wehub-resource-sync
60 lines
2.8 KiB
Python
60 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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from CustomBrokerageModelRegressionAlgorithm import CustomBrokerageModel
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### <summary>
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### Regression algorithm to test we can specify a custom settlement model, and override some of its methods
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### </summary>
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class CustomSettlementModelRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013,10,7)
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self.set_end_date(2013,10,11)
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self.set_cash(10000)
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self.spy = self.add_equity("SPY", Resolution.DAILY)
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self.set_settlement_model(self.spy)
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def set_settlement_model(self, security):
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self.set_brokerage_model(CustomBrokerageModelWithCustomSettlementModel())
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def on_data(self, slice):
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if self.portfolio.cash_book[Currencies.USD].amount == 10000:
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parameters = ApplyFundsSettlementModelParameters(self.portfolio, self.spy, self.time, CashAmount(101, Currencies.USD), None)
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self.spy.settlement_model.apply_funds(parameters)
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def on_end_of_algorithm(self):
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if self.portfolio.cash_book[Currencies.USD].amount != 10101:
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raise AssertionError(f"It was expected to have 10101 USD in Portfolio, but was {self.portfolio.cash_book[Currencies.USD].amount}")
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parameters = ScanSettlementModelParameters(self.portfolio, self.spy, datetime(2013, 10, 6))
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self.spy.settlement_model.scan(parameters)
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if self.portfolio.cash_book[Currencies.USD].amount != 10000:
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raise AssertionError(f"It was expected to have 10000 USD in Portfolio, but was {self.portfolio.cash_book[Currencies.USD].amount}")
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class CustomSettlementModel:
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def apply_funds(self, parameters):
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self.currency = parameters.cash_amount.currency
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self.amount = parameters.cash_amount.amount
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parameters.portfolio.cash_book[self.currency].add_amount(self.amount)
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def scan(self, parameters):
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if parameters.utc_time == datetime(2013, 10, 6):
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parameters.portfolio.cash_book[self.currency].add_amount(-self.amount)
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def get_unsettled_cash(self):
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return None
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class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
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def get_settlement_model(self, security):
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return CustomSettlementModel()
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