wehub-resource-sync
61 lines
3.1 KiB
Python
61 lines
3.1 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 SpreadExecutionModel(ExecutionModel):
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'''Execution model that submits orders while the current spread is tight.
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Note this execution model will not work using Resolution.DAILY since Exchange.exchange_open will be false, suggested resolution is Minute
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'''
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def __init__(self, accepting_spread_percent=0.005, asynchronous=True):
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'''Initializes a new instance of the SpreadExecutionModel class'''
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super().__init__(asynchronous)
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self.targets_collection = PortfolioTargetCollection()
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# Gets or sets the maximum spread compare to current price in percentage.
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self.accepting_spread_percent = Math.abs(accepting_spread_percent)
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def execute(self, algorithm, targets):
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'''Executes market orders if the spread percentage to price is in desirable range.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets'''
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# update the complete set of portfolio targets with the new targets
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self.targets_collection.add_range(targets)
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# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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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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symbol = target.symbol
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# calculate remaining quantity to be ordered
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unordered_quantity = OrderSizing.get_unordered_quantity(algorithm, target)
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# check order entry conditions
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if unordered_quantity != 0:
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# get security information
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security = algorithm.securities[symbol]
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if self.spread_is_favorable(security):
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algorithm.market_order(symbol, unordered_quantity, self.asynchronous, target.tag)
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self.targets_collection.clear_fulfilled(algorithm)
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def spread_is_favorable(self, security):
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'''Determines if the spread is in desirable range.'''
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# Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage < 0 by error
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# Has to be in opening hours of exchange to avoid extreme spread in OTC period
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return security.exchange.exchange_open \
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and security.price > 0 and security.ask_price > 0 and security.bid_price > 0 \
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and (security.ask_price - security.bid_price) / security.price <= self.accepting_spread_percent
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