier price in a decreasing trend I sell.
So far I could define the Buy/Sell conditions correctly. But the Orders are not filled, or only the first Buy is done, the Algo seems to not do further actions for the remaining cases.
I don't have the guiding patterns (like do sell only if I am long, or do Buy only once until a selling case). I made my code as simple as possible to see what is the issue, step-by-step. I have more logging points in comments to see the steps.
I was digging here the forums and tutorials to find out what the Buy method does, how does it generate an order, than an Order Ticket...but no luck so far. Please look at it and let me know any hints, suggestions, thank you.
Another question: what is the simplest way in Python to check the status of my portfolio? (ie. do I have bought Securities, how much, etc.)
Alexandre Catarino
Could you please share your code with the community?
It will make it easier for us to help.
István Kürtösi
#!/usr/bin/python # -*- coding: utf-8 -*- # # Trading Orders Algorithm # # Ref: https://www.quantconnect.com/docs#Trading-and-Orders # https://www.quantconnect.com/docs#Charting # import decimal #from datetime import timedelta, datetime import datetime import pandas as pd import numpy as np class TradingOrdersAlgorithm(QCAlgorithm): # period1 will have the prices to which we will compare possible trade prices period1 = [] def Initialize(self): self.SetCash(5000) self.SetStartDate(2016, 1, 1) self.SetEndDate(2016, 1, 30) self.SetBrokerageModel(BrokerageName.OandaBrokerage) self.AddForex('EURUSD', Resolution.Hour) self.SetBenchmark('EURUSD') self.sma = self.SMA('EURUSD', 12, Resolution.Hour) self.SetWarmup(datetime.timedelta(1)) def OnData(self, slice): # staring and closing dates of pediod1 tlimit1 = datetime.datetime(2016, 1, 3, 23) tlimit2 = datetime.datetime(2016, 1, 5, 23) if self.Portfolio['EURUSD'].IsLong: return price = slice['EURUSD'].Value quoteBar = slice['EURUSD'] # tresh stands for trashhold (or crossing) tresh = price # I write the Ticks into the log to get records to see exactly self.Log('Tick: {0}'.format(price)) # filling up the 1st period if tlimit1 <= slice.Time and tlimit2 >= slice.Time: self.period1.append(price) #checking the number of SMA values in period1 #self.Log('Period1 value: {0}'.format(len(self.period1))) #if we reach the end of the period1, possible tarding prices come if tlimit2 < slice.Time: # go through on each par of the 1st period and do check crossing with tresh for i in range(len(self.period1) - 1): #self.Log('For i is reached!') # ...if cross happens (current prices is between 2 neighbourhood price) if self.period1[i] <= tresh and self.period1[i + 1] \ >= tresh or self.period1[i] >= tresh \ and self.period1[i + 1] <= tresh: # Buy 1000 of EURUSD if the direction of the changes of the means increase # Sell 1000 of EURUSD if the direction of the changes of the means decrease self.Log('Tresh!, Period1i: {0}, Period1i+: {1}, Tresh: {2}'.format(self.period1[i], self.period1[i+1], tresh), ) if self.period1[i] < self.period1[i + 1]: self.Log('Buy should happen!') self.Buy('EURUSD', 100) break if self.period1[i] > self.period1[i + 1]: #Sell is turned off, as to avoid selling if I do not have the security #self.Sell('EURUSD', 100) self.Log('Sell should happen!') break def OnOrderEvent(self, orderEvent): #As I wanted to know the reason why my orders are not filled, I added in log the Order Status: #self.Log('Order Status: {0}'.format(OrderEvent.Status)) # Order Status Submitted: 1 # Order Status Canceled: 5 # Order Status CancelPending: 8 # Order Status Filled: 3 # Order Status Invalid: 7 # Order Status New: 0 # Order Status None: 6 # Order Status PatiallyFiled: 2 if orderEvent.Status == OrderStatus.Submitted \ or orderEvent.Status == OrderStatus.Canceled: #self.Log('Order Event Status under if: {0}'.format(orderEvent.Status)) return if orderEvent.FillQuantity < 0: #self.Log('Order Fill Quantity: {0}'.format(orderEvent.FillQuantity)) self.Transactions.CancelOpenOrders('EURUSD') else: self.Log('Buy/Sell EURUSD at {0}. SMA Value: {1}'.format(orderEvent.FillPrice, self.sma.Current.Value))István Kürtösi
Sorry, I thought my code it was added.
Alexandre Catarino
In this code, there is a check that prevends OnData to continue when we are long EURUSD:
# In OnData, line #27 if self.Portfolio['EURUSD'].IsLong: returnand there is no other event/method that liquidates the position.
István Kürtösi
Aha, I see...thank you, that helps.
István Kürtösi
...actually this tiny info gave me the result I wished! THANKS!
István Kürtösi
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