Alexandre Catarino
44c7dbd698
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
* Adds Rebate and Fee Rates to Shortable Provider If the provider does have this information, the rates are zero. * Adds Helper Methods to QCAlgorithm - Improve summaries. - Express values as rates instead of percentages. - Adds headers to files to emulate real data * Clarify the Data Format * Removes Helper Methods from QCAlgorithm * Removes `Shortable` and `ShortableQuantity` from Example Algorithms should prefer getting the information from the `Security.ShortableProvider`.
59 lines
2.6 KiB
Python
59 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 *
|
|
|
|
### <summary>
|
|
### Regression algorithm asserting we can specify a custom Shortable Provider
|
|
### </summary>
|
|
class CustomShortableProviderRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetCash(1000000);
|
|
self.SetStartDate(2013,10,4)
|
|
self.SetEndDate(2013,10,6)
|
|
self.spy = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily)
|
|
self.spy.SetShortableProvider(CustomShortableProvider())
|
|
|
|
def OnData(self, data):
|
|
spyShortableQuantity = self.spy.ShortableProvider.ShortableQuantity(self.spy.Symbol, self.Time)
|
|
if spyShortableQuantity > 1000:
|
|
self.orderId = self.Sell("SPY", int(spyShortableQuantity))
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
transactions = self.Transactions.OrdersCount
|
|
if transactions != 1:
|
|
raise Exception("Algorithm should have just 1 order, but was " + str(transactions))
|
|
|
|
orderQuantity = self.Transactions.GetOrderById(self.orderId).Quantity
|
|
if orderQuantity != -1001:
|
|
raise Exception("Quantity of order " + str(_orderId) + " should be " + str(-1001)+", but was {orderQuantity}")
|
|
|
|
fee_rate = self.spy.ShortableProvider.FeeRate(self.spy.Symbol, self.Time)
|
|
if fee_rate != 0.0025:
|
|
raise Exception(f"Fee rate should be 0.0025, but was {fee_rate}")
|
|
rebate_rate = self.spy.ShortableProvider.RebateRate(self.spy.Symbol, self.Time)
|
|
if rebate_rate != 0.0507:
|
|
raise Exception(f"Rebate rate should be 0.0507, but was {rebate_rate}")
|
|
|
|
class CustomShortableProvider(NullShortableProvider):
|
|
def FeeRate(self, symbol: Symbol, localTime: DateTime):
|
|
return 0.0025
|
|
def RebateRate(self, symbol: Symbol, localTime: DateTime):
|
|
return 0.0507
|
|
def ShortableQuantity(self, symbol: Symbol, localTime: DateTime):
|
|
if localTime < datetime(2013,10,5):
|
|
return 10
|
|
else:
|
|
return 1001
|