Quantconnect code for shorting pumped Penny Stocks

PumpTheDump.ipynb

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    "class VentralVerticalGearbox(QCAlgorithm):\n",
    "\n",
    "    def Initialize(self):\n",
    "        self.SetStartDate(2019, 1, 1)  # Set Start Date\n",
    "        self.SetEndDate(2019,2, 1)  # Set End Date\n",
    "        self.SetCash(100000)  # Set Strategy Cash\n",
    "        # Setup universe\n",
    "        self.UniverseSettings.Resolution = Resolution.Minute\n",
    "        self.UniverseSettings.FillForward  = True\n",
    "        self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))\n",
    "        self.AddUniverse(self.SelectCoarse,self.SelectFine)\n",
    "        \n",
    "        # Store yesterday's close in a dictionary for reference\n",
    "        self.coarseclose={}  \n",
    "        # Only enter a trade if today's price [doubles] yesterday's close\n",
    "        self.targetentry=2\n",
    "        # Position sizing\n",
    "        self.numstocks = 100\n",
    "\n",
    "        # Exit when stock rises more tha [1.5] times from the entry level\n",
    "        # Subject to a limit of [10] times the entry level\n",
    "        self.stoplevel = 1.5\n",
    "        self.limitlevel = 10\n",
    "        # Keep track of stop loss orders so we can update them\n",
    "        self.stops = {}        \n",
    "        # Exclude any stocks where the data is incorrect\n",
    "        self.excluded = ['MDIAV','SNDE','WLL','VTL','AMMA']\n",
    "        \n",
    "        # Provide triggers to take action on corporate events\n",
    "        self.symbolchange = {}\n",
    "        self.split = {}\n",
    "        self.exitb4split= {}\n",
    "        \n",
    "        # Provide a trigger to exit stale trades\n",
    "        self.daysintrade={}\n",
    "    \n",
    "    def SelectCoarse(self, coarse):\n",
    "        # Penny Stock filter\n",
    "        myuniverse = [x for x in coarse if x.Price < 2 and x.DollarVolume < 100000]\n",
    "        myuniverse = [x for x in myuniverse if x.Symbol.Value not in self.excluded]\n",
    "        # Clear the closing price dictionary each day before re-populating it\n",
    "        self.coarseclose.clear()  \n",
    "        # Save yesterday's close\n",
    "        for c in myuniverse:\n",
    "            self.coarseclose[c.Symbol] = c.Price\n",
    "        return [x.Symbol for x in myuniverse] # Return filtered stocks for further filtering by the SelectFine\n",
    "        \n",
    "    def SelectFine(self,fine):\n",
    "        fine_filter = [x.Symbol for x in fine] \n",
    "\n",
    "        for f in fine:\n",
    "            # Reset these dictionaries each day\n",
    "            self.symbolchange[f.Symbol] = 0\n",
    "            self.split[f.Symbol] = 0\n",
    "            self.exitb4split[f.Symbol]= 0\n",
    "\n",
    "        return fine_filter\n",
    "\n",
    "\n",
    "    def OnData(self, data):\n",
    "        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.\n",
    "            Arguments:\n",
    "                data: Slice object keyed by symbol containing the stock data\n",
    "        '''\n",
    "        # Mark a symbol change for possible action    \n",
    "        for kvp in data.SymbolChangedEvents:\n",
    "            symbol = kvp.Key\n",
    "            self.symbolchange[symbol] =1\n",
    "        \n",
    "        # Mark a data split so you don't get a false signal on a reverse split \n",
    "        # Necessary because we are using raw unadjusted data\n",
    "        for kvp in data.Splits:\n",
    "            symbol = kvp.Key\n",
    "            value = kvp.Value\n",
    "            if value.Type == 0:\n",
    "                self.exitb4split[symbol] =1\n",
    "            if value.Type == 1:\n",
    "                self.split[symbol] =1\n",
    "\n",
    "            \n",
    "        for kvp in data:\n",
    "            symbol = kvp.Key\n",
    "            openOrders = self.Transactions.GetOpenOrders(symbol)\n",
    "            open = kvp.Value.Open\n",
    "            \n",
    "            # To do: cancel stale entry orders\n",
    "             \n",
    "            # Optional provision to exit positions where \n",
    "            # Corporate actions interfere\n",
    "            \n",
    "            if ((self.Securities[symbol].Invested and \n",
    "                self.Securities[symbol].HasData) and\n",
    "                (self.symbolchange[symbol] ==1 or \n",
    "                self.exitb4split[symbol] ==1)) :\n",
    "                    #cancelledOrders = self.Transactions.CancelOpenOrders(symbol)\n",
    "                    quantity = self.Portfolio[symbol].AbsoluteQuantity\n",
    "                    if quantity < 0:\n",
    "                        #exit_ticket = self.LimitOrder(symbol, -quantity,open, \"Short Cover Split or SymbolChange\")\n",
    "                        #exit_ticket = self.MarketOrder(symbol, quantity,Tag =  \"Short Cover Split or SymbolChange\")\n",
    "                        self.symbolchange[symbol] =3 \n",
    "                        self.exitb4split[symbol] =3\n",
    "             \n",
    "            # Optional cancellation of stale positions           \n",
    "            if (self.Securities[symbol].Invested and \n",
    "                self.Securities[symbol].HasData and\n",
    "                #self.symbolchange[symbol] ==0 and \n",
    "                #self.exitb4split[symbol] ==0 and\n",
    "                symbol in self.daysintrade.keys()):\n",
    "                    #self.Debug(str(self.daysintrade[symbol]))\n",
    "                    if self.daysintrade[symbol]>=10:\n",
    "                        #cancelledOrders = self.Transactions.CancelOpenOrders(symbol)\n",
    "                        quantity = self.Portfolio[symbol].Quantity\n",
    "                        if quantity < 0:\n",
    "                            #exit_ticket = self.LimitOrder(symbol, -quantity,open, \"Exit stale trade\")\n",
    "                            self.daysintrade[symbol]=0\n",
    "            \n",
    "            # Short entry after sharp rise from yesterday's close\n",
    "            # Don't enter if the rise is an illusion caused by a reverse split\n",
    "            if ((not self.Securities[symbol].Invested and \n",
    "                not openOrders) and self.Securities[symbol].HasData and\n",
    "                symbol in self.coarseclose.keys() and\n",
    "                self.split[symbol]==0 and \n",
    "                self.exitb4split[symbol] ==0 and \n",
    "                self.symbolchange[symbol] ==0 and\n",
    "                open >= self.coarseclose[symbol]*self.targetentry and \n",
    "                self.Time.hour <= 15 and self.Time.minute <=00):\n",
    "                    \n",
    "                quantity = int(self.Portfolio.TotalPortfolioValue / self.numstocks / data[symbol].Close)\n",
    "                if quantity < 1:\n",
    "                        continue\n",
    "                # Enter with limit order\n",
    "                enter_ticket = self.LimitOrder(symbol, -quantity,open, \"Short Entry\")\n",
    "                self.daysintrade[symbol]=1\n",
    "\n",
    "    def OnOrderEvent(self, orderEvent):\n",
    "        if orderEvent.Status == OrderStatus.Filled: \n",
    "            order = self.Transactions.GetOrderById(orderEvent.OrderId)\n",
    "            \n",
    "            #Place profit taking and stop loss orders\n",
    "            if order.Tag == \"Short Entry\": \n",
    "            \n",
    "                quantity = orderEvent.AbsoluteFillQuantity\n",
    "                quarter = int(quantity / 4)\n",
    "                final = quantity - 3 * quarter\n",
    "                fill= orderEvent.FillPrice\n",
    "                symbol = orderEvent.Symbol\n",
    "                for i in range(3):\n",
    "                    if i==0:\n",
    "                        order1 = self.LimitOrder(symbol, quarter, fill * (1 + (i+1)*-0.1),\" 1st Profit Taking Limit Order\")\n",
    "                    if i ==1:\n",
    "                        order2 = self.LimitOrder(symbol, quarter, fill * (1 + (i+1)*-0.1),\"2nd Profit Taking Limit Order\")\n",
    "                    if i==2:\n",
    "                        order3 = self.LimitOrder(symbol, quarter, fill * (1 + (i+1)*-0.1),\"3rd Profit Taking Limit Order\")                \n",
    "                    order4 = self.LimitOrder(symbol, final, fill * 0.6,\"4th Profit Taking Limit Order\")\n",
    "                \n",
    "                # Set stop loss\n",
    "                self.stops[symbol] = self.StopLimitOrder(symbol, quantity, fill * self.stoplevel, fill * self.limitlevel,\"Stop Limit Order\")\n",
    "            \n",
    "            # If hit profit target, update stop order quantity\n",
    "            if (order.Tag == \"1st Profit Taking Limit Order\" or\n",
    "                order.Tag == \"2nd Profit Taking Limit Order\" or\n",
    "                order.Tag == \"3rd Profit Taking Limit Order\" or\n",
    "                order.Tag == \"4th Profit Taking Limit Order\"):                   \n",
    "                    updateSettings = UpdateOrderFields()\n",
    "                    updateSettings.Quantity =  - self.Portfolio[orderEvent.Symbol].Quantity\n",
    "                    if updateSettings.Quantity !=0:\n",
    "                        self.stops[orderEvent.Symbol].Update(updateSettings)\n",
    "                    else:\n",
    "                        self.stops[orderEvent.Symbol].Cancel()\n",
    "            \n",
    "    # Increment Stale trade counter\n",
    "    def OnEndOfDay(self):\n",
    "        for kvp in self.Portfolio:\n",
    "            symbol = kvp.Key\n",
    "            holding = kvp.Value \n",
    "            if holding.Invested and symbol in self.daysintrade.keys():\n",
    "                self.daysintrade[symbol] += 1\n"
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