194e6f6b58
* Update benchmark algorithm to include disabling * Update C# benchmark example algo Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
54 lines
2.2 KiB
Python
54 lines
2.2 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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### <summary>
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### Shows how to set a custom benchmark for you algorithms
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="benchmarks" />
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class CustomBenchmarkAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.AddEquity("SPY", Resolution.Second)
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# Disabling the benchmark / setting to a fixed value
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# self.SetBenchmark(lambda x: 0)
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# Set the benchmark to AAPL US Equity
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self.SetBenchmark(Symbol.Create("AAPL", SecurityType.Equity, Market.USA))
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)
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self.Debug("Purchased Stock")
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tupleResult = SymbolCache.TryGetSymbol("AAPL", None)
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if tupleResult[0]:
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raise Exception("Benchmark Symbol is not expected to be added to the Symbol cache")
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