wehub-resource-sync
66 lines
3.4 KiB
Python
66 lines
3.4 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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### This algorithm showcases two margin related event handlers.
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### OnMarginCallWarning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value
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### OnMarginCall: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation
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### </summary>
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### <meta name="tag" content="securities and portfolio" />
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### <meta name="tag" content="margin models" />
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class MarginCallEventsAlgorithm(QCAlgorithm):
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"""
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This algorithm showcases two margin related event handlers.
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on_margin_call_warning: Fired when a portfolio's remaining margin dips below 5% of the total portfolio value
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on_margin_call: Fired immediately before margin call orders are execued, this gives the algorithm a change to regain margin on its own through liquidation
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"""
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def initialize(self):
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self.set_cash(100000)
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self.set_start_date(2013,10,1)
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self.set_end_date(2013,12,11)
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self.add_equity("SPY", Resolution.SECOND)
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# cranking up the leverage increases the odds of a margin call
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# when the security falls in value
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self.securities["SPY"].set_leverage(100)
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def on_data(self, data):
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if not self.portfolio.invested:
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self.set_holdings("SPY",100)
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def on_margin_call(self, requests):
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# Margin call event handler. This method is called right before the margin call orders are placed in the market.
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# <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
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# this code gets called BEFORE the orders are placed, so we can try to liquidate some of our positions
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# before we get the margin call orders executed. We could also modify these orders by changing their quantities
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for order in requests:
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# liquidate an extra 10% each time we get a margin call to give us more padding
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new_quantity = int(order.quantity * 1.1)
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requests.remove(order)
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requests.append(SubmitOrderRequest(order.order_type, order.security_type, order.symbol, new_quantity, order.stop_price, order.limit_price, self.time, "on_margin_call"))
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return requests
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def on_margin_call_warning(self):
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# Margin call warning event handler.
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# This method is called when portfolio.margin_remaining is under 5% of your portfolio.total_portfolio_value
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# a chance to prevent a margin call from occurring
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spy_holdings = self.securities["SPY"].holdings.quantity
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shares = int(-spy_holdings * 0.005)
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self.error("{0} - on_margin_call_warning(): Liquidating {1} shares of SPY to avoid margin call.".format(self.time, shares))
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self.market_order("SPY", shares)
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