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Filter out small orders based on Setting (#5776)
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* Filter out small orders based on Setting

- BuyingPowerModel will filter out small orders based on algorithm
  setting, a % of PTV, instead of hard coded 1 share value. Addin unit
  and regression tests
- Updating regression algorithms to use new setting, reduce order trades

* Update regression algorithms
This commit is contained in:
Martin-Molinero
2021-07-19 13:17:51 -03:00
committed by GitHub
parent e2e2b5f102
commit cb326788b3
49 changed files with 778 additions and 433 deletions
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Algorithm.Python/DropboxBaseDataUniverseSelectionAlgorithm.py
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@@ -28,6 +28,10 @@ class DropboxBaseDataUniverseSelectionAlgorithm(QCAlgorithm):
self.UniverseSettings.Resolution = Resolution.Daily
# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
# Commented so regression algorithm is more sensitive
#self.Settings.MinimumOrderMarginPortfolioPercentage = 0.005
self.SetStartDate(2017, 7, 4)
self.SetEndDate(2018, 7, 4)