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 SpreadExecutionModel(ExecutionModel):
+    '''Execution model that submits orders while the current spread is tight.
+       Note this execution model will not work using Resolution.DAILY since Exchange.exchange_open will be false, suggested resolution is Minute
+    '''
+
+    def __init__(self, accepting_spread_percent=0.005, asynchronous=True):
+        '''Initializes a new instance of the SpreadExecutionModel class'''
+        super().__init__(asynchronous)
+        self.targets_collection = PortfolioTargetCollection()
+
+        # Gets or sets the maximum spread compare to current price in percentage.
+        self.accepting_spread_percent = Math.abs(accepting_spread_percent)
+
+    def execute(self, algorithm, targets):
+        '''Executes market orders if the spread percentage to price is in desirable range.
+       Args:
+           algorithm: The algorithm instance
+           targets: The portfolio targets'''
+        # update the complete set of portfolio targets with the new targets
+        self.targets_collection.add_range(targets)
+
+        # for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
+        if not self.targets_collection.is_empty:
+            for target in self.targets_collection.order_by_margin_impact(algorithm):
+                symbol = target.symbol
+
+                # calculate remaining quantity to be ordered
+                unordered_quantity = OrderSizing.get_unordered_quantity(algorithm, target)
+
+                # check order entry conditions
+                if unordered_quantity != 0:
+                    # get security information
+                    security = algorithm.securities[symbol]
+                    if self.spread_is_favorable(security):
+                        algorithm.market_order(symbol, unordered_quantity, self.asynchronous, target.tag)
+
+            self.targets_collection.clear_fulfilled(algorithm)
+
+    def spread_is_favorable(self, security):
+        '''Determines if the spread is in desirable range.'''
+        # Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage < 0 by error
+        # Has to be in opening hours of exchange to avoid extreme spread in OTC period
+        return security.exchange.exchange_open \
+            and security.price > 0 and security.ask_price > 0 and security.bid_price > 0 \
+            and (security.ask_price - security.bid_price) / security.price <= self.accepting_spread_percent