# 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 clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Data.Market import *

from datetime import datetime, timedelta

### <summary>

### Algorithm used for regression tests purposes

### </summary>

### <meta name="tag" content="regression test" />

class RegressionAlgorithm(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.SetStartDate(2013,10,7) #Set Start Date

self.SetEndDate(2013,10,11) #Set End Date

self.SetCash(10000000) #Set Strategy Cash

# Find more symbols here: http://quantconnect.com/data

self.AddEquity("SPY", Resolution.Tick)

self.AddEquity("BAC", Resolution.Minute)

self.AddEquity("AIG", Resolution.Hour)

self.AddEquity("IBM", Resolution.Daily)

self.__lastTradeTicks = self.StartDate

self.__lastTradeTradeBars = self.__lastTradeTicks

self.__tradeEvery = timedelta(minutes=1)

def OnData(self, data):

'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''

if self.Time - self.__lastTradeTradeBars < self.__tradeEvery:

return

self.__lastTradeTradeBars = self.Time

for kvp in data.Bars:

period = kvp.Value.Period.total_seconds()

if self.roundTime(self.Time, period) != self.Time:

pass

symbol = kvp.Key

holdings = self.Portfolio[symbol]

if not holdings.Invested:

self.MarketOrder(symbol, 10)

else:

self.MarketOrder(symbol, -holdings.Quantity)

def roundTime(self, dt=None, roundTo=60):

"""Round a datetime object to any time laps in seconds

dt : datetime object, default now.

roundTo : Closest number of seconds to round to, default 1 minute.

"""

if dt == None : dt = datetime.now()

seconds = (dt - dt.min).seconds

# // is a floor division, not a comment on following line:

rounding = (seconds+roundTo/2) // roundTo * roundTo

return dt + timedelta(0,rounding-seconds,-dt.microsecond)