wehub-resource-sync
62 lines
2.7 KiB
Python
62 lines
2.7 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
|
|
### This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
|
|
###
|
|
### All orders are sent from the brokerage, none of them will be placed by the algorithm.
|
|
### </summary>
|
|
class CustomBrokerageSideOrderHandlingRegressionAlgorithm(QCAlgorithm):
|
|
'''Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
|
|
This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
|
|
|
|
All orders are sent from the brokerage, none of them will be placed by the algorithm.'''
|
|
|
|
def initialize(self):
|
|
self.set_start_date(2013, 10, 7)
|
|
self.set_end_date(2013, 10, 11)
|
|
self.set_cash(100000)
|
|
|
|
self.set_brokerage_message_handler(CustomBrokerageMessageHandler(self))
|
|
|
|
self._spy = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
|
|
|
|
def on_end_of_algorithm(self):
|
|
# The security should have been added
|
|
if not self.securities.contains_key(self._spy):
|
|
raise AssertionError("Expected security to have been added")
|
|
|
|
if self.transactions.orders_count == 0:
|
|
raise AssertionError("Expected orders to be added from brokerage side")
|
|
|
|
if len(list(self.portfolio.positions.groups)) != 1:
|
|
raise AssertionError("Expected only one position")
|
|
|
|
class CustomBrokerageMessageHandler(DefaultBrokerageMessageHandler):
|
|
def __init__(self, algorithm):
|
|
self._algorithm = algorithm
|
|
|
|
def handle_message(self, message):
|
|
self._algorithm.debug(f"{self._algorithm.time} Event: {message.message}")
|
|
|
|
def handle_order(self, event_args):
|
|
order = event_args.order
|
|
if order.tag is None or not order.tag.isdigit():
|
|
raise AssertionError("Expected all new brokerage-side orders to have a valid tag")
|
|
|
|
# We will only process orders with even tags
|
|
return int(order.tag) % 2 == 0
|