wehub-resource-sync
53 lines
2.8 KiB
Python
53 lines
2.8 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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class ImmediateExecutionModel(ExecutionModel):
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'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
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def __init__(self, asynchronous=True):
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'''Initializes a new instance of the ImmediateExecutionModel class.
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Args:
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asynchronous: If True, orders will be submitted asynchronously.'''
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super().__init__(asynchronous)
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self.targets_collection = PortfolioTargetCollection()
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def execute(self, algorithm, targets):
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'''Immediately submits orders for the specified portfolio targets.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets to be ordered'''
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# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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self.targets_collection.add_range(targets)
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if not self.targets_collection.is_empty:
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for target in self.targets_collection.order_by_margin_impact(algorithm):
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security = algorithm.securities[target.symbol]
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# calculate remaining quantity to be ordered
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quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
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if quantity != 0:
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above_minimum_portfolio = BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(
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security.buying_power_model,
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security,
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quantity,
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algorithm.portfolio,
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algorithm.settings.minimum_order_margin_portfolio_percentage)
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if above_minimum_portfolio:
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algorithm.market_order(security, quantity, self.asynchronous, target.tag)
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elif not PortfolioTarget.minimum_order_margin_percentage_warning_sent:
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# will trigger the warning if it has not already been sent
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PortfolioTarget.minimum_order_margin_percentage_warning_sent = False
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self.targets_collection.clear_fulfilled(algorithm)
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