AlexCatarino
c820ad4c36
- Typoes were fixed in `ImmediateExecutionModel.cs`; - Refactors `PriceIsFavorable` methods in `StandardDeviationExecutionModel` and `VolumeWeightedAveragePriceExecutionModel` C# models; - Adds python version of C# execution models
43 lines
1.9 KiB
Python
43 lines
1.9 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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class ImmediateExecutionModel:
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'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
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def Execute(self, algorithm, targets):
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'''Immediately submits orders for the specified portfolio targets.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets to be ordered'''
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for target in targets:
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open_quantity = sum([x.Quantity for x in algorithm.Transactions.GetOpenOrders(target.Symbol)])
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existing = algorithm.Securities[target.Symbol].Holdings.Quantity + open_quantity
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quantity = target.Quantity - existing
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if quantity != 0:
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algorithm.MarketOrder(target.Symbol, quantity)
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def OnSecuritiesChanged(self, algorithm, changes):
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'''Event fired each time the we add/remove securities from the data feed
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Args:
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algorithm: The algorithm instance that experienced the change in securities
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changes: The security additions and removals from the algorithm'''
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pass |