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pep8 conversions of python algos, #6 (#7944)

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* pep8 conversions

* Address review. Fix PythonIndicator

* Minor CSharp algo fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 02:15:18 +08:00
committed by GitHub
parent 1cae47ab25
commit 5eb236834f
35 changed files with 758 additions and 746 deletions
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Algorithm.Python/CustomPartialFillModelAlgorithm.py
+26 -26
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@@ -20,27 +20,27 @@ from AlgorithmImports import *
class CustomPartialFillModelAlgorithm(QCAlgorithm):
'''Basic template algorithm that implements a fill model with partial fills'''
def Initialize(self):
self.SetStartDate(2019, 1, 1)
self.SetEndDate(2019, 3, 1)
def initialize(self):
self.set_start_date(2019, 1, 1)
self.set_end_date(2019, 3, 1)
equity = self.AddEquity("SPY", Resolution.Hour)
self.spy = equity.Symbol
self.holdings = equity.Holdings
equity = self.add_equity("SPY", Resolution.HOUR)
self.spy = equity.symbol
self.holdings = equity.holdings
# Set the fill model
equity.SetFillModel(CustomPartialFillModel(self))
equity.set_fill_model(CustomPartialFillModel(self))
def OnData(self, data):
open_orders = self.Transactions.GetOpenOrders(self.spy)
def on_data(self, data):
open_orders = self.transactions.get_open_orders(self.spy)
if len(open_orders) != 0: return
if self.Time.day > 10 and self.holdings.Quantity <= 0:
self.MarketOrder(self.spy, 105, True)
if self.time.day > 10 and self.holdings.quantity <= 0:
self.market_order(self.spy, 105, True)
elif self.Time.day > 20 and self.holdings.Quantity >= 0:
self.MarketOrder(self.spy, -100, True)
elif self.time.day > 20 and self.holdings.quantity >= 0:
self.market_order(self.spy, -100, True)
class CustomPartialFillModel(FillModel):
@@ -48,25 +48,25 @@ class CustomPartialFillModel(FillModel):
def __init__(self, algorithm):
self.algorithm = algorithm
self.absoluteRemainingByOrderId = {}
self.absolute_remaining_by_order_id = {}
def MarketFill(self, asset, order):
absoluteRemaining = self.absoluteRemainingByOrderId.get(order.Id, order. AbsoluteQuantity)
def market_fill(self, asset, order):
absolute_remaining = self.absolute_remaining_by_order_id.get(order.id, order. AbsoluteQuantity)
# Create the object
fill = super().MarketFill(asset, order)
fill = super().market_fill(asset, order)
# Set the fill amount
fill.FillQuantity = np.sign(order.Quantity) * 10
fill.fill_quantity = np.sign(order.quantity) * 10
if (min(abs(fill.FillQuantity), absoluteRemaining) == absoluteRemaining):
fill.FillQuantity = np.sign(order.Quantity) * absoluteRemaining
fill.Status = OrderStatus.Filled
self.absoluteRemainingByOrderId.pop(order.Id, None)
if (min(abs(fill.fill_quantity), absolute_remaining) == absolute_remaining):
fill.fill_quantity = np.sign(order.quantity) * absolute_remaining
fill.status = OrderStatus.FILLED
self.absolute_remaining_by_order_id.pop(order.id, None)
else:
fill.Status = OrderStatus.PartiallyFilled
self.absoluteRemainingByOrderId[order.Id] = absoluteRemaining - abs(fill.FillQuantity)
price = fill.FillPrice
# self.algorithm.Debug(f"{self.algorithm.Time} - Partial Fill - Remaining {self.absoluteRemainingByOrderId[order.Id]} Price - {price}")
fill.status = OrderStatus.PARTIALLY_FILLED
self.absolute_remaining_by_order_id[order.id] = absolute_remaining - abs(fill.fill_quantity)
price = fill.fill_price
# self.algorithm.debug(f"{self.algorithm.time} - Partial Fill - Remaining {self.absolute_remaining_by_order_id[order.id]} Price - {price}")
return fill