C# IAlgorithm.OnEndOfDay方法代码示例

        /// <summary>
        /// Creates a new <see cref="ScheduledEvent"/> that will fire before market close by the specified time 
        /// </summary>
        /// <param name="algorithm">The algorithm instance the event is fo</param>
        /// <param name="resultHandler">The result handler, used to communicate run time errors</param>
        /// <param name="security">The security used for defining tradeable dates</param>
        /// <param name="start">The first date for the events</param>
        /// <param name="end">The date to end the events</param>
        /// <param name="endOfDayDelta">The time difference between the market close and the event, positive time will fire before market close</param>
        /// <param name="currentUtcTime">Specfies the current time in UTC, before which, no events will be scheduled. Specify null to skip this filter.</param>
        /// <returns>The new <see cref="ScheduledEvent"/> that will fire near market close each tradeable dat</returns>
        public static ScheduledEvent EverySecurityEndOfDay(IAlgorithm algorithm, IResultHandler resultHandler, Security security, DateTime start, DateTime end, TimeSpan endOfDayDelta, DateTime? currentUtcTime = null)
        {
            if (endOfDayDelta >= Time.OneDay)
            {
                throw new ArgumentException("Delta must be less than a day", "endOfDayDelta");
            }

            // define all the times we want this event to be fired, every tradeable day for the securtiy
            // at the delta time before market close expressed in UTC
            var times =
                // for every date the exchange is open for this security
                from date in Time.EachTradeableDay(security, start, end)
                // get the next market close for the specified date
                let marketClose = security.Exchange.Hours.GetNextMarketClose(date, security.IsExtendedMarketHours)
                // define the time of day we want the event to fire before marketclose
                let eventTime = marketClose.Subtract(endOfDayDelta)
                // convert the event time into UTC
                let eventUtcTime = eventTime.ConvertToUtc(security.Exchange.TimeZone)
                // perform filter to verify it's not before the current time
                where !currentUtcTime.HasValue || eventUtcTime > currentUtcTime
                select eventUtcTime;

            return new ScheduledEvent(CreateEventName(security.Symbol, "EndOfDay"), times, (name, triggerTime) =>
            {
                try
                {
                    algorithm.OnEndOfDay(security.Symbol);
                }
                catch (Exception err)
                {
                    resultHandler.RuntimeError(string.Format("Runtime error in {0} event: {1}", name, err.Message), err.StackTrace);
                    Log.Error(string.Format("ScheduledEvent.{0}: {1}", name, err.Message));
                }
            });
        }

        /// <summary>
        /// Creates a new <see cref="ScheduledEvent"/> that will fire before market close by the specified time 
        /// </summary>
        /// <param name="algorithm">The algorithm instance the event is fo</param>
        /// <param name="resultHandler">The result handler, used to communicate run time errors</param>
        /// <param name="start">The date to start the events</param>
        /// <param name="end">The date to end the events</param>
        /// <param name="endOfDayDelta">The time difference between the market close and the event, positive time will fire before market close</param>
        /// <param name="currentUtcTime">Specfies the current time in UTC, before which, no events will be scheduled. Specify null to skip this filter.</param>
        /// <returns>The new <see cref="ScheduledEvent"/> that will fire near market close each tradeable dat</returns>
        public static ScheduledEvent EveryAlgorithmEndOfDay(IAlgorithm algorithm, IResultHandler resultHandler, DateTime start, DateTime end, TimeSpan endOfDayDelta, DateTime? currentUtcTime = null)
        {
            if (endOfDayDelta >= Time.OneDay)
            {
                throw new ArgumentException("Delta must be less than a day", "endOfDayDelta");
            }

            // set up an event to fire every tradeable date for the algorithm as a whole
            var eodEventTime = Time.OneDay.Subtract(endOfDayDelta);

            // create enumerable of end of day in algorithm's time zone
            var times =
                // for every date any exchange is open in the algorithm
                from date in Time.EachTradeableDay(algorithm.Securities.Values, start, end)
                // define the time of day we want the event to fire, a little before midnight
                let eventTime = date + eodEventTime
                // convert the event time into UTC
                let eventUtcTime = eventTime.ConvertToUtc(algorithm.TimeZone)
                // perform filter to verify it's not before the current time
                where !currentUtcTime.HasValue || eventUtcTime > currentUtcTime.Value
                select eventUtcTime;

            return new ScheduledEvent(CreateEventName("Algorithm", "EndOfDay"), times, (name, triggerTime) =>
            {
                Log.Debug(string.Format("ScheduledEvent.{0}: Firing at {1}", name, triggerTime));
                try
                {
                    algorithm.OnEndOfDay();
                    Log.Debug(string.Format("ScheduledEvent.{0}: Fired On End of Day Event() for Day({1})", name, triggerTime.ToShortDateString()));
                }
                catch (Exception err)
                {
                    resultHandler.RuntimeError(string.Format("Runtime error in {0} event: {1}", name, err.Message), err.StackTrace);
                    Log.Error(string.Format("ScheduledEvent.{0}: {1}", name, err.Message));
                }
            });
        }