Ricardo Andrés Marino Rojas
02e54d0242
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* Implement `OptionExerciseModelPythonWrapper.cs` - Modifiy `Option.cs` to set the automatic exercise model, even if it's a python custom option model exercise model - Add `QuantConnect.Orders.OptionExercise` in `AlgorithmImports.py` - Add regression algorithms in C# and Python showing how to specify a custom option exercise model * Address required changes - Remove unnecessary constructor in ´CustomOptionExerciseModelRegressionAlgorithm.cs´ - Change `.Dispose()` in `OptionExerciseModelPythonWrapper.OptionExercise(9` to ´using´ keyword - Change `Option.SetOptionExerciseModel()` XML docs * Minor tweaks * Update CustomOptionExerciseModelRegressionAlgorithm.cs --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com>
47 lines
1.8 KiB
Python
47 lines
1.8 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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from QuantConnect.Algorithm.CSharp import *
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### <summary>
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### Regression algorithm asserting we can specify a custom option exercise model
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### </summary>
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class CustomOptionExerciseModelRegressionAlgorithm(OptionAssignmentRegressionAlgorithm):
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def Initialize(self):
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self.SetSecurityInitializer(self.CustomSecurityInitializer)
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super().Initialize()
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def CustomSecurityInitializer(self, security):
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if Extensions.IsOption(security.Symbol.SecurityType):
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security.SetOptionExerciseModel(CustomExerciseModel())
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def OnData(self, data):
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super().OnData(data)
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class CustomExerciseModel(DefaultExerciseModel):
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def OptionExercise(self, option: Option, order: OptionExerciseOrder):
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order_event = OrderEvent(
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order.Id,
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option.Symbol,
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Extensions.ConvertToUtc(option.LocalTime, option.Exchange.TimeZone),
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OrderStatus.Filled,
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Extensions.GetOrderDirection(order.Quantity),
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0.0,
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order.Quantity,
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OrderFee.Zero,
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"Tag"
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)
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order_event.IsAssignment = False
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return [ order_event ]
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