# 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 AlgorithmImports import * from CustomBrokerageModelRegressionAlgorithm import CustomBrokerageModel ### ### Regression algorithm to test we can specify a custom settlement model, and override some of its methods ### class CustomSettlementModelRegressionAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013,10,7) self.SetEndDate(2013,10,11) self.SetCash(10000) self.spy = self.AddEquity("SPY", Resolution.Daily) self.SetSettlementModel(self.spy) def SetSettlementModel(self, security): self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel()) def OnData(self, slice): if self.Portfolio.CashBook[Currencies.USD].Amount == 10000: parameters = ApplyFundsSettlementModelParameters(self.Portfolio, self.spy, self.Time, CashAmount(101, Currencies.USD), None) self.spy.SettlementModel.ApplyFunds(parameters) def OnEndOfAlgorithm(self): if self.Portfolio.CashBook[Currencies.USD].Amount != 10101: raise Exception(f"It was expected to have 10101 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}") parameters = ScanSettlementModelParameters(self.Portfolio, self.spy, datetime(2013, 10, 6)) self.spy.SettlementModel.Scan(parameters) if self.Portfolio.CashBook[Currencies.USD].Amount != 10000: raise Exception(f"It was expected to have 10000 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}") class CustomSettlementModel: def ApplyFunds(self, parameters): self.currency = parameters.CashAmount.Currency; self.amount = parameters.CashAmount.Amount parameters.Portfolio.CashBook[self.currency].AddAmount(self.amount) def Scan(self, parameters): if parameters.UtcTime == datetime(2013, 10, 6): parameters.Portfolio.CashBook[self.currency].AddAmount(-self.amount) def GetUnsettledCash(self): return None class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel): def GetSettlementModel(self, security): return CustomSettlementModel()