wehub-resource-sync
50 lines
2.3 KiB
Python
50 lines
2.3 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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### Example algorithm showing and asserting the usage of the "ShortMarginInterestRateModel"
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### paired with a "IShortableProvider" instance, for example "InteractiveBrokersShortableProvider"
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### </summary>
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class ShortInterestFeeRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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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._short = self.add_equity("SPY", Resolution.HOUR)
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self._long = self.add_equity("AAPL", Resolution.HOUR)
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for security in [ self._short, self._long]:
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security.set_shortable_provider(LocalDiskShortableProvider("testbrokerage"))
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security.margin_interest_rate_model = ShortMarginInterestRateModel()
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def on_data(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.portfolio.invested:
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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_end_of_algorithm(self):
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if self._short.margin_interest_rate_model.amount >= 0:
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raise RegressionTestException("Expected short fee interest rate to be charged")
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if self._long.margin_interest_rate_model.amount <= 0:
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raise RegressionTestException("Expected short fee interest rate to be earned")
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