wehub-resource-sync
67 lines
3.5 KiB
Python
67 lines
3.5 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Regression algorithm to test we can specify a custom brokerage model, and override some of its methods
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### </summary>
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class CustomBrokerageModelRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013,10,7)
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self.set_end_date(2013,10,11)
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self.set_brokerage_model(CustomBrokerageModel())
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self.add_equity("SPY", Resolution.DAILY)
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self.add_equity("AIG", Resolution.DAILY)
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self.update_request_submitted = False
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if self.brokerage_model.default_markets[SecurityType.EQUITY] != Market.USA:
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raise AssertionError(f"The default market for Equity should be {Market.USA}")
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if self.brokerage_model.default_markets[SecurityType.CRYPTO] != Market.BINANCE:
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raise AssertionError(f"The default market for Crypto should be {Market.BINANCE}")
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def on_data(self, slice):
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if not self.portfolio.invested:
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self.market_order("SPY", 100.0)
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self.aig_ticket = self.market_order("AIG", 100.0)
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def on_order_event(self, order_event):
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spy_ticket = self.transactions.get_order_ticket(order_event.order_id)
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if self.update_request_submitted == False:
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update_order_fields = UpdateOrderFields()
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update_order_fields.quantity = spy_ticket.quantity + 10
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spy_ticket.update(update_order_fields)
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self.spy_ticket = spy_ticket
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self.update_request_submitted = True
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def on_end_of_algorithm(self):
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submit_expected_message = "BrokerageModel declared unable to submit order: [2] Information - Code: - Symbol AIG can not be submitted"
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if self.aig_ticket.submit_request.response.error_message != submit_expected_message:
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raise AssertionError(f"Order with ID: {self.aig_ticket.order_id} should not have submitted symbol AIG")
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update_expected_message = "OrderID: 1 Information - Code: - This order can not be updated"
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if self.spy_ticket.update_requests[0].response.error_message != update_expected_message:
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raise AssertionError(f"Order with ID: {self.spy_ticket.order_id} should have been updated")
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class CustomBrokerageModel(DefaultBrokerageModel):
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default_markets = { SecurityType.EQUITY: Market.USA, SecurityType.CRYPTO : Market.BINANCE }
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def can_submit_order(self, security: Security, order: Order, message: BrokerageMessageEvent):
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if security.symbol.value == "AIG":
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message = BrokerageMessageEvent(BrokerageMessageType.INFORMATION, "", "Symbol AIG can not be submitted")
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return False, message
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return True, None
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def can_update_order(self, security: Security, order: Order, request: UpdateOrderRequest, message: BrokerageMessageEvent):
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message = BrokerageMessageEvent(BrokerageMessageType.INFORMATION, "", "This order can not be updated")
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return False, message
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