Martin-Molinero
27de93f78f
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* Market orders wait for fresh data instead of filling on stale prices A market order would previously fill immediately on the most recent available data even when that data was older than StalePriceTimeSpan (default one hour), only attaching a warning. This is unrealistic for a coarse resolution asset (hour/daily) where the latest bar is the stale previous close when the order is placed mid-bar or via an intraday scheduled event. The default fill models (FillModel, EquityFillModel, FutureFillModel) now wait for fresh data instead of filling on a stale price, but only for hour and daily resolutions; the order fills when the next bar closes. For minute/second/tick subscriptions the previous behavior is kept (fill on the stale price with a warning), since stale data there is a genuine gap rather than a bar still forming. Adds HourResolutionMarketOrderStalePriceRegressionAlgorithm, updates the FillOutsideHours daily expectation, and regenerates statistics for the hour/daily algorithms whose fills change. FutureOptionDaily buys and liquidates a day apart now (a same-day buy + liquidate cannot fill on daily data once stale fills are disabled). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Normalize and correct StalePriceTimeSpan XML docs The interface and class docs now match and reflect the actual behavior: the wait-for-fresh-data only applies to hour/daily resolutions, while minute/second/tick subscriptions still fill on stale data with a warning. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Fill resting market orders at the bar open instead of the close A hour/daily market order that was resting before the current bar opened (it predates the bar - placed after the previous close or while waiting for fresh data) now fills at the bar open, the price when trading resumed (like a MarketOnOpen), instead of the bar close. Orders placed during the bar still fill at the current/close price, so intraday mid-bar fills are unchanged. Equity fills are unchanged (resting equity orders are already converted to MarketOnOpen by QCAlgorithm.MarketOrder). Adds the shared FillModel.GetMarketFillPrice helper used by the base FillModel and FutureFillModel, a unit test, and regenerates statistics for the affected daily/hour futures, index and crypto regression algorithms (order counts unchanged, only fill prices). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Add regression algorithm asserting resting market orders fill at the bar open RestingMarketOrderFillsAtBarOpenRegressionAlgorithm buys a daily future on the bar that delivers it (fills at that bar's close) and submits a liquidation while the market is closed (overnight pulse, no fresh bar). The liquidation rests and fills on a later bar at the bar open, not its close - asserting the new GetMarketFillPrice behavior. The in-bar buy is asserted to fill at the close, for contrast. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Carry the bar start time on Prices instead of re-reading the cache Add Prices.Time (the bar start, mirroring BaseData.Time/EndTime), populated from the source bar/tick in every GetPrices path. GetMarketFillPrice now uses prices.Time directly instead of a second asset.Cache.GetData() lookup. Behavior is unchanged (prices.Time equals the previously read cache time). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Add regression algorithm asserting in-session hour orders fill at the latest close HourMarketOrderFillsAtBarCloseRegressionAlgorithm submits an hour resolution market order mid-bar (via an intraday scheduled event) while the market is open, using the default one hour StalePriceTimeSpan. It asserts the order fills immediately at the latest available bar's close - not waiting and not at the bar open - since the latest bar is within the stale window. Guards the resting-order open-fill behavior against affecting ordinary in-session fills. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * Regenerate custom fill model algorithm statistics for the open-fill change CustomModelsAlgorithm and CustomPartialFillModelAlgorithm subscribe SPY at hour resolution and their custom fill models delegate to base.MarketFill, so resting orders now fill at the bar open. Regenerate their statistics (C#/Python) and the inline expected statistics of the PEP8StyleCustomModelsWork test. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> --------- Co-authored-by: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
68 lines
3.0 KiB
Python
68 lines
3.0 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 AlgorithmImports import *
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### <summary>
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### This regression algorithm tests using FutureOptions daily resolution
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### </summary>
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class FutureOptionDailyRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 6)
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self.set_end_date(2020, 1, 8)
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resolution = Resolution.DAILY
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# Add our underlying future contract
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self.es = self.add_future_contract(
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Symbol.create_future(
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Futures.Indices.SP_500_E_MINI,
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Market.CME,
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datetime(2020, 3, 20)
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),
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resolution).symbol
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# Attempt to fetch a specific ITM future option contract
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es_options = [
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self.add_future_option_contract(x, resolution).symbol
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for x in self.option_chain(self.es)
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if x.id.strike_price == 3200 and x.id.option_right == OptionRight.CALL
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]
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self.es_option = es_options[0]
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# Validate it is the expected contract
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expected_contract = Symbol.create_option(self.es, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200, datetime(2020, 3, 20))
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if self.es_option != expected_contract:
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raise AssertionError(f"Contract {self.es_option} was not the expected contract {expected_contract}")
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# On daily resolution the order fills at the daily close, so buy on the first day with available data and
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# liquidate the next day, once the purchase has filled at the previous close
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self.schedule.on(self.date_rules.on(2020, 1, 7), self.time_rules.at(10,0,0), self.schedule_callback_buy)
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self.schedule.on(self.date_rules.on(2020, 1, 8), self.time_rules.at(14,0,0), self.schedule_callback_liquidate)
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def schedule_callback_buy(self):
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self.market_order(self.es_option, 1)
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def on_data(self, slice):
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# Assert we are only getting data at 4PM NY, for ES future market closes at 16pm NY
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if slice.time.hour != 17:
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raise AssertionError(f"Expected data at 5PM each day; instead was {slice.time}")
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def schedule_callback_liquidate(self):
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self.liquidate()
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def on_end_of_algorithm(self):
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if self.portfolio.invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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