chore: import upstream snapshot with attribution
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wehub-resource-sync
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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 System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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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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/// Execution model that submits orders while the current market price is more favorable that the current volume weighted average price.
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/// </summary>
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public class VolumeWeightedAveragePriceExecutionModel : ExecutionModel
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{
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private readonly PortfolioTargetCollection _targetsCollection = new PortfolioTargetCollection();
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private readonly Dictionary<Symbol, SymbolData> _symbolData = new Dictionary<Symbol, SymbolData>();
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/// <summary>
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/// Gets or sets the maximum order quantity as a percentage of the current bar's volume.
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/// This defaults to 0.01m = 1%. For example, if the current bar's volume is 100, then
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/// the maximum order size would equal 1 share.
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/// </summary>
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public decimal MaximumOrderQuantityPercentVolume { get; set; } = 0.01m;
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/// <summary>
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/// Initializes a new instance of the <see cref="VolumeWeightedAveragePriceExecutionModel"/> 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 VolumeWeightedAveragePriceExecutionModel(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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/// 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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// update the complete set of portfolio targets with the new targets
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_targetsCollection.AddRange(targets);
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// for performance we check count value, 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 symbol = target.Symbol;
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// calculate remaining quantity to be ordered
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var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
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// fetch our symbol data containing our VWAP indicator
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SymbolData data;
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if (!_symbolData.TryGetValue(symbol, out data))
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{
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continue;
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}
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// check order entry conditions
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if (PriceIsFavorable(data, unorderedQuantity))
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{
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// adjust order size to respect maximum order size based on a percentage of current volume
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var orderSize = OrderSizing.GetOrderSizeForPercentVolume(
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data.Security, MaximumOrderQuantityPercentVolume, unorderedQuantity);
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if (orderSize != 0)
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{
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algorithm.MarketOrder(data.Security.Symbol, orderSize, Asynchronous, target.Tag);
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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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foreach (var added in changes.AddedSecurities)
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{
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if (!_symbolData.ContainsKey(added.Symbol))
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{
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_symbolData[added.Symbol] = new SymbolData(algorithm, added);
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}
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}
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foreach (var removed in changes.RemovedSecurities)
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{
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// clean up removed security data
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SymbolData data;
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if (_symbolData.TryGetValue(removed.Symbol, out data))
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{
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if (IsSafeToRemove(algorithm, removed.Symbol))
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{
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_symbolData.Remove(removed.Symbol);
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algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, data.Consolidator);
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}
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}
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}
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}
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/// <summary>
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/// Determines if it's safe to remove the associated symbol data
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/// </summary>
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protected virtual bool IsSafeToRemove(QCAlgorithm algorithm, Symbol symbol)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(IsSafeToRemove), out bool result, algorithm, symbol))
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{
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return result;
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}
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// confirm the security isn't currently a member of any universe
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return !algorithm.UniverseManager.Any(kvp => kvp.Value.ContainsMember(symbol));
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}
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/// <summary>
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/// Determines if the current price is better than VWAP
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/// </summary>
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protected virtual bool PriceIsFavorable(SymbolData data, decimal unorderedQuantity)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(PriceIsFavorable), out bool result, data, unorderedQuantity))
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{
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return result;
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}
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if (unorderedQuantity > 0)
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{
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if (data.Security.BidPrice < data.VWAP)
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{
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return true;
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}
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}
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else
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{
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if (data.Security.AskPrice > data.VWAP)
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{
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return true;
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}
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}
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return false;
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}
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/// <summary>
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/// Symbol data for this Execution Model
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/// </summary>
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protected class SymbolData
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{
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/// <summary>
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/// Security
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// VWAP Indicator
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/// </summary>
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public IntradayVwap VWAP { get; }
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/// <summary>
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/// Data Consolidator
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/// </summary>
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public IDataConsolidator Consolidator { get; }
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/// <summary>
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/// Initialize a new instance of <see cref="SymbolData"/>
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/// </summary>
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public SymbolData(QCAlgorithm algorithm, Security security)
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{
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Security = security;
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Consolidator = algorithm.ResolveConsolidator(security.Symbol, security.Resolution);
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var name = algorithm.CreateIndicatorName(security.Symbol, "VWAP", security.Resolution);
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VWAP = new IntradayVwap(name);
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algorithm.RegisterIndicator(security.Symbol, VWAP, Consolidator, bd => (BaseData)bd);
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}
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}
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}
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}
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