Opening Range Breakout (ORB) Strategy in QQQ

1from AlgorithmImports import *
2# endregion
3
4class OpeningRangeBreakoutORBStrategyinQQQ(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2010, 1, 1)
8self.SetCash(25000)
9
10self.market:Symbol = self.AddEquity("QQQ", Resolution.Minute).Symbol
11self.Consolidate(self.market, timedelta(minutes=5), self.FiveMinuteBarHandler)
12
13self.profit_target_multiplier:float = 10.
14self.max_leverage:float = 4.
15self.risk:float = 0.01 # % of account size 
16self.sl_price:Union[float, None] = None
17self.tp_price:Union[float, None] = None
18
19MarketOnCloseOrder.SubmissionTimeBuffer = timedelta(minutes=1)
20self.Schedule.On(self.DateRules.EveryDay(self.market),
21         self.TimeRules.BeforeMarketClose(self.market, 1),
22         self.BeforeDayClose)
23
24def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
25for security in changes.AddedSecurities:
26    security.SetLeverage(self.max_leverage * 2)
27    security.SetFeeModel(CustomFeeModel())
28
29def BeforeDayClose(self) -> None:
30self.cancel_open_orders()
31self.sl_price = None
32self.tp_price = None
33
34self.MarketOnCloseOrder(self.market, -self.Portfolio[self.market].Quantity, tag='MOC')
35
36def FiveMinuteBarHandler(self, consolidated):
37if consolidated.EndTime.hour == 9 and consolidated.EndTime.minute == 35:
38    first_bar_open:float = consolidated.Open
39    first_bar_close:float = consolidated.Close
40    
41    # long
42    if first_bar_close > first_bar_open: # bullish candle
43        R:float = first_bar_close - consolidated.Low
44        quantity:int = int(min([(self.Portfolio.TotalPortfolioValue * self.risk) / R, (self.max_leverage * self.Portfolio.TotalPortfolioValue) / first_bar_close]))
45        if quantity >= 1:
46            self.sl_price = consolidated.Low
47            self.tp_price = first_bar_close + (R * self.profit_target_multiplier)
48            self.MarketOrder(self.market, quantity, tag='MarketOrder')
49    
50    # short
51    elif first_bar_close < first_bar_open: # bearish candle
52        R:float = consolidated.High - first_bar_close
53        quantity:int = int(min([(self.Portfolio.TotalPortfolioValue * self.risk) / R, (self.max_leverage * self.Portfolio.TotalPortfolioValue) / first_bar_close]))
54        if quantity >= 1:
55            self.sl_price = consolidated.High
56            self.tp_price = first_bar_close - (R * self.profit_target_multiplier)
57            self.MarketOrder(self.market, -quantity, tag='MarketOrder')
58
59def OnOrderEvent(self, orderEvent: OrderEvent) -> None:
60if orderEvent.Status == OrderStatus.Filled:
61    order_ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
62    
63    # NOTE tag text can be altered by lean, for example:
64    # MarketOrder - Warning: fill at stale price {datetime}, using QuoteBar data.
65    # that's the reason 'in' keyword is used
66    if 'MarketOrder' in order_ticket.Tag:
67        self.stop_loss_ticket = self.StopMarketOrder(self.market, -order_ticket.Quantity, self.sl_price)
68        self.take_profit_ticket = self.LimitOrder(self.market, -order_ticket.Quantity, self.tp_price)
69
70    # either SL or TP
71    else:
72        self.cancel_open_orders()
73
74def cancel_open_orders(self) -> None:
75# cancel all opened orders
76orders_to_cancel = self.Transactions.GetOrderTickets(lambda order_ticket: order_ticket.Status not in [OrderStatus.Filled, OrderStatus.Canceled, OrderStatus.Invalid])
77for ticket in orders_to_cancel:
78    response = ticket.Cancel()
79
80# Custom fee model.
81class CustomFeeModel(FeeModel):
82def GetOrderFee(self, parameters):
83fee:float = parameters.Order.AbsoluteQuantity * 0.0005
84return OrderFee(CashAmount(fee, "USD"))