wehub-resource-sync
105 lines
4.0 KiB
C#
105 lines
4.0 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 QuantConnect.Algorithm;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using System.Linq;
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using System.Reflection;
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namespace QuantConnect.Report
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{
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/// <summary>
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/// Fake algorithm that initializes portfolio and algorithm securities. Never ran.
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/// </summary>
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public class PortfolioLooperAlgorithm : QCAlgorithm
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{
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private decimal _startingCash;
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private List<Order> _orders;
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private AlgorithmConfiguration _algorithmConfiguration;
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/// <summary>
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/// Initialize an instance of <see cref="PortfolioLooperAlgorithm"/>
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/// </summary>
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/// <param name="startingCash">Starting algorithm cash</param>
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/// <param name="orders">Orders to use</param>
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/// <param name="algorithmConfiguration">Optional parameter to override default algorithm configuration</param>
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public PortfolioLooperAlgorithm(decimal startingCash, IEnumerable<Order> orders, AlgorithmConfiguration algorithmConfiguration = null) : base()
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{
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_startingCash = startingCash;
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_orders = orders.ToList();
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_algorithmConfiguration = algorithmConfiguration;
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}
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/// <summary>
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/// Initializes all the proper Securities from the orders provided by the user
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/// </summary>
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/// <param name="orders">Orders to use</param>
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public void FromOrders(IEnumerable<Order> orders)
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{
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foreach (var symbol in orders.Select(x => x.Symbol).Distinct())
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{
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Resolution resolution;
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switch (symbol.SecurityType)
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{
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case SecurityType.Option:
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case SecurityType.Future:
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resolution = Resolution.Minute;
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break;
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default:
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resolution = Resolution.Daily;
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break;
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}
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var configs = SubscriptionManager.SubscriptionDataConfigService.Add(symbol, resolution, false, false);
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var security = Securities.CreateSecurity(symbol, configs, 0m);
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if (symbol.SecurityType == SecurityType.Crypto)
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{
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security.BuyingPowerModel = new SecurityMarginModel();
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}
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// Set leverage to 10000 to account for unknown leverage values in user algorithms
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security.SetLeverage(10000m);
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var method = typeof(QCAlgorithm).GetMethod("AddToUserDefinedUniverse", BindingFlags.NonPublic | BindingFlags.Instance);
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method.Invoke(this, new object[] { security, configs });
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}
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}
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/// <summary>
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/// Initialize this algorithm
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/// </summary>
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public override void Initialize()
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{
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if (_algorithmConfiguration != null)
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{
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SetAccountCurrency(_algorithmConfiguration.AccountCurrency);
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SetBrokerageModel(_algorithmConfiguration.Brokerage, _algorithmConfiguration.AccountType);
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}
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SetCash(_startingCash);
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if (_orders.Count != 0)
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{
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SetStartDate(_orders.First().Time);
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SetEndDate(_orders.Last().Time);
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}
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SetBenchmark(b => 0);
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}
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}
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}
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