chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Algorithm.Framework.Portfolio;
+
+namespace QuantConnect.Algorithm.Framework.Execution
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IExecutionModel"/> that immediately submits
+    /// market orders to achieve the desired portfolio targets
+    /// </summary>
+    public class ImmediateExecutionModel : ExecutionModel
+    {
+        private readonly PortfolioTargetCollection _targetsCollection = new PortfolioTargetCollection();
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ImmediateExecutionModel"/> class.
+        /// </summary>
+        /// <param name="asynchronous">If true, orders will be submitted asynchronously</param>
+        public ImmediateExecutionModel(bool asynchronous = true)
+            : base(asynchronous)
+        {
+        }
+
+        /// <summary>
+        /// Immediately submits orders for the specified portfolio targets.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="targets">The portfolio targets to be ordered</param>
+        public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
+        {
+            _targetsCollection.AddRange(targets);
+            // for performance we if empty, OrderByMarginImpact and ClearFulfilled are expensive to call
+            if (!_targetsCollection.IsEmpty)
+            {
+                foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
+                {
+                    var security = algorithm.Securities[target.Symbol];
+
+                    // calculate remaining quantity to be ordered
+                    var quantity = OrderSizing.GetUnorderedQuantity(algorithm, target, security, true);
+
+                    if (quantity != 0)
+                    {
+                        if (security.BuyingPowerModel.AboveMinimumOrderMarginPortfolioPercentage(security, quantity,
+                            algorithm.Portfolio, algorithm.Settings.MinimumOrderMarginPortfolioPercentage))
+                        {
+                            algorithm.MarketOrder(security, quantity, Asynchronous, target.Tag);
+                        }
+                        else if (!PortfolioTarget.MinimumOrderMarginPercentageWarningSent.HasValue)
+                        {
+                            // will trigger the warning if it has not already been sent
+                            PortfolioTarget.MinimumOrderMarginPercentageWarningSent = false;
+                        }
+                    }
+                }
+
+                _targetsCollection.ClearFulfilled(algorithm);
+            }
+        }
+
+        /// <summary>
+        /// Event fired each time the we add/remove securities from the data feed
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
+        /// <param name="changes">The security additions and removals from the algorithm</param>
+        public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
+        {
+        }
+    }
+}