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 Python.Runtime;
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using QuantConnect.Benchmarks;
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using QuantConnect.Brokerages;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.Shortable;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Orders.Slippage;
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using QuantConnect.Securities;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides an implementation of <see cref="IBrokerageModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class BrokerageModelPythonWrapper : BasePythonWrapper<IBrokerageModel>, IBrokerageModel
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{
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/// <summary>
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/// Constructor for initialising the <see cref="BrokerageModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Models brokerage transactions, fees, and order</param>
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public BrokerageModelPythonWrapper(PyObject model)
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: base(model)
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{
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}
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/// <summary>
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/// Gets or sets the account type used by this model
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/// </summary>
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public AccountType AccountType
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{
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get
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{
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return GetProperty<AccountType>(nameof(AccountType));
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}
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}
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/// <summary>
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/// Gets the brokerages model percentage factor used to determine the required unused buying power for the account.
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/// From 1 to 0. Example: 0 means no unused buying power is required. 0.5 means 50% of the buying power should be left unused.
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/// </summary>
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public decimal RequiredFreeBuyingPowerPercent
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{
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get
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{
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return GetProperty<decimal>(nameof(RequiredFreeBuyingPowerPercent));
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}
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}
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/// <summary>
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/// Gets a map of the default markets to be used for each security type
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/// </summary>
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public IReadOnlyDictionary<SecurityType, string> DefaultMarkets
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{
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get
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{
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using (Py.GIL())
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{
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var markets = GetProperty(nameof(DefaultMarkets)) as dynamic;
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if ((markets as PyObject).TryConvert(out IReadOnlyDictionary<SecurityType, string> csharpDic))
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{
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return csharpDic;
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}
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var dic = new Dictionary<SecurityType, string>();
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foreach (var item in markets)
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{
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using var pyItem = item as PyObject;
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var market = pyItem.As<SecurityType>();
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dic[market] = markets[item];
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}
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(markets as PyObject).Dispose();
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return dic;
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}
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}
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}
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/// <summary>
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/// Applies the split to the specified order ticket
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/// </summary>
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/// <param name="tickets">The open tickets matching the split event</param>
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/// <param name="split">The split event data</param>
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public void ApplySplit(List<OrderTicket> tickets, Split split)
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{
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InvokeMethod(nameof(ApplySplit), tickets, split);
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}
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/// <summary>
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/// Returns true if the brokerage would be able to execute this order at this time assuming
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/// market prices are sufficient for the fill to take place. This is used to emulate the
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/// brokerage fills in backtesting and paper trading. For example some brokerages may not perform
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/// executions during extended market hours. This is not intended to be checking whether or not
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/// the exchange is open, that is handled in the Security.Exchange property.
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/// </summary>
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/// <param name="security">The security being ordered</param>
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/// <param name="order">The order to test for execution</param>
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/// <returns>True if the brokerage would be able to perform the execution, false otherwise</returns>
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public bool CanExecuteOrder(Security security, Order order)
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{
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return InvokeMethod<bool>(nameof(CanExecuteOrder), security, order);
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}
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/// <summary>
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/// Returns true if the brokerage could accept this order. This takes into account
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/// order type, security type, and order size limits.
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/// </summary>
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/// <remarks>
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/// For example, a brokerage may have no connectivity at certain times, or an order rate/size limit
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/// </remarks>
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/// <param name="security">The security being ordered</param>
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/// <param name="order">The order to be processed</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be submitted</param>
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/// <returns>True if the brokerage could process the order, false otherwise</returns>
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public bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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message = null;
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var result = InvokeMethodWithOutParameters<bool>(nameof(CanSubmitOrder), new[] { typeof(BrokerageMessageEvent) },
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out var outParameters, security, order, message);
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message = outParameters[0] as BrokerageMessageEvent;
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return result;
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}
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/// <summary>
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/// Returns true if the brokerage would allow updating the order as specified by the request
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/// </summary>
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/// <param name="security">The security of the order</param>
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/// <param name="order">The order to be updated</param>
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/// <param name="request">The requested updated to be made to the order</param>
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/// <param name="message">If this function returns false, a brokerage message detailing why the order may not be updated</param>
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/// <returns>True if the brokerage would allow updating the order, false otherwise</returns>
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public bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
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{
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message = null;
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var result = InvokeMethodWithOutParameters<bool>(nameof(CanUpdateOrder), new[] { typeof(BrokerageMessageEvent) }, out var outParameters,
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security, order, request, message);
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message = outParameters[0] as BrokerageMessageEvent;
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return result;
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}
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/// <summary>
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/// Get the benchmark for this model
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/// </summary>
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/// <param name="securities">SecurityService to create the security with if needed</param>
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/// <returns>The benchmark for this brokerage</returns>
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public IBenchmark GetBenchmark(SecurityManager securities)
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{
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return InvokeMethodAndWrapResult<IBenchmark>(nameof(GetBenchmark), (pyInstance) => new BenchmarkPythonWrapper(pyInstance), securities);
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}
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/// <summary>
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/// Gets a new fee model that represents this brokerage's fee structure
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/// </summary>
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/// <param name="security">The security to get a fee model for</param>
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/// <returns>The new fee model for this brokerage</returns>
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public IFeeModel GetFeeModel(Security security)
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{
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return InvokeMethodAndWrapResult<IFeeModel>(nameof(GetFeeModel), (pyInstance) => new FeeModelPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Gets a new fill model that represents this brokerage's fill behavior
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/// </summary>
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/// <param name="security">The security to get fill model for</param>
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/// <returns>The new fill model for this brokerage</returns>
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public IFillModel GetFillModel(Security security)
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{
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return InvokeMethodAndWrapResult<IFillModel>(nameof(GetFillModel), (pyInstance) => new FillModelPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Gets the brokerage's leverage for the specified security
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/// </summary>
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/// <param name="security">The security's whose leverage we seek</param>
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/// <returns>The leverage for the specified security</returns>
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public decimal GetLeverage(Security security)
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{
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return InvokeMethod<decimal>(nameof(GetLeverage), security);
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}
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/// <summary>
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/// Gets a new settlement model for the security
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/// </summary>
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/// <param name="security">The security to get a settlement model for</param>
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/// <returns>The settlement model for this brokerage</returns>
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public ISettlementModel GetSettlementModel(Security security)
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{
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return InvokeMethodAndWrapResult<ISettlementModel>(nameof(GetSettlementModel),
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(pyInstance) => new SettlementModelPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Gets a new settlement model for the security
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/// </summary>
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/// <param name="security">The security to get a settlement model for</param>
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/// <param name="accountType">The account type</param>
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/// <returns>The settlement model for this brokerage</returns>
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[Obsolete("Flagged deprecated and will remove December 1st 2018")]
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public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
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{
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return InvokeMethod<ISettlementModel>(nameof(GetSettlementModel), security, accountType);
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}
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/// <summary>
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/// Gets a new slippage model that represents this brokerage's fill slippage behavior
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/// </summary>
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/// <param name="security">The security to get a slippage model for</param>
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/// <returns>The new slippage model for this brokerage</returns>
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public ISlippageModel GetSlippageModel(Security security)
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{
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return InvokeMethodAndWrapResult<ISlippageModel>(nameof(GetSlippageModel),
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(pyInstance) => new SlippageModelPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Determine if this symbol is shortable
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/// </summary>
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/// <param name="algorithm">The algorithm running</param>
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/// <param name="symbol">The symbol to short</param>
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/// <param name="quantity">The amount to short</param>
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/// <returns></returns>
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public bool Shortable(IAlgorithm algorithm, Symbol symbol, decimal quantity)
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{
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return InvokeMethod<bool>(nameof(Shortable), algorithm, symbol, quantity);
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}
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/// <summary>
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/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
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/// For cash accounts, leverage = 1 is used.
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/// </summary>
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/// <param name="security">The security to get a buying power model for</param>
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/// <returns>The buying power model for this brokerage/security</returns>
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public IBuyingPowerModel GetBuyingPowerModel(Security security)
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{
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return InvokeMethodAndWrapResult<IBuyingPowerModel>(nameof(GetBuyingPowerModel),
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(pyInstance) => new BuyingPowerModelPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Gets a new buying power model for the security
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/// </summary>
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/// <param name="security">The security to get a buying power model for</param>
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/// <param name="accountType">The account type</param>
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/// <returns>The buying power model for this brokerage/security</returns>
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[Obsolete("Flagged deprecated and will remove December 1st 2018")]
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public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
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{
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return InvokeMethod<IBuyingPowerModel>(nameof(GetBuyingPowerModel), security, accountType);
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}
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/// <summary>
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/// Gets the shortable provider
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/// </summary>
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/// <returns>Shortable provider</returns>
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public IShortableProvider GetShortableProvider(Security security)
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{
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return InvokeMethodAndWrapResult<IShortableProvider>(nameof(GetShortableProvider),
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(pyInstance) => new ShortableProviderPythonWrapper(pyInstance), security);
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}
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/// <summary>
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/// Convenience method to get the underlying <see cref="IBrokerageModel"/> object from the wrapper.
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/// </summary>
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/// <returns>Underlying <see cref="IBrokerageModel"/> object</returns>
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public IBrokerageModel GetModel()
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{
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using (Py.GIL())
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{
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return Instance.As<IBrokerageModel>();
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}
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}
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/// <summary>
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/// Gets a new margin interest rate model for the security
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/// </summary>
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/// <param name="security">The security to get a margin interest rate model for</param>
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/// <returns>The margin interest rate model for this brokerage</returns>
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public IMarginInterestRateModel GetMarginInterestRateModel(Security security)
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{
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return InvokeMethodAndWrapResult<IMarginInterestRateModel>(nameof(GetMarginInterestRateModel),
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(pyInstance) => new MarginInterestRateModelPythonWrapper(pyInstance), security);
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}
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}
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}
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