class MultidimensionalVerticalInterceptor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 11, 25) # Set Start Date
self.SetEndDate(2019, 12, 15)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Daily)
def OnData(self, data):
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)
else:
#self.Portfolio["SPY"].Price > self.Portfolio["SPY"].AveragePrice
self.Log(f'Price: {self.Portfolio["SPY"].Price}')
self.Log(f'AvgPrice: {self.Portfolio["SPY"].AveragePrice}')