chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,331 @@
|
||||
/*
|
||||
* 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 System;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Logging;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect
|
||||
{
|
||||
/// <summary>
|
||||
/// Per-symbol capacity estimations, tightly coupled with the <see cref="CapacityEstimate"/> class.
|
||||
/// </summary>
|
||||
internal class SymbolCapacity
|
||||
{
|
||||
/// <summary>
|
||||
/// The period for which a symbol trade influentiates capacity estimate
|
||||
/// </summary>
|
||||
public static TimeSpan CapacityEffectPeriod = TimeSpan.FromDays(30);
|
||||
|
||||
/// <summary>
|
||||
/// An estimate of how much volume the FX market trades per minute
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Any mentions of "dollar volume" are in account currency. They are not always in dollars.
|
||||
/// </remarks>
|
||||
private const decimal _forexMinuteVolume = 25000000m;
|
||||
|
||||
/// <summary>
|
||||
/// An estimate of how much volume the CFD market trades per minute
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// This is pure estimation since we don't have CFD volume data. Based on 300k per day.
|
||||
/// </remarks>
|
||||
private const decimal _cfdMinuteVolume = 200m;
|
||||
private const decimal _fastTradingVolumeScalingFactor = 2m;
|
||||
|
||||
private readonly IAlgorithm _algorithm;
|
||||
private readonly Symbol _symbol;
|
||||
|
||||
private decimal _previousVolume;
|
||||
private DateTime? _previousTime;
|
||||
|
||||
private bool _isInternal;
|
||||
private decimal _averageDollarVolume;
|
||||
private decimal _resolutionScaleFactor;
|
||||
private decimal _marketCapacityDollarVolume;
|
||||
private bool _resetMarketCapacityDollarVolume;
|
||||
private decimal _fastTradingVolumeDiscountFactor;
|
||||
private OrderEvent _previousOrderEvent;
|
||||
|
||||
/// <summary>
|
||||
/// Total trades made in between snapshots
|
||||
/// </summary>
|
||||
public int Trades { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// The Symbol's Security
|
||||
/// </summary>
|
||||
public Security Security { get; }
|
||||
|
||||
/// <summary>
|
||||
/// The absolute dollar volume (in account currency) we've traded
|
||||
/// </summary>
|
||||
public decimal SaleVolume { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Market capacity dollar volume, i.e. the capacity the market is able to provide for this Symbol
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Dollar volume is in account currency, but name is used for consistency with financial literature.
|
||||
/// </remarks>
|
||||
public decimal MarketCapacityDollarVolume => _marketCapacityDollarVolume * _resolutionScaleFactor;
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new SymbolCapacity object, capable of determining market capacity for a Symbol
|
||||
/// </summary>
|
||||
/// <param name="algorithm"></param>
|
||||
/// <param name="symbol"></param>
|
||||
public SymbolCapacity(IAlgorithm algorithm, Symbol symbol)
|
||||
{
|
||||
_algorithm = algorithm;
|
||||
Security = _algorithm.Securities[symbol];
|
||||
_symbol = symbol;
|
||||
|
||||
_isInternal = _algorithm
|
||||
.SubscriptionManager
|
||||
.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(symbol, includeInternalConfigs: true)
|
||||
.All(config => config.IsInternalFeed);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// New order event handler. Handles the aggregation of SaleVolume and
|
||||
/// sometimes resetting the <seealso cref="MarketCapacityDollarVolume"/>
|
||||
/// </summary>
|
||||
/// <param name="orderEvent">Parent class filters out other events so only fill events reach this method.</param>
|
||||
public void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
SaleVolume += Security.QuoteCurrency.ConversionRate * orderEvent.FillPrice * orderEvent.AbsoluteFillQuantity * Security.SymbolProperties.ContractMultiplier;
|
||||
|
||||
// To reduce the capacity of high frequency strategies, we scale down the
|
||||
// volume captured on each bar proportional to the trades per day.
|
||||
// Default to -1 day for the first order to not reduce the volume of the first order.
|
||||
_fastTradingVolumeDiscountFactor = _fastTradingVolumeScalingFactor * ((decimal)((orderEvent.UtcTime - (_previousOrderEvent?.UtcTime ?? orderEvent.UtcTime.AddDays(-1))).TotalMinutes) / 390m);
|
||||
_fastTradingVolumeDiscountFactor = _fastTradingVolumeDiscountFactor > 1 ? 1 : Math.Max(0.20m, _fastTradingVolumeDiscountFactor);
|
||||
|
||||
if (_resetMarketCapacityDollarVolume)
|
||||
{
|
||||
_marketCapacityDollarVolume = 0;
|
||||
Trades = 0;
|
||||
_resetMarketCapacityDollarVolume = false;
|
||||
}
|
||||
|
||||
Trades++;
|
||||
_previousOrderEvent = orderEvent;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines whether we should add the Market Volume to the <see cref="MarketCapacityDollarVolume"/>
|
||||
/// </summary>
|
||||
/// <returns></returns>
|
||||
private bool IncludeMarketVolume(Resolution resolution)
|
||||
{
|
||||
if (_previousOrderEvent == null)
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
var dollarVolumeScaleFactor = 6000000;
|
||||
DateTime timeout;
|
||||
decimal k;
|
||||
|
||||
switch (resolution)
|
||||
{
|
||||
case Resolution.Tick:
|
||||
case Resolution.Second:
|
||||
dollarVolumeScaleFactor = dollarVolumeScaleFactor / 60;
|
||||
k = _averageDollarVolume != 0
|
||||
? dollarVolumeScaleFactor / _averageDollarVolume
|
||||
: 10;
|
||||
|
||||
var timeoutPeriod = k > 120 ? 120 : (int)Math.Max(5, (double)k);
|
||||
timeout = _previousOrderEvent.UtcTime.AddMinutes(timeoutPeriod);
|
||||
break;
|
||||
|
||||
case Resolution.Minute:
|
||||
k = _averageDollarVolume != 0
|
||||
? dollarVolumeScaleFactor / _averageDollarVolume
|
||||
: 10;
|
||||
|
||||
var timeoutMinutes = k > 120 ? 120 : (int)Math.Max(1, (double)k);
|
||||
timeout = _previousOrderEvent.UtcTime.AddMinutes(timeoutMinutes);
|
||||
break;
|
||||
|
||||
case Resolution.Hour:
|
||||
return _algorithm.UtcTime == _previousOrderEvent.UtcTime.RoundUp(resolution.ToTimeSpan());
|
||||
|
||||
case Resolution.Daily:
|
||||
// At the end of a daily bar, the EndTime is the next day.
|
||||
// Increment the order by one day to match it
|
||||
return _algorithm.UtcTime == _previousOrderEvent.UtcTime ||
|
||||
_algorithm.UtcTime.Date == _previousOrderEvent.UtcTime.RoundUp(resolution.ToTimeSpan());
|
||||
|
||||
default:
|
||||
timeout = _previousOrderEvent.UtcTime.AddHours(1);
|
||||
break;
|
||||
}
|
||||
|
||||
return _algorithm.UtcTime <= timeout;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates the market capacity of the Symbol. Called on each time step of the algorithm
|
||||
/// </summary>
|
||||
/// <returns>False if we're currently within the timeout period, True if the Symbol has went past the timeout</returns>
|
||||
public bool UpdateMarketCapacity()
|
||||
{
|
||||
var bar = GetBar();
|
||||
if (bar == null || bar.Volume == 0)
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
var utcTime = _algorithm.UtcTime;
|
||||
var resolution = bar.Period.ToHigherResolutionEquivalent(false);
|
||||
var conversionRate = Security.QuoteCurrency.ConversionRate;
|
||||
var timeBetweenBars = (decimal)(utcTime - (_previousTime ?? utcTime)).TotalMinutes;
|
||||
|
||||
if (_previousTime == null || timeBetweenBars == 0)
|
||||
{
|
||||
_averageDollarVolume = conversionRate * bar.Close * bar.Volume;
|
||||
}
|
||||
else
|
||||
{
|
||||
_averageDollarVolume = ((bar.Close * conversionRate) * (bar.Volume + _previousVolume)) / timeBetweenBars;
|
||||
}
|
||||
|
||||
_previousTime = utcTime;
|
||||
_previousVolume = bar.Volume;
|
||||
|
||||
var includeMarketVolume = IncludeMarketVolume(resolution);
|
||||
if (includeMarketVolume)
|
||||
{
|
||||
_resolutionScaleFactor = ResolutionScaleFactor(resolution);
|
||||
_marketCapacityDollarVolume += bar.Close * _fastTradingVolumeDiscountFactor * bar.Volume * conversionRate * Security.SymbolProperties.ContractMultiplier;
|
||||
}
|
||||
|
||||
// When we've finished including market volume, signal completed
|
||||
return !includeMarketVolume;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the TradeBar for the given time step. For Quotes, we convert
|
||||
/// it into a TradeBar using market depth as a proxy for volume.
|
||||
/// </summary>
|
||||
/// <returns>TradeBar</returns>
|
||||
private TradeBar GetBar()
|
||||
{
|
||||
TradeBar bar;
|
||||
if (_algorithm.CurrentSlice.Bars.TryGetValue(_symbol, out bar))
|
||||
{
|
||||
return bar;
|
||||
}
|
||||
|
||||
QuoteBar quote;
|
||||
if (_algorithm.CurrentSlice.QuoteBars.TryGetValue(_symbol, out quote))
|
||||
{
|
||||
// Fake a tradebar for quote data using market depth as a proxy for volume
|
||||
var volume = (quote.LastBidSize + quote.LastAskSize) / 2;
|
||||
|
||||
// Handle volume estimation for security types that don't have volume values
|
||||
switch (_symbol.SecurityType)
|
||||
{
|
||||
case SecurityType.Forex:
|
||||
volume = _forexMinuteVolume;
|
||||
break;
|
||||
case SecurityType.Cfd:
|
||||
volume = _cfdMinuteVolume;
|
||||
break;
|
||||
}
|
||||
|
||||
|
||||
return new TradeBar(
|
||||
quote.Time,
|
||||
quote.Symbol,
|
||||
quote.Open,
|
||||
quote.High,
|
||||
quote.Low,
|
||||
quote.Close,
|
||||
volume,
|
||||
quote.Period);
|
||||
}
|
||||
|
||||
if (!_isInternal)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
// internal subscriptions, like mapped continuous future contract won't be sent through the slice
|
||||
// but will be available in the security cache, if not present will return null
|
||||
var result = Security.Cache.GetData<TradeBar>();
|
||||
if (result != null
|
||||
&& _algorithm.UtcTime == result.EndTime.ConvertToUtc(Security.Exchange.Hours.TimeZone))
|
||||
{
|
||||
return result;
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
|
||||
private static decimal ResolutionScaleFactor(Resolution resolution)
|
||||
{
|
||||
switch (resolution)
|
||||
{
|
||||
case Resolution.Daily:
|
||||
return 0.02m;
|
||||
|
||||
case Resolution.Hour:
|
||||
return 0.05m;
|
||||
|
||||
case Resolution.Minute:
|
||||
return 0.20m;
|
||||
|
||||
case Resolution.Tick:
|
||||
case Resolution.Second:
|
||||
return 0.50m;
|
||||
|
||||
default:
|
||||
return 1m;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Signals a reset for the <see cref="MarketCapacityDollarVolume"/> and <see cref="SaleVolume"/>
|
||||
/// </summary>
|
||||
public void Reset()
|
||||
{
|
||||
_resetMarketCapacityDollarVolume = true;
|
||||
SaleVolume = 0;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Determines if we should remove a symbol from capacity estimation
|
||||
/// </summary>
|
||||
public bool ShouldRemove()
|
||||
{
|
||||
if (Security.Invested || _algorithm.UtcTime < _previousOrderEvent.UtcTime + CapacityEffectPeriod)
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user