wehub-resource-sync
58 lines
2.8 KiB
Python
58 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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### <summary>
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### Regression algorithm asserting we can specify a custom Shortable Provider
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### </summary>
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class CustomShortableProviderRegressionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_cash(10000000)
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self.set_start_date(2013,10,4)
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self.set_end_date(2013,10,6)
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self._spy = self.add_security(SecurityType.EQUITY, "SPY", Resolution.DAILY)
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self._spy.set_shortable_provider(CustomShortableProvider())
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def on_data(self, data: Slice) -> None:
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spy_shortable_quantity = self._spy.shortable_provider.shortable_quantity(self._spy.symbol, self.time)
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if spy_shortable_quantity and spy_shortable_quantity > 1000:
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self._order_id = self.sell("SPY", int(spy_shortable_quantity)).order_id
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def on_end_of_algorithm(self) -> None:
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transactions = self.transactions.orders_count
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if transactions != 1:
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raise AssertionError("Algorithm should have just 1 order, but was " + str(transactions))
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order_quantity = self.transactions.get_order_by_id(self._order_id).quantity
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if order_quantity != -1001:
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raise AssertionError(f"Quantity of order {self._order_id} should be -1001 but was {order_quantity}")
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fee_rate = self._spy.shortable_provider.fee_rate(self._spy.symbol, self.time)
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if fee_rate != 0.0025:
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raise AssertionError(f"Fee rate should be 0.0025, but was {fee_rate}")
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rebate_rate = self._spy.shortable_provider.rebate_rate(self._spy.symbol, self.time)
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if rebate_rate != 0.0507:
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raise AssertionError(f"Rebate rate should be 0.0507, but was {rebate_rate}")
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class CustomShortableProvider(NullShortableProvider):
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def fee_rate(self, symbol: Symbol, local_time: datetime) -> float:
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return 0.0025
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def rebate_rate(self, symbol: Symbol, local_time: datetime) -> float:
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return 0.0507
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def shortable_quantity(self, symbol: Symbol, local_time: datetime) -> int:
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if local_time < datetime(2013,10,4,16,0,0):
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return 10
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return 1001
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