wehub-resource-sync
62 lines
2.6 KiB
C#
62 lines
2.6 KiB
C#
/*
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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.Linq;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm that will test that <see cref="IAlgorithmSettings.MinimumOrderMarginPortfolioPercentage"/>
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/// is respected by the <see cref="ImmediateExecutionModel"/>
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/// </summary>
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public class ImmediateExecutionModelMinimumOrderMarginRegressionAlgorithm : BasicTemplateFrameworkAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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// this setting is the difference between doing 3 trades and > 60
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Settings.MinimumOrderMarginPortfolioPercentage = 0.001m;
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SetPortfolioConstruction(new CustomPortfolioConstructionModel(TimeKeeper));
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}
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override List<Language> Languages { get; } = new() { Language.CSharp };
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private class CustomPortfolioConstructionModel : EqualWeightingPortfolioConstructionModel
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{
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private ITimeKeeper _timeKeeper;
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public CustomPortfolioConstructionModel(ITimeKeeper timeKeeper)
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{
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_timeKeeper = timeKeeper;
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}
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protected override Dictionary<Insight, double> DetermineTargetPercent(List<Insight> activeInsights)
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{
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var baseResult = base.DetermineTargetPercent(activeInsights);
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// we generate some fake noise in the percentage allocation
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var adjustPercentage = _timeKeeper.UtcTime.Minute % 2 == 0;
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return baseResult.ToDictionary(pair => pair.Key, pair => adjustPercentage ? pair.Value - 0.001 : pair.Value);
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}
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}
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}
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}
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