* pep8 conversion * Fix: detect python object of python classes derived from c# classes * Minor PEP8 updates/fixes --------- Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Louis Szeto
@@ -28,60 +28,59 @@ class CustomModelsAlgorithm(QCAlgorithm):
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'''Demonstration of using custom fee, slippage, fill, and buying power models for modelling transactions in backtesting.
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QuantConnect allows you to model all orders as deeply and accurately as you need.'''
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def Initialize(self):
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self.SetStartDate(2013,10,1) # Set Start Date
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self.SetEndDate(2013,10,31) # Set End Date
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self.security = self.AddEquity("SPY", Resolution.Hour)
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self.spy = self.security.Symbol
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def initialize(self):
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self.set_start_date(2013,10,1) # Set Start Date
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self.set_end_date(2013,10,31) # Set End Date
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self.security = self.add_equity("SPY", Resolution.HOUR)
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self.spy = self.security.symbol
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# set our models
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self.security.SetFeeModel(CustomFeeModel(self))
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self.security.SetFillModel(CustomFillModel(self))
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self.security.SetSlippageModel(CustomSlippageModel(self))
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self.security.SetBuyingPowerModel(CustomBuyingPowerModel(self))
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self.security.set_fee_model(CustomFeeModel(self))
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self.security.set_fill_model(CustomFillModel(self))
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self.security.set_slippage_model(CustomSlippageModel(self))
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self.security.set_buying_power_model(CustomBuyingPowerModel(self))
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def OnData(self, data):
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open_orders = self.Transactions.GetOpenOrders(self.spy)
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def on_data(self, data):
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open_orders = self.transactions.get_open_orders(self.spy)
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if len(open_orders) != 0: return
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if self.Time.day > 10 and self.security.Holdings.Quantity <= 0:
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quantity = self.CalculateOrderQuantity(self.spy, .5)
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self.Log(f"MarketOrder: {quantity}")
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self.MarketOrder(self.spy, quantity, True) # async needed for partial fill market orders
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if self.time.day > 10 and self.security.holdings.quantity <= 0:
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quantity = self.calculate_order_quantity(self.spy, .5)
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self.log(f"MarketOrder: {quantity}")
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self.market_order(self.spy, quantity, True) # async needed for partial fill market orders
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elif self.Time.day > 20 and self.security.Holdings.Quantity >= 0:
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quantity = self.CalculateOrderQuantity(self.spy, -.5)
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self.Log(f"MarketOrder: {quantity}")
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self.MarketOrder(self.spy, quantity, True) # async needed for partial fill market orders
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elif self.time.day > 20 and self.security.holdings.quantity >= 0:
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quantity = self.calculate_order_quantity(self.spy, -.5)
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self.log(f"MarketOrder: {quantity}")
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self.market_order(self.spy, quantity, True) # async needed for partial fill market orders
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# If we want to use methods from other models, you need to inherit from one of them
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class CustomFillModel(ImmediateFillModel):
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def __init__(self, algorithm):
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super().__init__()
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self.algorithm = algorithm
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self.absoluteRemainingByOrderId = {}
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self.absolute_remaining_by_order_id = {}
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self.random = Random(387510346)
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def MarketFill(self, asset, order):
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absoluteRemaining = order.AbsoluteQuantity
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def market_fill(self, asset, order):
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absolute_remaining = order.absolute_quantity
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if order.Id in self.absoluteRemainingByOrderId.keys():
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absoluteRemaining = self.absoluteRemainingByOrderId[order.Id]
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if order.id in self.absolute_remaining_by_order_id.keys():
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absolute_remaining = self.absolute_remaining_by_order_id[order.id]
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fill = super().MarketFill(asset, order)
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absoluteFillQuantity = int(min(absoluteRemaining, self.random.Next(0, 2*int(order.AbsoluteQuantity))))
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fill.FillQuantity = np.sign(order.Quantity) * absoluteFillQuantity
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if absoluteRemaining == absoluteFillQuantity:
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fill.Status = OrderStatus.Filled
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if self.absoluteRemainingByOrderId.get(order.Id):
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self.absoluteRemainingByOrderId.pop(order.Id)
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fill = super().market_fill(asset, order)
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absolute_fill_quantity = int(min(absolute_remaining, self.random.next(0, 2*int(order.absolute_quantity))))
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fill.fill_quantity = np.sign(order.quantity) * absolute_fill_quantity
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if absolute_remaining == absolute_fill_quantity:
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fill.status = OrderStatus.FILLED
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if self.absolute_remaining_by_order_id.get(order.id):
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self.absolute_remaining_by_order_id.pop(order.id)
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else:
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absoluteRemaining = absoluteRemaining - absoluteFillQuantity
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self.absoluteRemainingByOrderId[order.Id] = absoluteRemaining
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fill.Status = OrderStatus.PartiallyFilled
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self.algorithm.Log(f"CustomFillModel: {fill}")
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absolute_remaining = absolute_remaining - absolute_fill_quantity
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self.absolute_remaining_by_order_id[order.id] = absolute_remaining
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fill.status = OrderStatus.PARTIALLY_FILLED
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self.algorithm.log(f"CustomFillModel: {fill}")
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return fill
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class CustomFeeModel(FeeModel):
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@@ -89,22 +88,22 @@ class CustomFeeModel(FeeModel):
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super().__init__()
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self.algorithm = algorithm
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def GetOrderFee(self, parameters):
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def get_order_fee(self, parameters):
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# custom fee math
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fee = max(1, parameters.Security.Price
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* parameters.Order.AbsoluteQuantity
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fee = max(1, parameters.security.price
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* parameters.order.absolute_quantity
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* 0.00001)
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self.algorithm.Log(f"CustomFeeModel: {fee}")
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self.algorithm.log(f"CustomFeeModel: {fee}")
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return OrderFee(CashAmount(fee, "USD"))
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class CustomSlippageModel:
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def __init__(self, algorithm):
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self.algorithm = algorithm
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def GetSlippageApproximation(self, asset, order):
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def get_slippage_approximation(self, asset, order):
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# custom slippage math
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slippage = asset.Price * 0.0001 * np.log10(2*float(order.AbsoluteQuantity))
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self.algorithm.Log(f"CustomSlippageModel: {slippage}")
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slippage = asset.price * 0.0001 * np.log10(2*float(order.absolute_quantity))
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self.algorithm.log(f"CustomSlippageModel: {slippage}")
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return slippage
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class CustomBuyingPowerModel(BuyingPowerModel):
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@@ -112,71 +111,71 @@ class CustomBuyingPowerModel(BuyingPowerModel):
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super().__init__()
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self.algorithm = algorithm
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def HasSufficientBuyingPowerForOrder(self, parameters):
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def has_sufficient_buying_power_for_order(self, parameters):
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# custom behavior: this model will assume that there is always enough buying power
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hasSufficientBuyingPowerForOrderResult = HasSufficientBuyingPowerForOrderResult(True)
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self.algorithm.Log(f"CustomBuyingPowerModel: {hasSufficientBuyingPowerForOrderResult.IsSufficient}")
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return hasSufficientBuyingPowerForOrderResult
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has_sufficient_buying_power_for_order_result = HasSufficientBuyingPowerForOrderResult(True)
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self.algorithm.log(f"CustomBuyingPowerModel: {has_sufficient_buying_power_for_order_result.is_sufficient}")
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return has_sufficient_buying_power_for_order_result
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# The simple fill model shows how to implement a simpler version of
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# The simple fill model shows how to implement a simpler version of
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# the most popular order fills: Market, Stop Market and Limit
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class SimpleCustomFillModel(FillModel):
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def __init__(self):
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super().__init__()
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def _create_order_event(self, asset, order):
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utcTime = Extensions.ConvertToUtc(asset.LocalTime, asset.Exchange.TimeZone)
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return OrderEvent(order, utcTime, OrderFee.Zero)
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utc_time = Extensions.convert_to_utc(asset.local_time, asset.exchange.time_zone)
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return OrderEvent(order, utc_time, OrderFee.ZERO)
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def _set_order_event_to_filled(self, fill, fill_price, fill_quantity):
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fill.Status = OrderStatus.Filled
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fill.FillQuantity = fill_quantity
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fill.FillPrice = fill_price
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fill.status = OrderStatus.FILLED
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fill.fill_quantity = fill_quantity
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fill.fill_price = fill_price
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return fill
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def _get_trade_bar(self, asset, orderDirection):
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trade_bar = asset.Cache.GetData[TradeBar]()
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def _get_trade_bar(self, asset, order_direction):
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trade_bar = asset.cache.get_data[TradeBar]()
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if trade_bar: return trade_bar
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# Tick-resolution data doesn't have TradeBar, use the asset price
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price = asset.Price
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return TradeBar(asset.LocalTime, asset.Symbol, price, price, price, price, 0)
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price = asset.price
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return TradeBar(asset.local_time, asset.symbol, price, price, price, price, 0)
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def MarketFill(self, asset, order):
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def market_fill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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if order.status == OrderStatus.CANCELED: return fill
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return self._set_order_event_to_filled(fill,
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asset.Cache.AskPrice \
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if order.Direction == OrderDirection.Buy else asset.Cache.BidPrice,
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order.Quantity)
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return self._set_order_event_to_filled(fill,
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asset.cache.ask_price \
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if order.direction == OrderDirection.BUY else asset.cache.bid_price,
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order.quantity)
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def StopMarketFill(self, asset, order):
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def stop_market_fill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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stop_price = order.StopPrice
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trade_bar = self._get_trade_bar(asset, order.Direction)
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if order.Direction == OrderDirection.Sell and trade_bar.Low < stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.Quantity)
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if order.status == OrderStatus.CANCELED: return fill
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if order.Direction == OrderDirection.Buy and trade_bar.High > stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.Quantity)
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stop_price = order.stop_price
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trade_bar = self._get_trade_bar(asset, order.direction)
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if order.direction == OrderDirection.SELL and trade_bar.low < stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.quantity)
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if order.direction == OrderDirection.BUY and trade_bar.high > stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.quantity)
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return fill
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def LimitFill(self, asset, order):
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def limit_fill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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if order.status == OrderStatus.CANCELED: return fill
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limit_price = order.LimitPrice
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trade_bar = self._get_trade_bar(asset, order.Direction)
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limit_price = order.limit_price
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trade_bar = self._get_trade_bar(asset, order.direction)
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if order.Direction == OrderDirection.Sell and trade_bar.High > limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.Quantity)
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if order.direction == OrderDirection.SELL and trade_bar.high > limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.quantity)
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if order.Direction == OrderDirection.Buy and trade_bar.Low < limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.Quantity)
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if order.direction == OrderDirection.BUY and trade_bar.low < limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.quantity)
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return fill
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