wehub-resource-sync
28 lines
1.5 KiB
Python
28 lines
1.5 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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from SetHoldingsMultipleTargetsRegressionAlgorithm import SetHoldingsMultipleTargetsRegressionAlgorithm
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### <summary>
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### Regression algorithm testing GH feature 3790, using SetHoldings with a collection of targets
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### which will be ordered by margin impact before being executed, with the objective of avoiding any
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### margin errors
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### Asserts that liquidate_existing_holdings equal false does not close positions inadvertedly (GH 7008)
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### </summary>
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class SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm(SetHoldingsMultipleTargetsRegressionAlgorithm):
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def on_data(self, data):
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if not self.portfolio.invested:
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self.set_holdings([PortfolioTarget(self._spy, 0.8), PortfolioTarget(self._ibm, 0.2)],
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liquidate_existing_holdings=True)
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