public override void Initialize() { UniverseSettings.Resolution = Resolution.Hour; SetStartDate(2015, 01, 05); SetEndDate(2015, 11, 09); SetCash(1000*1000); AddUniverse("equities-lab-universe", date => { using (var client = new WebClient()) { //2014-12-30 var file = client.DownloadString(String.Format(EquitiesLabUrlFormat, EquitiesLabKey, EquitiesLabScreener, date.ToString("yyyy-MM-dd"))); var response = JsonConvert.DeserializeObject<EquitiesLabResponse>(file); _todaysResponse = new EquitiesLabResponse(); _todaysResponse.Securities = response.Securities.Where(x => ValidSymbols.Contains(x.Ticker)).ToList(); return _todaysResponse.Securities.Select(x => x.Ticker); } }); // cancell all orders at EOD Schedule.Event("Cancel Open Orders").EveryDay().At(TimeSpan.FromHours(16)).Run(() => { foreach (var ticket in Transactions.GetOrderTickets(x => x.Status.IsOpen())) { ticket.Cancel(); } }); }
public override void Initialize() { UniverseSettings.Resolution = Resolution.Hour; SetStartDate(2015, 01, 05); SetEndDate(2015, 11, 09); SetCash(1000 * 1000); AddUniverse("equities-lab-universe", date => { using (var client = new WebClient()) { //2014-12-30 var file = client.DownloadString(String.Format(EquitiesLabUrlFormat, EquitiesLabKey, EquitiesLabScreener, date.ToString("yyyy-MM-dd"))); var response = JsonConvert.DeserializeObject <EquitiesLabResponse>(file); _todaysResponse = new EquitiesLabResponse(); _todaysResponse.Securities = response.Securities.Where(x => ValidSymbols.Contains(x.Ticker)).ToList(); return(_todaysResponse.Securities.Select(x => x.Ticker)); } }); // cancell all orders at EOD Schedule.Event("Cancel Open Orders").EveryDay().At(TimeSpan.FromHours(16)).Run(() => { foreach (var ticket in Transactions.GetOrderTickets(x => x.Status.IsOpen())) { ticket.Cancel(); } }); }