#2715: Fixes CustomModelsAlgorithm.py making wrong trades.

2019-01-16 13:42:54 -08:00
parent 182152ea47
commit ad06996a7e
1 changed files with 8 additions and 4 deletions
@@ -71,15 +71,19 @@ class CustomFillModel(ImmediateFillModel):
    def __init__(self, algorithm):
        self.algorithm = algorithm
        self.absoluteRemainingByOrderId = {}
-        random.seed(100)
+        self.random = Random(387510346)

    def MarketFill(self, asset, order):
-        #if not _absoluteRemainingByOrderId.TryGetValue(order.Id, absoluteRemaining):
        absoluteRemaining = order.AbsoluteQuantity
-        self.absoluteRemainingByOrderId[order.Id] = order.AbsoluteQuantity
+
+        if order.Id in self.absoluteRemainingByOrderId.keys():
+            absoluteRemaining = self.absoluteRemainingByOrderId[order.Id]
+            self.absoluteRemainingByOrderId[order.Id] = order.AbsoluteQuantity
+
        fill = super().MarketFill(asset, order)
-        absoluteFillQuantity = int(min(absoluteRemaining, random.randint(0, 2*int(order.AbsoluteQuantity))))
+        absoluteFillQuantity = int(min(absoluteRemaining, self.random.Next(0, 2*int(order.AbsoluteQuantity))))
        fill.FillQuantity = np.sign(order.Quantity) * absoluteFillQuantity
+        
        if absoluteRemaining == absoluteFillQuantity:
            fill.Status = OrderStatus.Filled
            if self.absoluteRemainingByOrderId.get(order.Id):