Martin Molinero
1dd742d1b8
- Improving OrderSizing.Value and Volume to include code in consumers - OrderSizing.GetUnorderedQuantity() will adjust result by lot size - ImmediateExecutionModels will use OrderSizing.GetUnorderedQuantity() - OrderSizing.Value() will take into account ContractMultiplier - Adding unit tests
51 lines
2.3 KiB
Python
51 lines
2.3 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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class ImmediateExecutionModel(ExecutionModel):
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'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
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def __init__(self):
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'''Initializes a new instance of the ImmediateExecutionModel class'''
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self.targetsCollection = PortfolioTargetCollection()
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def Execute(self, algorithm, targets):
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'''Immediately submits orders for the specified portfolio targets.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets to be ordered'''
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# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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self.targetsCollection.AddRange(targets)
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if self.targetsCollection.Count > 0:
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for target in self.targetsCollection.OrderByMarginImpact(algorithm):
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# calculate remaining quantity to be ordered
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quantity = OrderSizing.GetUnorderedQuantity(algorithm, target)
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if quantity != 0:
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algorithm.MarketOrder(target.Symbol, quantity)
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self.targetsCollection.ClearFulfilled(algorithm)
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