wehub-resource-sync
98 lines
3.7 KiB
C#
98 lines
3.7 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Interfaces;
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using QuantConnect.Packets;
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using QuantConnect.Securities;
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namespace QuantConnect.Brokerages.Paper
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{
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/// <summary>
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/// Paper Trading Brokerage
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/// </summary>
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public class PaperBrokerage : BacktestingBrokerage
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{
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private DateTime _lastScanTime;
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private readonly LiveNodePacket _job;
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/// <summary>
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/// Enables or disables concurrent processing of messages to and from the brokerage.
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/// </summary>
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public override bool ConcurrencyEnabled { get; set; } = true;
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/// <summary>
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/// Creates a new PaperBrokerage
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/// </summary>
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/// <param name="algorithm">The algorithm under analysis</param>
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/// <param name="job">The job packet</param>
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public PaperBrokerage(IAlgorithm algorithm, LiveNodePacket job)
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: base(algorithm, "Paper Brokerage")
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{
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_job = job;
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}
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/// <summary>
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/// Gets the current cash balance for each currency held in the brokerage account
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/// </summary>
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/// <returns>The current cash balance for each currency available for trading</returns>
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public override List<CashAmount> GetCashBalance()
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{
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return GetCashBalance(_job.BrokerageData, Algorithm.Portfolio.CashBook);
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}
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/// <summary>
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/// Gets all holdings for the account
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/// </summary>
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/// <returns>The current holdings from the account</returns>
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public override List<Holding> GetAccountHoldings()
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{
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return base.GetAccountHoldings(_job.BrokerageData, Algorithm.Securities.Values);
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}
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/// <summary>
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/// Scans all the outstanding orders and applies the algorithm model fills to generate the order events.
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/// This override adds dividend detection and application
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/// </summary>
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public override void Scan()
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{
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// Scan is called twice per time loop, this check enforces that we only check
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// on the first call for each time loop
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if (Algorithm.UtcTime != _lastScanTime && Algorithm.CurrentSlice != null)
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{
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_lastScanTime = Algorithm.UtcTime;
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// apply each dividend directly to the quote cash holdings of the security
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// this assumes dividends are paid out in a security's quote cash (reasonable assumption)
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foreach (var dividend in Algorithm.CurrentSlice.Dividends.Values)
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{
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Security security;
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if (Algorithm.Securities.TryGetValue(dividend.Symbol, out security))
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{
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// compute the total distribution and apply as security's quote currency
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var distribution = security.Holdings.Quantity * dividend.Distribution;
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security.QuoteCurrency.AddAmount(distribution);
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}
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}
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}
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base.Scan();
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}
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}
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}
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