chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,72 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Orders;
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using QuantConnect.Python;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Provides a base class for execution models
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/// </summary>
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public class ExecutionModel : BasePythonWrapper<ExecutionModel>, IExecutionModel
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{
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/// <summary>
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/// If true, orders should be submitted asynchronously.
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/// </summary>
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protected bool Asynchronous { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="ExecutionModel"/> class.
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/// </summary>
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/// <param name="asynchronous">If true, orders should be submitted asynchronously</param>
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public ExecutionModel(bool asynchronous = true)
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{
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Asynchronous = asynchronous;
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}
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/// <summary>
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/// Submit orders for the specified portfolio targets.
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/// This model is free to delay or spread out these orders as it sees fit
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets just emitted by the portfolio construction model.
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/// These are always just the new/updated targets and not a complete set of targets</param>
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public virtual void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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throw new System.NotImplementedException("Types deriving from 'ExecutionModel' must implement the 'void Execute(QCAlgorithm, IPortfolioTarget[]) method.");
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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}
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/// <summary>
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/// New order event handler
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="orderEvent">Order event to process</param>
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public virtual void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent)
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{
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}
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}
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}
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@@ -0,0 +1,90 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using Python.Runtime;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Orders;
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using QuantConnect.Python;
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using System;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Provides an implementation of <see cref="IExecutionModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class ExecutionModelPythonWrapper : ExecutionModel
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{
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private readonly bool _onOrderEventsDefined;
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/// <summary>
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/// Constructor for initialising the <see cref="IExecutionModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining how to execute trades to reach a portfolio target</param>
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public ExecutionModelPythonWrapper(PyObject model)
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{
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SetPythonInstance(model, false);
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foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" })
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{
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if (!HasAttr(attributeName))
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{
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throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
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}
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}
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_onOrderEventsDefined = HasAttr("OnOrderEvent");
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var methodName = nameof(SetPythonInstance);
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if (HasAttr(methodName))
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{
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InvokeMethod(methodName, model);
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}
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}
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/// <summary>
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/// Submit orders for the specified portfolio targets.
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/// This model is free to delay or spread out these orders as it sees fit
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets to be ordered</param>
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public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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InvokeMethod(nameof(Execute), algorithm, targets).Dispose();
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose();
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}
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/// <summary>
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/// New order event handler
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="orderEvent">Order event to process</param>
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public override void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent)
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{
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if (_onOrderEventsDefined)
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{
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InvokeMethod(nameof(OnOrderEvent), algorithm, orderEvent).Dispose();
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}
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}
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}
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}
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@@ -0,0 +1,42 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Algorithm framework model that executes portfolio targets
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/// </summary>
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public interface IExecutionModel : INotifiedSecurityChanges
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{
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/// <summary>
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/// Submit orders for the specified portfolio targets.
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/// This model is free to delay or spread out these orders as it sees fit
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets just emitted by the portfolio construction model.
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/// These are always just the new/updated targets and not a complete set of targets</param>
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void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets);
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/// <summary>
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/// New order event handler
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="orderEvent">Order event to process</param>
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void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent);
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}
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}
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@@ -0,0 +1,86 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Provides an implementation of <see cref="IExecutionModel"/> that immediately submits
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/// market orders to achieve the desired portfolio targets
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/// </summary>
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public class ImmediateExecutionModel : ExecutionModel
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{
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private readonly PortfolioTargetCollection _targetsCollection = new PortfolioTargetCollection();
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/// <summary>
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/// Initializes a new instance of the <see cref="ImmediateExecutionModel"/> class.
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/// </summary>
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/// <param name="asynchronous">If true, orders will be submitted asynchronously</param>
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public ImmediateExecutionModel(bool asynchronous = true)
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: base(asynchronous)
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{
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}
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/// <summary>
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/// Immediately submits orders for the specified portfolio targets.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets to be ordered</param>
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public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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_targetsCollection.AddRange(targets);
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// for performance we if empty, OrderByMarginImpact and ClearFulfilled are expensive to call
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if (!_targetsCollection.IsEmpty)
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{
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foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
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{
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var security = algorithm.Securities[target.Symbol];
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// calculate remaining quantity to be ordered
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var quantity = OrderSizing.GetUnorderedQuantity(algorithm, target, security, true);
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if (quantity != 0)
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{
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if (security.BuyingPowerModel.AboveMinimumOrderMarginPortfolioPercentage(security, quantity,
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algorithm.Portfolio, algorithm.Settings.MinimumOrderMarginPortfolioPercentage))
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{
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algorithm.MarketOrder(security, quantity, Asynchronous, target.Tag);
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}
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else if (!PortfolioTarget.MinimumOrderMarginPercentageWarningSent.HasValue)
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{
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// will trigger the warning if it has not already been sent
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PortfolioTarget.MinimumOrderMarginPercentageWarningSent = false;
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}
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}
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}
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_targetsCollection.ClearFulfilled(algorithm);
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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}
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}
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}
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@@ -0,0 +1,52 @@
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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class ImmediateExecutionModel(ExecutionModel):
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'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
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def __init__(self, asynchronous=True):
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'''Initializes a new instance of the ImmediateExecutionModel class.
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Args:
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asynchronous: If True, orders will be submitted asynchronously.'''
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super().__init__(asynchronous)
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self.targets_collection = PortfolioTargetCollection()
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def execute(self, algorithm, targets):
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'''Immediately submits orders for the specified portfolio targets.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets to be ordered'''
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# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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self.targets_collection.add_range(targets)
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if not self.targets_collection.is_empty:
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for target in self.targets_collection.order_by_margin_impact(algorithm):
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security = algorithm.securities[target.symbol]
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# calculate remaining quantity to be ordered
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quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
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if quantity != 0:
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above_minimum_portfolio = BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(
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security.buying_power_model,
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security,
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quantity,
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algorithm.portfolio,
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algorithm.settings.minimum_order_margin_portfolio_percentage)
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if above_minimum_portfolio:
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algorithm.market_order(security, quantity, self.asynchronous, target.tag)
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elif not PortfolioTarget.minimum_order_margin_percentage_warning_sent:
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# will trigger the warning if it has not already been sent
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PortfolioTarget.minimum_order_margin_percentage_warning_sent = False
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self.targets_collection.clear_fulfilled(algorithm)
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@@ -0,0 +1,35 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
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*
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* Unless required by applicable law or agreed to in writing, software
|
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* distributed under the License is distributed on an "AS IS" BASIS,
|
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* 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.
|
||||
*/
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Provides an implementation of <see cref="IExecutionModel"/> that does nothing
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/// </summary>
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public class NullExecutionModel : ExecutionModel
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{
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/// <summary>
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/// Execute the ExecutionModel
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/// </summary>
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/// <param name="algorithm">The Algorithm to execute this model on</param>
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/// <param name="targets">The portfolio targets</param>
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public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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// NOP
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}
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}
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}
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@@ -0,0 +1,19 @@
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
|
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
|
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
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# See the License for the specific language governing permissions and
|
||||
# limitations under the License.
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from AlgorithmImports import *
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class NullExecutionModel(ExecutionModel):
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'''Provides an implementation of IExecutionModel that does nothing'''
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def execute(self, algorithm, targets):
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pass
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Block a user