Jhonathan Abreu
98a3fd4306
* Delay security removal when there are pending settlements * Add unit test * Minor fixes * Minor fix * Replace HasUnsettledFunds method with UnsettledCash in ISettlementModel * Minor fix * Minor fix * Address peer review Replace ISettlementModel UnsettledCash property with GetUnsettledCash method that returns a CashAmount instead of a decimal to include the currency * Minor fix * Address peer review
60 lines
2.8 KiB
Python
60 lines
2.8 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 *
|
|
from CustomBrokerageModelRegressionAlgorithm import CustomBrokerageModel
|
|
|
|
### <summary>
|
|
### Regression algorithm to test we can specify a custom settlement model, and override some of its methods
|
|
### </summary>
|
|
class CustomSettlementModelRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
self.SetStartDate(2013,10,7)
|
|
self.SetEndDate(2013,10,11)
|
|
self.SetCash(10000)
|
|
self.spy = self.AddEquity("SPY", Resolution.Daily)
|
|
self.SetSettlementModel(self.spy)
|
|
|
|
def SetSettlementModel(self, security):
|
|
self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel())
|
|
|
|
def OnData(self, slice):
|
|
if self.Portfolio.CashBook[Currencies.USD].Amount == 10000:
|
|
parameters = ApplyFundsSettlementModelParameters(self.Portfolio, self.spy, self.Time, CashAmount(101, Currencies.USD), None)
|
|
self.spy.SettlementModel.ApplyFunds(parameters)
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if self.Portfolio.CashBook[Currencies.USD].Amount != 10101:
|
|
raise Exception(f"It was expected to have 10101 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
|
|
parameters = ScanSettlementModelParameters(self.Portfolio, self.spy, datetime(2013, 10, 6))
|
|
self.spy.SettlementModel.Scan(parameters)
|
|
if self.Portfolio.CashBook[Currencies.USD].Amount != 10000:
|
|
raise Exception(f"It was expected to have 10000 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
|
|
|
|
class CustomSettlementModel:
|
|
def ApplyFunds(self, parameters):
|
|
self.currency = parameters.CashAmount.Currency;
|
|
self.amount = parameters.CashAmount.Amount
|
|
parameters.Portfolio.CashBook[self.currency].AddAmount(self.amount)
|
|
|
|
def Scan(self, parameters):
|
|
if parameters.UtcTime == datetime(2013, 10, 6):
|
|
parameters.Portfolio.CashBook[self.currency].AddAmount(-self.amount)
|
|
|
|
def GetUnsettledCash(self):
|
|
return None
|
|
|
|
class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
|
|
def GetSettlementModel(self, security):
|
|
return CustomSettlementModel()
|