Jhonathan Abreu
63 lines
2.5 KiB
Python
63 lines
2.5 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 *
|
|
|
|
### <summary>
|
|
### Demonstration of using custom margin interest rate model in backtesting.
|
|
### </summary>
|
|
class CustomMarginInterestRateModelAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
self.SetStartDate(2013, 10, 1)
|
|
self.SetEndDate(2013, 10, 31)
|
|
|
|
security = self.AddEquity("SPY", Resolution.Hour)
|
|
self._spy = security.Symbol
|
|
|
|
# set the margin interest rate model
|
|
self._marginInterestRateModel = CustomMarginInterestRateModel()
|
|
security.SetMarginInterestRateModel(self._marginInterestRateModel)
|
|
|
|
self._cashAfterOrder = 0
|
|
|
|
def OnData(self, data: Slice):
|
|
if not self.Portfolio.Invested:
|
|
self.SetHoldings(self._spy, 1)
|
|
|
|
def OnOrderEvent(self, orderEvent: OrderEvent):
|
|
if orderEvent.Status == OrderStatus.Filled:
|
|
self._cashAfterOrder = self.Portfolio.Cash
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if self._marginInterestRateModel.callCount == 0:
|
|
raise Exception("CustomMarginInterestRateModel was not called")
|
|
|
|
expectedCash = self._cashAfterOrder * pow(1 + self._marginInterestRateModel.interestRate, self._marginInterestRateModel.callCount)
|
|
|
|
if abs(self.Portfolio.Cash - expectedCash) > 1e-10:
|
|
raise Exception(f"Expected cash {expectedCash} but got {self.Portfolio.Cash}")
|
|
|
|
|
|
class CustomMarginInterestRateModel:
|
|
def __init__(self):
|
|
self.interestRate = 0.01
|
|
self.callCount = 0
|
|
|
|
def ApplyMarginInterestRate(self, parameters: MarginInterestRateParameters):
|
|
security = parameters.Security
|
|
positionValue = security.Holdings.GetQuantityValue(security.Holdings.Quantity)
|
|
|
|
if positionValue.Amount > 0:
|
|
positionValue.Cash.AddAmount(self.interestRate * positionValue.Cash.Amount)
|
|
self.callCount += 1
|