wehub-resource-sync
52 lines
2.5 KiB
Python
52 lines
2.5 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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### Example of custom fill model for security to only fill bars of data obtained after the order was placed. This is to encourage more
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### pessimistic fill models and eliminate the possibility to fill on old market data that may not be relevant.
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### </summary>
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class ForwardDataOnlyFillModelAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013,10,1)
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self.set_end_date(2013,10,31)
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self.security = self.add_equity("SPY", Resolution.HOUR)
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self.security.set_fill_model(ForwardDataOnlyFillModel())
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self.schedule.on(self.date_rules.week_start(), self.time_rules.after_market_open(self.security.symbol), self.trade)
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def trade(self):
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if not self.portfolio.invested:
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if self.time.hour != 9 or self.time.minute != 30:
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raise AssertionError(f"Unexpected event time {self.time}")
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ticket = self.buy("SPY", 1)
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if ticket.status != OrderStatus.SUBMITTED:
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raise AssertionError(f"Unexpected order status {ticket.status}")
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def on_order_event(self, order_event: OrderEvent):
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self.debug(f"OnOrderEvent:: {order_event}")
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if order_event.status == OrderStatus.FILLED and (self.time.hour != 10 or self.time.minute != 0):
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raise AssertionError(f"Unexpected fill time {self.time}")
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class ForwardDataOnlyFillModel(EquityFillModel):
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def fill(self, parameters: FillModelParameters):
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order_local_time = Extensions.convert_from_utc(parameters.order.time, parameters.security.exchange.time_zone)
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for data_type in [ QuoteBar, TradeBar, Tick ]:
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data = parameters.security.cache.get_data(data_type)
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if not data is None and order_local_time <= data.end_time:
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return super().fill(parameters)
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return Fill([])
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