wehub-resource-sync
100 lines
4.5 KiB
C#
100 lines
4.5 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 QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Execution model that submits orders while the current spread is in desirably tight extent.
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/// </summary>
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/// <remarks>Note this execution model will not work using <see cref="Resolution.Daily"/>
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/// since Exchange.ExchangeOpen will be false, suggested resolution is <see cref="Resolution.Minute"/></remarks>
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public class SpreadExecutionModel : ExecutionModel
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{
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private readonly decimal _acceptingSpreadPercent;
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private readonly PortfolioTargetCollection _targetsCollection;
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/// <summary>
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/// Initializes a new instance of the <see cref="SpreadExecutionModel"/> class
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/// </summary>
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/// <param name="acceptingSpreadPercent">Maximum spread accepted comparing to current price in percentage.</param>
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/// <param name="asynchronous">If true, orders will be submitted asynchronously</param>
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public SpreadExecutionModel(decimal acceptingSpreadPercent = 0.005m, bool asynchronous = true)
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: base(asynchronous)
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{
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_acceptingSpreadPercent = Math.Abs(acceptingSpreadPercent);
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_targetsCollection = new PortfolioTargetCollection();
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}
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/// <summary>
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/// Submit orders for the specified portfolio targets if the spread is tighter/equal to preset level
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets to be ordered</param>
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public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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// update the complete set of portfolio targets with the new targets
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_targetsCollection.AddRange(targets);
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// for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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if (!_targetsCollection.IsEmpty)
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{
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foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
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{
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var symbol = target.Symbol;
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// calculate remaining quantity to be ordered
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var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
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if (unorderedQuantity != 0)
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{
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// get security object
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var security = algorithm.Securities[symbol];
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// check order entry conditions
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if (PriceIsFavorable(security))
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{
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algorithm.MarketOrder(symbol, unorderedQuantity, Asynchronous, target.Tag);
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}
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}
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}
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_targetsCollection.ClearFulfilled(algorithm);
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}
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}
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/// <summary>
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/// Determines if the current spread is equal or tighter than preset level
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/// </summary>
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protected virtual bool PriceIsFavorable(Security security)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(PriceIsFavorable), out bool result, security))
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{
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return result;
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}
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// Has to be in opening hours of exchange to avoid extreme spread in OTC period
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// Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage lower than preset value by accident
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return security.Exchange.ExchangeOpen
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&& security.Price > 0 && security.AskPrice > 0 && security.BidPrice > 0
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&& (security.AskPrice - security.BidPrice) / security.Price <= _acceptingSpreadPercent;
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}
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}
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}
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