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
@@ -0,0 +1,72 @@
+# 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 *
+
+### <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" />
+class BrokerageModelAlgorithm(QCAlgorithm):
+    def initialize(self):
+
+        self.set_cash(100000)            # Set Strategy Cash
+        self.set_start_date(2013,10,7)    # Set Start Date
+        self.set_end_date(2013,10,11)     # Set End Date
+        self.add_equity("SPY", Resolution.SECOND)
+        
+        # there's two ways to set your brokerage model. The easiest would be to call
+        # self.set_brokerage_model( BrokerageName ) # BrokerageName is an enum
+        # self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE)
+        # self.set_brokerage_model(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
+        self.set_brokerage_model(MinimumAccountBalanceBrokerageModel(self,500.00))
+        self.last = 1   
+        
+    def on_data(self, slice):
+        # Simple buy and hold template
+        if not self.portfolio.invested:
+            self.set_holdings("SPY", self.last)
+            if self.portfolio["SPY"].quantity == 0:
+                # each time we fail to purchase we'll decrease our set holdings percentage
+                self.debug(str(self.time) + " - Failed to purchase stock")
+                self.last *= 0.95
+            else:
+                self.debug("{} - Purchased Stock @ SetHoldings( {} )".format(self.time, self.last))
+
+
+class MinimumAccountBalanceBrokerageModel(DefaultBrokerageModel):
+    '''Custom brokerage model that requires clients to maintain a minimum cash balance'''
+    def __init__(self, algorithm, minimum_account_balance):
+        self.algorithm = algorithm
+        self.minimum_account_balance = minimum_account_balance
+    
+    def can_submit_order(self,security, order, message):
+        '''Prevent orders which would bring the account below a minimum cash balance'''
+        message = None
+        # we want to model brokerage requirement of minimum_account_balance cash value in account
+        order_cost = order.get_value(security)
+        cash = self.algorithm.portfolio.cash
+        cash_after_order = cash - order_cost
+        if cash_after_order < self.minimum_account_balance:
+            # return a message describing why we're not allowing this order
+            message = BrokerageMessageEvent(BrokerageMessageType.WARNING, "InsufficientRemainingCapital", "Account must maintain a minimum of ${0} USD at all times. Order ID: {1}".format(self.minimum_account_balance, order.id))
+            self.algorithm.error(str(message))
+            return False
+        return True