Adds CustomPartialFillModelAlgorithm

This basic algorithm implements a `CustomPartialFillModel` class that chnages the behavior of the `FillModel.MarketFill` to simulate partially fill orders.
2020-04-13 18:50:03 +01:00
parent 8564a29d8a
commit e23d7e4486
4 changed files with 191 additions and 2 deletions
@@ -0,0 +1,79 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from QuantConnect import *
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Orders import OrderStatus
+from QuantConnect.Orders.Fills import FillModel
+import numpy as np
+
+### <summary>
+### Basic template algorithm that implements a fill model with partial fills
+### <meta name="tag" content="trading and orders" />
+### </summary>
+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)
+
+        equity = self.AddEquity("SPY", Resolution.Hour)
+        self.spy = equity.Symbol
+        self.holdings = equity.Holdings
+
+        # Set the fill model
+        equity.SetFillModel(CustomPartialFillModel(self))
+
+
+    def OnData(self, data):
+        open_orders = self.Transactions.GetOpenOrders(self.spy)
+        if len(open_orders) != 0: return
+
+        if self.Time.day > 10 and self.holdings.Quantity <= 0:
+            self.MarketOrder(self.spy, 100, True)
+
+        elif self.Time.day > 20 and self.holdings.Quantity >= 0:
+            self.MarketOrder(self.spy, -100, True)
+
+
+class CustomPartialFillModel(FillModel):
+    '''Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders'''
+
+    def __init__(self, algorithm):
+        self.algorithm = algorithm
+        self.absoluteRemainingByOrderId = {}
+
+    def MarketFill(self, asset, order):
+        absoluteRemaining = self.absoluteRemainingByOrderId.get(order.Id, order. AbsoluteQuantity)
+
+        # Create the object
+        fill = super().MarketFill(asset, order)
+
+        # Set this fill amount
+        fill.FillQuantity = np.sign(order.Quantity) * 10
+
+        if absoluteRemaining == fill.FillQuantity:
+            fill.Status = OrderStatus.Filled
+            self.absoluteRemainingByOrderId.pop(order.Id, None)
+        else:
+            fill.Status = OrderStatus.PartiallyFilled
+            self.absoluteRemainingByOrderId[order.Id] = absoluteRemaining - fill.FillQuantity
+            price = fill.FillPrice
+            self.algorithm.Debug(f"{self.algorithm.Time} - Partial Fill - Remaining {absoluteRemaining} Price - {price}")
+
+        return fill