wehub-resource-sync
36 lines
1.5 KiB
Python
36 lines
1.5 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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class MarketImpactSlippageModelRegressionAlgorithm(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, 13)
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self.set_cash(10000000)
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spy = self.add_equity("SPY", Resolution.DAILY)
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aapl = self.add_equity("AAPL", Resolution.DAILY)
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spy.set_slippage_model(MarketImpactSlippageModel(self))
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aapl.set_slippage_model(MarketImpactSlippageModel(self))
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def on_data(self, data):
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self.set_holdings("SPY", 0.5)
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self.set_holdings("AAPL", -0.5)
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def on_order_event(self, order_event):
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if order_event.status == OrderStatus.FILLED:
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self.debug(f"Price: {self.securities[order_event.symbol].price}, filled price: {order_event.fill_price}, quantity: {order_event.fill_quantity}")
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