Jhonathan Abreu
3dab2e42eb
* Handle/filter brokerage side orders * Add unit tests * Minor fix * Add unrequested security for new brokerage-side orders * Add unit test for algorithms overriding the brokerage message handler * Add unit test for python algorithm overriding the brokerage message handler * Minor change * Address peer review
64 lines
2.8 KiB
Python
64 lines
2.8 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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### Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
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### This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
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###
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### All orders are sent from the brokerage, none of them will be placed by the algorithm.
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### </summary>
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class CustomBrokerageSideOrderHandlingRegressionAlgorithm(QCAlgorithm):
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'''Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
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This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
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All orders are sent from the brokerage, none of them will be placed by the algorithm.'''
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(100000)
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self.SetBrokerageMessageHandler(CustomBrokerageMessageHandler(self))
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self._spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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def OnEndOfAlgorithm(self):
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# The security should have been added
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if not self.Securities.ContainsKey(self._spy):
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raise Exception("Expected security to have been added")
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if self.Transactions.OrdersCount == 0:
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raise Exception("Expected orders to be added from brokerage side")
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if len(list(self.Portfolio.Positions.Groups)) != 1:
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raise Exception("Expected only one position")
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class CustomBrokerageMessageHandler(IBrokerageMessageHandler):
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__namespace__ = "CustomBrokerageSideOrderHandlingRegressionAlgorithm"
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def __init__(self, algorithm):
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self._algorithm = algorithm
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def HandleMessage(self, message):
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self._algorithm.Debug(f"{self._algorithm.Time} Event: {message.Message}")
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def HandleOrder(self, eventArgs):
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order = eventArgs.Order
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if order.Tag is None or not order.Tag.isdigit():
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raise Exception("Expected all new brokerage-side orders to have a valid tag")
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# We will only process orders with even tags
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return int(order.Tag) % 2 == 0
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