wehub-resource-sync
73 lines
2.9 KiB
Python
73 lines
2.9 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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### Basic template algorithm that implements a fill model with partial fills
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### <meta name="tag" content="trading and orders" />
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### </summary>
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class CustomPartialFillModelAlgorithm(QCAlgorithm):
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'''Basic template algorithm that implements a fill model with partial fills'''
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def initialize(self):
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self.set_start_date(2019, 1, 1)
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self.set_end_date(2019, 3, 1)
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equity = self.add_equity("SPY", Resolution.HOUR)
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self.spy = equity.symbol
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self.holdings = equity.holdings
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# Set the fill model
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equity.set_fill_model(CustomPartialFillModel(self))
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def on_data(self, data):
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open_orders = self.transactions.get_open_orders(self.spy)
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if len(open_orders) != 0: return
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if self.time.day > 10 and self.holdings.quantity <= 0:
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self.market_order(self.spy, 105, True)
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elif self.time.day > 20 and self.holdings.quantity >= 0:
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self.market_order(self.spy, -100, True)
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class CustomPartialFillModel(FillModel):
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'''Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders'''
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def __init__(self, algorithm):
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self.algorithm = algorithm
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self.absolute_remaining_by_order_id = {}
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def market_fill(self, asset, order):
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absolute_remaining = self.absolute_remaining_by_order_id.get(order.id, order. AbsoluteQuantity)
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# Create the object
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fill = super().market_fill(asset, order)
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# Set the fill amount
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fill.fill_quantity = np.sign(order.quantity) * 10
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if (min(abs(fill.fill_quantity), absolute_remaining) == absolute_remaining):
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fill.fill_quantity = np.sign(order.quantity) * absolute_remaining
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fill.status = OrderStatus.FILLED
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self.absolute_remaining_by_order_id.pop(order.id, None)
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else:
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fill.status = OrderStatus.PARTIALLY_FILLED
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self.absolute_remaining_by_order_id[order.id] = absolute_remaining - abs(fill.fill_quantity)
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price = fill.fill_price
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# self.algorithm.debug(f"{self.algorithm.time} - Partial Fill - Remaining {self.absolute_remaining_by_order_id[order.id]} Price - {price}")
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return fill
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