Ricardo Andrés Marino Rojas
0e61415ce2
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* First draft of the solution * Add missing algorithm * Improve regression tests * Nit change * Address requests * Nit change * Address minor requests * Nit changes * Nit suggestion
51 lines
2.6 KiB
Python
51 lines
2.6 KiB
Python
# 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 *
|
|
|
|
class ImmediateExecutionModel(ExecutionModel):
|
|
'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
|
|
|
|
def __init__(self):
|
|
'''Initializes a new instance of the ImmediateExecutionModel class'''
|
|
self.targets_collection = PortfolioTargetCollection()
|
|
|
|
def execute(self, algorithm, targets):
|
|
'''Immediately submits orders for the specified portfolio targets.
|
|
Args:
|
|
algorithm: The algorithm instance
|
|
targets: The portfolio targets to be ordered'''
|
|
|
|
# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
|
|
self.targets_collection.add_range(targets)
|
|
if not self.targets_collection.is_empty:
|
|
for target in self.targets_collection.order_by_margin_impact(algorithm):
|
|
security = algorithm.securities[target.symbol]
|
|
# calculate remaining quantity to be ordered
|
|
quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
|
|
|
|
if quantity != 0:
|
|
above_minimum_portfolio = BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(
|
|
security.buying_power_model,
|
|
security,
|
|
quantity,
|
|
algorithm.portfolio,
|
|
algorithm.settings.minimum_order_margin_portfolio_percentage)
|
|
if above_minimum_portfolio:
|
|
algorithm.market_order(security, quantity)
|
|
elif not PortfolioTarget.minimum_order_margin_percentage_warning_sent:
|
|
# will trigger the warning if it has not already been sent
|
|
PortfolioTarget.minimum_order_margin_percentage_warning_sent = False
|
|
|
|
self.targets_collection.clear_fulfilled(algorithm)
|