/*

* 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.

*/

using System;

using QuantConnect.Data;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// Basic template algorithm simply initializes the date range and cash

/// </summary>

public class LimitFillRegressionAlgorithm : QCAlgorithm

{

/// <summary>

/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

/// </summary>

public override void Initialize()

{

SetStartDate(2013, 10, 07); //Set Start Date

SetEndDate(2013, 10, 11); //Set End Date

SetCash(100000); //Set Strategy Cash

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

AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);

}

/// <summary>

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

/// </summary>

/// <param name="data">TradeBars IDictionary object with your stock data</param>

public override void OnData(Slice data)

{

if (data.Bars.ContainsKey("SPY"))

{

if (Time.TimeOfDay.Ticks%TimeSpan.FromHours(1).Ticks == 0)

{

bool goLong = Time < StartDate + TimeSpan.FromTicks((EndDate - StartDate).Ticks/2);

int negative = goLong ? 1 : -1;

LimitOrder("SPY", negative*10, data["SPY"].Price);

}

}

}

}

}