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.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstrate the usage of the BrokerageModel property to help improve backtesting
+    /// accuracy through simulation of a specific brokerage's rules around restrictions
+    /// on submitting orders as well as fee structure.
+    /// </summary>
+    /// <meta name="tag" content="trading and orders" />
+    /// <meta name="tag" content="brokerage models" />
+    public class BrokerageModelAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must be initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
+
+            // there's two ways to set your brokerage model. The easiest would be to call
+            // SetBrokerageModel( BrokerageName ); // BrokerageName is an enum
+            //SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
+            //SetBrokerageModel(BrokerageName.Default);
+
+            // the other way is to call SetBrokerageModel( IBrokerageModel ) with your
+            // own custom model. I've defined a simple extension to the default brokerage
+            // model to take into account a requirement to maintain 500 cash in the account
+            // at all times
+
+            SetBrokerageModel(new MinimumAccountBalanceBrokerageModel(this, 500.00m));
+        }
+
+        private decimal _last = 1.0m;
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                //fails first several times, we'll keep decrementing until it succeeds
+                SetHoldings("SPY", _last);
+                if (Portfolio["SPY"].Quantity == 0)
+                {
+                    // each time we fail to purchase we'll decrease our set holdings percentage
+                    Debug(Time + " - Failed to purchase stock");
+                    _last *= 0.95m;
+                }
+                else
+                {
+                    Debug(Time + " - Purchased Stock @ SetHoldings( " + _last + " )");
+                }
+            }
+        }
+
+        /// <summary>
+        /// Custom brokerage model that requires clients to maintain a minimum cash balance
+        /// </summary>
+        class MinimumAccountBalanceBrokerageModel : DefaultBrokerageModel
+        {
+            private readonly QCAlgorithm _algorithm;
+            private readonly decimal _minimumAccountBalance;
+
+            public MinimumAccountBalanceBrokerageModel(QCAlgorithm algorithm, decimal minimumAccountBalance)
+            {
+                _algorithm = algorithm;
+                _minimumAccountBalance = minimumAccountBalance;
+            }
+
+            /// <summary>
+            /// Prevent orders which would bring the account below a minimum cash balance
+            /// </summary>
+            public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+            {
+                message = null;
+
+                // we want to model brokerage requirement of _minimumAccountBalance cash value in account
+
+                var orderCost = order.GetValue(security);
+                var cash = _algorithm.Portfolio.Cash;
+                var cashAfterOrder = cash - orderCost;
+                if (cashAfterOrder < _minimumAccountBalance)
+                {
+                    // return a message describing why we're not allowing this order
+                    message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InsufficientRemainingCapital",
+                        $"Account must maintain a minimum of ${_minimumAccountBalance.ToStringInvariant()} USD at all times. " +
+                        $"Order ID: {order.Id.ToStringInvariant()}"
+                    );
+                    return false;
+                }
+                return true;
+            }
+        }
+    }
+}