Fix bug/syntax in python examples (#8658)
* CustomDataRegressionAlgorithm * DescendingCustomDataObjectStoreRegressionAlgorithm * CustomDataPropertiesRegressionAlgorithm * DateTime -> should be datetime * KerasNeuralNetworkAlgorithm * OptionIndicatorsMirrorContractsRegressionAlgorithm * BybitCustomDataCryptoRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * UserDefinedUniverseAlgorithm * CompleteOrderTagUpdateAlgorithm * BasicTemplateOptionEquityStrategyAlgorithm hint * ETFConstituentUniverseFrameworkRegressionAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * SecurityDynamicPropertyPythonClassAlgorithm * hint * hinting * CallbackCommandRegressionAlgorithm * CustomWarmUpPeriodIndicatorAlgorithm * CrunchDAOSignalExportDemonstrationAlgorithm * ExpiryHelperAlphaModelFrameworkAlgorithm * ClassicRenkoConsolidatorAlgorithm * SmaCrossUniverseSelectionAlgorithm * PEP8 Fix: Assigning to a Method * SliceGetByTypeRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * CustomIndicatorAlgorithm * ScheduledQueuingAlgorithm * ComboOrdersFillModelAlgorithm * CustomIndicatorWithExtensionAlgorithm * IndicatorWithRenkoBarsRegressionAlgorithm * CoarseFineOptionUniverseChainRegressionAlgorithm * NumeraiSignalExportDemonstrationAlgorithm * DropboxUniverseSelectionAlgorithm * WeeklyUniverseSelectionRegressionAlgorithm * AutoRegressiveIntegratedMovingAverageRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * IronCondorStrategyAlgorithm * LongAndShortButterflyPutStrategiesAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * LongAndShortCallCalendarSpreadStrategiesAlgorithm * KerasNeuralNetworkAlgorithm * LongAndShortPutCalendarSpreadStrategiesAlgorithm * OptionPriceModelForOptionStylesBaseRegressionAlgorithm * TensorFlowNeuralNetworkAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * typing * ComboOrderTicketDemoAlgorithm * PytorchNeuralNetworkAlgorithm * MultipleSymbolConsolidationAlgorithm * fixes * revert getattr mypy syntax * address peer review * Addresses Peer-Review --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
This commit is contained in:
Louis Szeto
@@ -20,7 +20,7 @@ from AlgorithmImports import *
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class ComboOrdersFillModelAlgorithm(QCAlgorithm):
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'''Basic template algorithm that implements a fill model with combo orders'''
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def initialize(self):
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def initialize(self) -> None:
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self.set_start_date(2019, 1, 1)
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self.set_end_date(2019, 1, 20)
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@@ -31,9 +31,9 @@ class ComboOrdersFillModelAlgorithm(QCAlgorithm):
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self.spy.set_fill_model(CustomPartialFillModel())
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self.ibm.set_fill_model(CustomPartialFillModel())
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self.order_types = {}
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self._order_types = {}
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def on_data(self, data):
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def on_data(self, data: Slice) -> None:
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if not self.portfolio.invested:
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legs = [Leg.create(self.spy.symbol, 1), Leg.create(self.ibm.symbol, -1)]
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self.combo_market_order(legs, 100)
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@@ -42,7 +42,7 @@ class ComboOrdersFillModelAlgorithm(QCAlgorithm):
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legs = [Leg.create(self.spy.symbol, 1, round(self.spy.bid_price) + 1), Leg.create(self.ibm.symbol, -1, round(self.ibm.bid_price) + 1)]
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self.combo_leg_limit_order(legs, 100)
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def on_order_event(self, order_event):
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def on_order_event(self, order_event: OrderEvent) -> None:
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if order_event.status == OrderStatus.FILLED:
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order_type = self.transactions.get_order_by_id(order_event.order_id).type
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if order_type == OrderType.COMBO_MARKET and order_event.absolute_fill_quantity != 50:
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@@ -52,19 +52,19 @@ class ComboOrdersFillModelAlgorithm(QCAlgorithm):
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elif order_type == OrderType.COMBO_LEG_LIMIT and order_event.absolute_fill_quantity != 10:
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raise AssertionError(f"The absolute quantity filled for all combo leg limit orders should be 10, but for order {order_event.order_id} was {order_event.absolute_fill_quantity}")
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self.order_types[order_type] = 1
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self._order_types[order_type] = 1
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def on_end_of_algorithm(self):
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if len(self.order_types) != 3:
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raise AssertionError(f"Just 3 different types of order were submitted in this algorithm, but the amount of order types was {len(self.order_types)}")
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def on_end_of_algorithm(self) -> None:
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if len(self._order_types) != 3:
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raise AssertionError(f"Just 3 different types of order were submitted in this algorithm, but the amount of order types was {len(self._order_types)}")
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if OrderType.COMBO_MARKET not in self.order_types.keys():
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if OrderType.COMBO_MARKET not in self._order_types.keys():
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raise AssertionError(f"One Combo Market Order should have been submitted but it was not")
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if OrderType.COMBO_LIMIT not in self.order_types.keys():
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if OrderType.COMBO_LIMIT not in self._order_types.keys():
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raise AssertionError(f"One Combo Limit Order should have been submitted but it was not")
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if OrderType.COMBO_LEG_LIMIT not in self.order_types.keys():
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if OrderType.COMBO_LEG_LIMIT not in self._order_types.keys():
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raise AssertionError(f"One Combo Leg Limit Order should have been submitted but it was not")
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@@ -72,10 +72,10 @@ class CustomPartialFillModel(FillModel):
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'''Implements a custom fill model that inherit from FillModel. Overrides combo_market_fill, combo_limit_fill and combo_leg_limit_fill
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methods to test FillModelPythonWrapper works as expected'''
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def __init__(self):
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def __init__(self) -> None:
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self.absolute_remaining_by_order_id = {}
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def fill_orders_partially(self, parameters, fills, quantity):
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def fill_orders_partially(self, parameters: FillModelParameters, fills: list[OrderEvent], quantity: int) -> list[OrderEvent]:
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partial_fills = []
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if len(fills) == 0:
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return partial_fills
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@@ -102,17 +102,17 @@ class CustomPartialFillModel(FillModel):
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return partial_fills
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def combo_market_fill(self, order, parameters):
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def combo_market_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:
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fills = super().combo_market_fill(order, parameters)
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partial_fills = self.fill_orders_partially(parameters, fills, 50)
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return partial_fills
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def combo_limit_fill(self, order, parameters):
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def combo_limit_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:
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fills = super().combo_limit_fill(order, parameters)
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partial_fills = self.fill_orders_partially(parameters, fills, 20)
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return partial_fills
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def combo_leg_limit_fill(self, order, parameters):
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def combo_leg_limit_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:
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fills = super().combo_leg_limit_fill(order, parameters)
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partial_fills = self.fill_orders_partially(parameters, fills, 10)
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return partial_fills
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