Martin-Molinero
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* Add forward data only fill model example - Add forward data only custom fill model C# & PY example. - Minor adjustment for 'MarketOrderFillTimeout' to be zero always in backtesting * Address reviews
52 lines
2.5 KiB
Python
52 lines
2.5 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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### Example of custom fill model for security to only fill bars of data obtained after the order was placed. This is to encourage more
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### pessimistic fill models and eliminate the possibility to fill on old market data that may not be relevant.
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### </summary>
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class ForwardDataOnlyFillModelAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,1)
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self.SetEndDate(2013,10,31)
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self.security = self.AddEquity("SPY", Resolution.Hour)
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self.security.SetFillModel(ForwardDataOnlyFillModel())
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self.Schedule.On(self.DateRules.WeekStart(), self.TimeRules.AfterMarketOpen(self.security.Symbol), self.Trade)
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def Trade(self):
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if not self.Portfolio.Invested:
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if self.Time.hour != 9 or self.Time.minute != 30:
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raise Exception(f"Unexpected event time {self.Time}")
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ticket = self.Buy("SPY", 1)
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if ticket.Status != OrderStatus.Submitted:
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raise Exception(f"Unexpected order status {ticket.Status}")
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def OnOrderEvent(self, orderEvent: OrderEvent):
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self.Debug(f"OnOrderEvent:: {orderEvent}")
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if orderEvent.Status == OrderStatus.Filled and (self.Time.hour != 10 or self.Time.minute != 0):
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raise Exception(f"Unexpected fill time {self.Time}")
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class ForwardDataOnlyFillModel(EquityFillModel):
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def Fill(self, parameters: FillModelParameters):
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orderLocalTime = Extensions.ConvertFromUtc(parameters.Order.Time, parameters.Security.Exchange.TimeZone)
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for dataType in [ QuoteBar, TradeBar, Tick ]:
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data = parameters.Security.Cache.GetData[dataType]()
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if not data is None and orderLocalTime <= data.EndTime:
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return super().Fill(parameters)
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return Fill([])
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