wehub-resource-sync
52 lines
2.4 KiB
Python
52 lines
2.4 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.
|
|
|
|
# region imports
|
|
from AlgorithmImports import *
|
|
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
|
|
from QuantConnect.Orders import OrderEvent
|
|
# endregion
|
|
|
|
### <summary>
|
|
### Regression algorithm to test ImmediateExecutionModel places orders with the
|
|
### correct quantity (taking into account the fee's) so that the fill quantity
|
|
### is the expected one.
|
|
### </summary>
|
|
class ImmediateExecutionModelWorksWithBinanceFeeModel(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
# *** initial configurations and backtest ***
|
|
self.set_start_date(2022, 12, 13) # Set Start Date
|
|
self.set_end_date(2022, 12, 14) # Set End Date
|
|
self.set_account_currency("BUSD") # Set Account Currency
|
|
self.set_cash("BUSD", 100000, 1) # Set Strategy Cash
|
|
|
|
self.universe_settings.resolution = Resolution.MINUTE
|
|
|
|
symbols = [ Symbol.create("BTCBUSD", SecurityType.CRYPTO, Market.BINANCE) ]
|
|
|
|
# set algorithm framework models
|
|
self.set_universe_selection(ManualUniverseSelectionModel(symbols))
|
|
self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
|
|
|
|
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.MINUTE))
|
|
self.set_execution(ImmediateExecutionModel())
|
|
|
|
|
|
self.set_brokerage_model(BrokerageName.BINANCE, AccountType.MARGIN)
|
|
|
|
def on_order_event(self, order_event: OrderEvent) -> None:
|
|
if order_event.status == OrderStatus.FILLED:
|
|
if abs(order_event.quantity - 5.8) > 0.01:
|
|
raise AssertionError(f"The expected quantity was 5.8 but the quantity from the order was {order_event.quantity}")
|