chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.
+
+from AlgorithmImports import *
+
+class ImmediateExecutionModel(ExecutionModel):
+    '''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
+
+    def __init__(self, asynchronous=True):
+        '''Initializes a new instance of the ImmediateExecutionModel class.
+        Args:
+            asynchronous: If True, orders will be submitted asynchronously.'''
+        super().__init__(asynchronous)
+        self.targets_collection = PortfolioTargetCollection()
+
+    def execute(self, algorithm, targets):
+        '''Immediately submits orders for the specified portfolio targets.
+        Args:
+            algorithm: The algorithm instance
+            targets: The portfolio targets to be ordered'''
+        # for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
+        self.targets_collection.add_range(targets)
+        if not self.targets_collection.is_empty:
+            for target in self.targets_collection.order_by_margin_impact(algorithm):
+                security = algorithm.securities[target.symbol]
+                # calculate remaining quantity to be ordered
+                quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
+
+                if quantity != 0:
+                    above_minimum_portfolio = BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(
+                        security.buying_power_model,
+                        security,
+                        quantity,
+                        algorithm.portfolio,
+                        algorithm.settings.minimum_order_margin_portfolio_percentage)
+                    if above_minimum_portfolio:
+                        algorithm.market_order(security, quantity, self.asynchronous, target.tag)
+                    elif not PortfolioTarget.minimum_order_margin_percentage_warning_sent:
+                        # will trigger the warning if it has not already been sent
+                        PortfolioTarget.minimum_order_margin_percentage_warning_sent = False
+
+            self.targets_collection.clear_fulfilled(algorithm)