wehub-resource-sync
86 lines
4.3 KiB
Python
86 lines
4.3 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 demonstrating how to get order events in custom execution models
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### and asserting that they match the algorithm's order events.
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### </summary>
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class ExecutionModelOrderEventsRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self._order_events = []
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self.universe_settings.resolution = Resolution.MINUTE
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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_cash(100000)
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self.set_universe_selection(ManualUniverseSelectionModel(Symbol.create("SPY", SecurityType.EQUITY, Market.USA)))
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes=20), 0.025, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.DAILY))
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self._execution_model = CustomImmediateExecutionModel()
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self.set_execution(self._execution_model)
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self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.01))
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def on_order_event(self, order_event):
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self._order_events.append(order_event)
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def on_end_of_algorithm(self):
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if len(self._execution_model.order_events) != len(self._order_events):
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raise Exception(f"Order events count mismatch. Execution model: {len(self._execution_model.order_events)}, Algorithm: {len(self._order_events)}")
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for i, (model_event, algo_event) in enumerate(zip(self._execution_model.order_events, self._order_events)):
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if (model_event.id != algo_event.id or
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model_event.order_id != algo_event.order_id or
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model_event.status != algo_event.status):
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raise Exception(f"Order event mismatch at index {i}. Execution model: {model_event}, Algorithm: {algo_event}")
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class CustomImmediateExecutionModel(ExecutionModel):
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def __init__(self):
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self._targets_collection = PortfolioTargetCollection()
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self._order_tickets = {}
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self.order_events = []
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def execute(self, algorithm, targets):
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self._targets_collection.add_range(targets)
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if not self._targets_collection.is_empty:
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for target in self._targets_collection.order_by_margin_impact(algorithm):
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security = algorithm.securities[target.symbol]
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# calculate remaining quantity to be ordered
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quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
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if (quantity != 0 and
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BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(security.buying_power_model,
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security, quantity, algorithm.portfolio, algorithm.settings.minimum_order_margin_portfolio_percentage)):
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ticket = algorithm.market_order(security.symbol, quantity, asynchronous=True, tag=target.tag)
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self._order_tickets[ticket.order_id] = ticket
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self._targets_collection.clear_fulfilled(algorithm)
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def on_order_event(self, algorithm, order_event):
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algorithm.log(f"{algorithm.time} - Order event received: {order_event}")
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# This method will get events for all orders, but if we save the tickets in Execute we can filter
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# to process events for orders placed by this model
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if order_event.order_id in self._order_tickets:
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ticket = self._order_tickets[order_event.order_id]
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if order_event.status.is_fill():
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algorithm.debug(f"Purchased Stock: {order_event.symbol}")
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if order_event.status.is_closed():
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del self._order_tickets[order_event.order_id]
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self.order_events.append(order_event)
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