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
64 lines
2.8 KiB
C#
64 lines
2.8 KiB
C#
/*
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* 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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*/
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.Framework.Execution
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{
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/// <summary>
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/// Provides an implementation of <see cref="IExecutionModel"/> that immediately submits
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/// market orders to achieve the desired portfolio targets
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/// </summary>
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public class ImmediateExecutionModel : ExecutionModel
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{
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private readonly PortfolioTargetCollection _targetsCollection = new PortfolioTargetCollection();
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/// <summary>
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/// Immediately submits orders for the specified portfolio targets.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The portfolio targets to be ordered</param>
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public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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_targetsCollection.AddRange(targets);
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// for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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if (_targetsCollection.Count > 0)
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{
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foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
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{
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// calculate remaining quantity to be ordered
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var quantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
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if (quantity != 0)
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{
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algorithm.MarketOrder(target.Symbol, quantity);
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}
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}
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_targetsCollection.ClearFulfilled(algorithm);
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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}
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}
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} |