wehub-resource-sync
63 lines
2.5 KiB
Python
63 lines
2.5 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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### <summary>
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### Demonstration of using custom margin interest rate model in backtesting.
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### </summary>
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class CustomMarginInterestRateModelAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 1)
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self.set_end_date(2013, 10, 31)
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security = self.add_equity("SPY", Resolution.HOUR)
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self._spy = security.symbol
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# set the margin interest rate model
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self._margin_interest_rate_model = CustomMarginInterestRateModel()
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security.set_margin_interest_rate_model(self._margin_interest_rate_model)
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self._cash_after_order = 0
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def on_data(self, data: Slice):
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if not self.portfolio.invested:
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self.set_holdings(self._spy, 1)
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def on_order_event(self, order_event: OrderEvent):
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if order_event.status == OrderStatus.FILLED:
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self._cash_after_order = self.portfolio.cash
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def on_end_of_algorithm(self):
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if self._margin_interest_rate_model.call_count == 0:
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raise AssertionError("CustomMarginInterestRateModel was not called")
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expected_cash = self._cash_after_order * pow(1 + self._margin_interest_rate_model.interest_rate, self._margin_interest_rate_model.call_count)
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if abs(self.portfolio.cash - expected_cash) > 1e-10:
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raise AssertionError(f"Expected cash {expected_cash} but got {self.portfolio.cash}")
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class CustomMarginInterestRateModel:
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def __init__(self):
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self.interest_rate = 0.01
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self.call_count = 0
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def apply_margin_interest_rate(self, parameters: MarginInterestRateParameters):
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security = parameters.security
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position_value = security.holdings.get_quantity_value(security.holdings.quantity)
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if position_value.amount > 0:
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position_value.cash.add_amount(self.interest_rate * position_value.cash.amount)
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self.call_count += 1
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