Gerardo Salazar
103 lines
4.7 KiB
Python
103 lines
4.7 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 QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Brokerages import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Data.Shortable import *
|
|
from QuantConnect.Interfaces import *
|
|
from QuantConnect.Orders import *
|
|
|
|
class RegressionTestShortableBrokerageModel(DefaultBrokerageModel):
|
|
def __init__(self):
|
|
self.ShortableProvider = LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", Market.USA)
|
|
|
|
### <summary>
|
|
### Tests that orders are denied if they exceed the max shortable quantity.
|
|
### </summary>
|
|
class ShortableProviderOrdersRejectedRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
self.ordersAllowed = []
|
|
self.ordersDenied = []
|
|
self.initialize = False
|
|
self.invalidatedAllowedOrder = False
|
|
self.invalidatedNewOrderWithPortfolioHoldings = False
|
|
|
|
self.SetStartDate(2013, 10, 4)
|
|
self.SetEndDate(2013, 10, 11)
|
|
self.SetCash(10000000)
|
|
|
|
self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
|
|
self.aig = self.AddEquity("AIG", Resolution.Minute).Symbol
|
|
|
|
self.SetBrokerageModel(RegressionTestShortableBrokerageModel())
|
|
|
|
def OnData(self, data):
|
|
if not self.initialize:
|
|
self.HandleOrder(self.LimitOrder(self.spy, -1001, 10000)) # Should be canceled, exceeds the max shortable quantity
|
|
self.HandleOrder(self.LimitOrder(self.spy, -1000, 10000)) # Allowed, orders at or below 1000 should be accepted
|
|
self.HandleOrder(self.LimitOrder(self.spy, -10, 0.01)) # Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
|
|
self.initialize = True
|
|
return
|
|
|
|
if not self.invalidatedAllowedOrder:
|
|
if len(self.ordersAllowed) != 1:
|
|
raise Exception(f"Expected 1 successful order, found: {len(self.ordersAllowed)}")
|
|
if len(self.ordersDenied) != 2:
|
|
raise Exception(f"Expected 2 failed orders, found: {len(self.ordersDenied)}")
|
|
|
|
allowedOrder = self.ordersAllowed[0]
|
|
orderUpdate = UpdateOrderFields()
|
|
orderUpdate.LimitPrice = 0.01
|
|
orderUpdate.Quantity = -1001
|
|
orderUpdate.Tag = "Testing updating and exceeding maximum quantity"
|
|
|
|
response = allowedOrder.Update(orderUpdate)
|
|
if response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity:
|
|
raise Exception(f"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode}")
|
|
|
|
cancelResponse = allowedOrder.Cancel()
|
|
if cancelResponse.IsError:
|
|
raise Exception("Expected to be able to cancel open order after bad qty update")
|
|
|
|
self.invalidatedAllowedOrder = True
|
|
self.ordersDenied.clear()
|
|
self.ordersAllowed.clear()
|
|
return
|
|
|
|
if not self.invalidatedNewOrderWithPortfolioHoldings:
|
|
self.HandleOrder(self.MarketOrder(self.spy, -1000)) # Should succeed, no holdings and no open orders to stop this
|
|
spyShares = self.Portfolio[self.spy].Quantity
|
|
if spyShares != -1000:
|
|
raise Exception(f"Expected -1000 shares in portfolio, found: {spyShares}")
|
|
|
|
self.HandleOrder(self.LimitOrder(self.spy, -1, 0.01)) # Should fail, portfolio holdings are at the max shortable quantity.
|
|
if len(self.ordersDenied) != 1:
|
|
raise Exception(f"Expected limit order to fail due to existing holdings, but found {len(self.ordersDenied)} failures")
|
|
|
|
self.ordersAllowed.clear()
|
|
self.ordersDenied.clear()
|
|
|
|
self.HandleOrder(self.MarketOrder(self.aig, -1001))
|
|
if len(self.ordersAllowed) != 1:
|
|
raise Exception(f"Expected market order of -1001 BAC to not fail")
|
|
|
|
self.invalidatedNewOrderWithPortfolioHoldings = True
|
|
|
|
def HandleOrder(self, orderTicket):
|
|
if orderTicket.SubmitRequest.Status == OrderRequestStatus.Error:
|
|
self.ordersDenied.append(orderTicket)
|
|
return
|
|
|
|
self.ordersAllowed.append(orderTicket) |