wehub-resource-sync
242 lines
9.7 KiB
C#
242 lines
9.7 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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Basic template algorithm that implements a fill model with combo orders
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/// </summary>
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public class ComboOrdersFillModelAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _spy;
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private Security _ibm;
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private Dictionary<OrderType, int> _orderTypes;
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public override void Initialize()
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{
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SetStartDate(2019, 1, 1);
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SetEndDate(2019, 1, 20);
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_orderTypes = new Dictionary<OrderType, int>();
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_spy = AddEquity("SPY", Resolution.Hour);
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_ibm = AddEquity("IBM", Resolution.Hour);
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_spy.SetFillModel(new CustomPartialFillModel());
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_ibm.SetFillModel(new CustomPartialFillModel());
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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var legs = new List<Leg>() { Leg.Create(_spy.Symbol, 1), Leg.Create(_ibm.Symbol, -1)};
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ComboMarketOrder(legs, 100);
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ComboLimitOrder(legs, 100, Math.Round(_spy.BidPrice));
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legs = new List<Leg>() { Leg.Create(_spy.Symbol, 1, Math.Round(_spy.BidPrice) + 1), Leg.Create(_ibm.Symbol, -1, Math.Round(_ibm.BidPrice) + 1) };
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ComboLegLimitOrder(legs, 100);
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if(orderEvent.Status == OrderStatus.Filled)
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{
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var orderType = Transactions.GetOrderById(orderEvent.OrderId).Type;
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if (orderType == OrderType.ComboMarket && orderEvent.AbsoluteFillQuantity != 50)
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{
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throw new RegressionTestException($"The absolute quantity filled for all combo market orders should be 50, but for order {orderEvent.OrderId} was {orderEvent.AbsoluteFillQuantity}");
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}
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if (orderType == OrderType.ComboLimit && orderEvent.AbsoluteFillQuantity != 20)
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{
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throw new RegressionTestException($"The absolute quantity filled for all combo limit orders should be 20, but for order {orderEvent.OrderId} was {orderEvent.AbsoluteFillQuantity}");
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}
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if (orderType == OrderType.ComboLegLimit && orderEvent.AbsoluteFillQuantity != 10)
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{
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throw new RegressionTestException($"The absolute quantity filled for all combo leg limit orders should be 20, but for order {orderEvent.OrderId} was {orderEvent.AbsoluteFillQuantity}");
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}
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_orderTypes[orderType] = 1;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (_orderTypes.Keys.Count != 3)
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{
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throw new RegressionTestException($"Just 3 different types of order were submitted in this algorithm, but the amount of order types was {_orderTypes.Count}");
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}
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if (!_orderTypes.Keys.Contains(OrderType.ComboMarket))
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{
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throw new RegressionTestException($"One Combo Market Order should have been submitted but it was not");
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}
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if (!_orderTypes.Keys.Contains(OrderType.ComboLimit))
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{
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throw new RegressionTestException($"One Combo Limit Order should have been submitted but it was not");
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}
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if (!_orderTypes.Keys.Contains(OrderType.ComboLegLimit))
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{
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throw new RegressionTestException($"One Combo Leg Limit Order should have been submitted but it was not");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 281;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "162.471%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "104781.43"},
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{"Net Profit", "4.781%"},
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{"Sharpe Ratio", "8.272"},
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{"Sortino Ratio", "6.986"},
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{"Probabilistic Sharpe Ratio", "85.885%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.049"},
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{"Beta", "0.646"},
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{"Annual Standard Deviation", "0.119"},
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{"Annual Variance", "0.014"},
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{"Information Ratio", "-8.927"},
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{"Tracking Error", "0.069"},
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{"Treynor Ratio", "1.519"},
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{"Total Fees", "$6.00"},
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{"Estimated Strategy Capacity", "$250000.00"},
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{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
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{"Portfolio Turnover", "9.81%"},
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{"Drawdown Recovery", "2"},
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{"OrderListHash", "397d4e81b8c7fa9258e18c4bcf4154e1"}
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};
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}
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public class CustomPartialFillModel : FillModel
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{
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private readonly Dictionary<int, decimal> _absoluteRemainingByOrderId;
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public CustomPartialFillModel()
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{
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_absoluteRemainingByOrderId = new Dictionary<int, decimal>();
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}
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private List<OrderEvent> FillOrdersPartially(FillModelParameters parameters, List<OrderEvent> fills, int quantity)
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{
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var partialFills = new List<OrderEvent>();
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if (fills.Count == 0)
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{
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return partialFills;
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}
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foreach (var kvp in parameters.SecuritiesForOrders.OrderBy(kvp => kvp.Key.Id))
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{
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var order = kvp.Key;
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var fill = fills.Find(x => x.OrderId == order.Id);
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decimal absoluteRemaining;
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if (!_absoluteRemainingByOrderId.TryGetValue(order.Id, out absoluteRemaining))
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{
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absoluteRemaining = order.AbsoluteQuantity;
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}
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// Set the fill amount
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fill.FillQuantity = Math.Sign(order.Quantity) * quantity;
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if (Math.Min(Math.Abs(fill.FillQuantity), absoluteRemaining) == absoluteRemaining)
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{
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fill.FillQuantity = Math.Sign(order.Quantity) * absoluteRemaining;
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fill.Status = OrderStatus.Filled;
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_absoluteRemainingByOrderId.Remove(order.Id);
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}
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else
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{
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fill.Status = OrderStatus.PartiallyFilled;
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_absoluteRemainingByOrderId[order.Id] = absoluteRemaining - Math.Abs(fill.FillQuantity);
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var price = fill.FillPrice;
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//_algorithm.Debug($"{_algorithm.Time} - Partial Fill - Remaining {_absoluteRemainingByOrderId[order.Id]} Price - {price}");
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}
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partialFills.Add(fill);
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}
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return partialFills;
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}
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public override List<OrderEvent> ComboMarketFill(Order order, FillModelParameters parameters)
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{
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var fills = base.ComboMarketFill(order, parameters);
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var partialFills = FillOrdersPartially(parameters, fills, 50);
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return partialFills;
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}
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public override List<OrderEvent> ComboLimitFill(Order order, FillModelParameters parameters)
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{
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var fills = base.ComboLimitFill(order, parameters);
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var partialFills = FillOrdersPartially(parameters, fills, 20);
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return partialFills;
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}
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public override List<OrderEvent> ComboLegLimitFill(Order order, FillModelParameters parameters)
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{
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var fills = base.ComboLegLimitFill(order, parameters);
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var partialFills = FillOrdersPartially(parameters, fills, 10);
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return partialFills;
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}
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}
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}
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