Adds Rebate and Fee Rates to Shortable Provider (#7840)
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* Adds Rebate and Fee Rates to Shortable Provider

If the provider does have this information, the rates are zero.

* Adds Helper Methods to QCAlgorithm

- Improve summaries.
- Express values as rates instead of percentages.
- Adds headers to files to emulate real data

* Clarify the Data Format

* Removes Helper Methods from QCAlgorithm

* Removes `Shortable` and `ShortableQuantity` from Example

Algorithms should prefer getting the information from the `Security.ShortableProvider`.
This commit is contained in:
Alexandre Catarino
2024-03-13 19:04:33 +00:00
committed by GitHub
parent b89d7d65b2
commit 44c7dbd698
16 changed files with 264 additions and 62 deletions
@@ -38,8 +38,19 @@ class CustomShortableProviderRegressionAlgorithm(QCAlgorithm):
orderQuantity = self.Transactions.GetOrderById(self.orderId).Quantity
if orderQuantity != -1001:
raise Exception("Quantity of order " + str(_orderId) + " should be " + str(-1001)+", but was {orderQuantity}")
fee_rate = self.spy.ShortableProvider.FeeRate(self.spy.Symbol, self.Time)
if fee_rate != 0.0025:
raise Exception(f"Fee rate should be 0.0025, but was {fee_rate}")
rebate_rate = self.spy.ShortableProvider.RebateRate(self.spy.Symbol, self.Time)
if rebate_rate != 0.0507:
raise Exception(f"Rebate rate should be 0.0507, but was {rebate_rate}")
class CustomShortableProvider(NullShortableProvider):
def FeeRate(self, symbol: Symbol, localTime: DateTime):
return 0.0025
def RebateRate(self, symbol: Symbol, localTime: DateTime):
return 0.0507
def ShortableQuantity(self, symbol: Symbol, localTime: DateTime):
if localTime < datetime(2013,10,5):
return 10