wehub-resource-sync
66 lines
3.0 KiB
Python
66 lines
3.0 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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### <summary>
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### Demonstration of using custom buying power model in backtesting.
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### QuantConnect allows you to model all orders as deeply and accurately as you need.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="transaction fees and slippage" />
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### <meta name="tag" content="custom buying power models" />
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class CustomBuyingPowerModelAlgorithm(QCAlgorithm):
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'''Demonstration of using custom buying power model in backtesting.
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QuantConnect allows you to model all orders as deeply and accurately as you need.'''
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def initialize(self):
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self.set_start_date(2013,10,1) # Set Start Date
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self.set_end_date(2013,10,31) # Set End Date
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security = self.add_equity("SPY", Resolution.HOUR)
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self.spy = security.symbol
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# set the buying power model
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security.set_buying_power_model(CustomBuyingPowerModel())
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def on_data(self, slice):
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if self.portfolio.invested:
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return
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quantity = self.calculate_order_quantity(self.spy, 1)
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if quantity % 100 != 0:
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raise AssertionError(f'CustomBuyingPowerModel only allow quantity that is multiple of 100 and {quantity} was found')
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# We normally get insufficient buying power model, but the
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# CustomBuyingPowerModel always says that there is sufficient buying power for the orders
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self.market_order(self.spy, quantity * 10)
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class CustomBuyingPowerModel(BuyingPowerModel):
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def get_maximum_order_quantity_for_target_buying_power(self, parameters):
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quantity = super().get_maximum_order_quantity_for_target_buying_power(parameters).quantity
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quantity = np.floor(quantity / 100) * 100
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return GetMaximumOrderQuantityResult(quantity)
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def has_sufficient_buying_power_for_order(self, parameters):
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return HasSufficientBuyingPowerForOrderResult(True)
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# Let's always return 0 as the maintenance margin so we avoid margin call orders
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def get_maintenance_margin(self, parameters):
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return MaintenanceMargin(0)
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# Override this as well because the base implementation calls GetMaintenanceMargin (overridden)
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# because in C# it wouldn't resolve the overridden Python method
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def get_reserved_buying_power_for_position(self, parameters):
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return parameters.result_in_account_currency(0)
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