print("Attempting To Initialize")

context.oo = 0

context.max_leverage = 0.0

context.securities_in_results = []

attach_pipeline(custom_pipe(context), 'custom_pipe')

'''

Hypothesis:

small cap equities with a bullish sentiment pop will continue upward overnight

Initialize Schedule:

--------:---------------:------------

time : function : description

--------:---------------:------------

9:30 am : sell : place limit orders for all positions in pipeline (.98 threshold)

2:29 pm : cancel_orders : cancels all open orders that have not been filled

2:30 pm : buy : place proportional orders (1/n) for each security in your current pipeline universe

3:29 pm : cancel_orders :

3:30 pm : buy_2 : retry to place proportional orders (1/n) for each position in positions held with new price data

4:00 pm : cancel_orders :

--------:---------------:------------

Possible improvements:

- is as_of date for sentiment utilized correctly?

- Long only (meant for use on RH), could long/short lower beta?

- Use limit orders?

'''

# run sell function everyday at 9:30 am

schedule_function(sell, date_rules.every_day(), time_rules.market_open()) #open sell orders

# run cancel_order function everyday at 2:29 pm (91 min before market close)

schedule_function(cancel_orders, date_rules.every_day(), time_rules.market_close(minutes = 91))

# run buy function everyday at 2:30 pm

schedule_function(buy, date_rules.every_day(), time_rules.market_close(minutes = 90)) #open buy orders

# run cancel_order function everyday at 3:29 pm

schedule_function(cancel_orders, date_rules.every_day(), time_rules.market_close(minutes = 31)) #close buy orders

# run buy_2 function everyday at 3:30 pm

schedule_function(buy_2, date_rules.every_day(), time_rules.market_close(minutes = 30)) #open buy

# run cancel_order function everyday at 4:00 pm

schedule_function(cancel_orders, date_rules.every_day(), time_rules.market_close())

# no commission on RH

set_commission(commission.PerShare(cost=0.0, min_trade_cost=0.0))

context.longs = []

context.S = []

context.B = []

pipe = Pipeline()

# sma_bear_7 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=7)

# sma_bull_7 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=7)

# sma_bear_6 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=6)

sma_bull_6 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=6)

# sma_bear_5 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=5)

sma_bull_5 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=5)

# sma_bear_4 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=4)

sma_bull_4 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=4)

# sma_bear_3 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=3)

sma_bull_3 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=3)

# sma_bear_2 = SimpleMovingAverage(inputs = [st.bearish_intensity], window_length=2)

sma_bull_2 = SimpleMovingAverage(inputs = [st.bullish_intensity], window_length=2)

bull_1 = st.bullish_intensity.latest

# bear_1 = st.bearish_intensity.latest

volume = USEquityPricing.volume.latest

pipe.add(st.bullish_intensity.latest, 'bullish_intensity')

pipe.add(st.bearish_intensity.latest, 'bearish_intensity')

#pipe.add(st.bear_scored_messages.latest, 'bear_scored_messages')

#pipe.add(st.bull_scored_messages.latest, 'bull_scored_messages')

pipe.add(st.total_scanned_messages.latest, 'total_scanned_messages')

#pipe.set_screen(my_sid_filter & (0.9*sma_bull_45 > sma_bear_45) & (st.total_scanned_messages.latest >= 10) )

total_scan = st.total_scanned_messages.latest

pricing = USEquityPricing.close.latest

pipe.set_screen(

(3.20 < pricing < 5.00)&\

(volume>1000000)&\

(bull_1 > sma_bull_2 < sma_bull_3 < sma_bull_4 < sma_bull_5 < sma_bull_6 > 0)&\

(total_scan >= 10)&\

(bull_1 > 0)

#(bull_1 > bear_1)

)

#pipe.set_screen(my_sid_filter & (sma_10 > sma_50) )

print("Before Trading Start")

context.B = []

context.S = []

context.results = pipeline_output('custom_pipe')

context.securities_in_results = []

context.longs = []

for s in context.results.index:

if data.can_trade(s):

print("closeing positions")

PricingData = data.current(context.portfolio.positions.keys(),'price')

for sec in context.portfolio.positions:

if sec not in context.B:

limit = PricingData[sec]

try:

# order_target_percent(sec,0,style = LimitOrder(0.98*limit))

order_target_percent(sec,0)

context.S.append(sec)

except:

order_target_percent(sec,0)

context.results = pipeline_output('custom_pipe')

context.securities_in_results = []

for s in context.results.index:

context.securities_in_results.append(s)

context.longs= []

if len(context.securities_in_results) > 0.0:

for sec in context.securities_in_results:

if data.can_trade(sec):

context.longs.append(sec)

count = 0

for sec in context.portfolio.positions:

if sec not in context.longs:

count += 1

#if len(context.longs) < 15:

# context.longs = []

PricingData = data.current(context.longs,'price')

for sec in context.longs:

if sec not in context.S:

limit = PricingData[sec]

# order_target_percent(sec, 1.0/len(context.longs), style = LimitOrder(limit) )

order_target_percent(sec, 1.0/len(context.longs))

hold = []

if len(context.portfolio.positions) >= 0: # if you have positions in securities

#if len(context.portfolio.positions) >= 15:

for sec in context.portfolio.positions:

hold.append(sec)

PricingData = data.current(hold,'price')

for sec in context.portfolio.positions:

limit = PricingData[sec]

try:

# order_target_percent(sec, 1.0/len(context.portfolio.positions), style = LimitOrder(limit) )

order_target_percent(sec, 1.0/len(context.portfolio.positions))

except:

for sec, orders in get_open_orders().iteritems():

for oo in orders:

log.info("X CANCELED {0:s} with {1:,d} / {2:,d} filled"\

.format(sec.symbol, oo.filled, oo.amount))

cancel_order(oo)

# Return true if there are pending orders.

has_orders = False

for sec in context.longs:

orders = get_open_orders(sec)

if orders:

#for oo in orders:

#message = 'Open order for {amount} shares in {stock}'

#message = message.format(amount=oo.amount, stock=sec)

#log.info(message)

has_orders = True

while has_orders(context, data):

kill_open_orders(context, data)

print('WARN: KilledOO: TicksOfOpenOrders= ', context.oo)

return

else:

if context.account.leverage > context.max_leverage:

context.max_leverage = context.account.leverage

record(Leverage = context.account.leverage,

pos=len(context.portfolio.positions),

resutls=len(context.securities_in_results),

max_leverage = context.max_leverage,