Michael Handschuh
fdc866fda0
We didn't experience the expected performance improvements. Locally under unit test there was aboout an order of magnitude throughput increase, but when run against the history benchmark, this new approach was 60% slower. We're reverting this for now to perform further analysis and better understand the performance profiling of the python history stack.
111 lines
4.9 KiB
Python
111 lines
4.9 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Orders import OrderStatus
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from QuantConnect.Orders.Fills import ImmediateFillModel
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import numpy as np
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import decimal as d
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import random
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### <summary>
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### Demonstration of using custom fee, slippage and fill models for modelling transactions in backtesting.
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### QuantConnect allows you to model all orders as deeply and accurately as you need.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="transaction fees and slippage" />
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### <meta name="tag" content="custom transaction models" />
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### <meta name="tag" content="custom slippage models" />
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### <meta name="tag" content="custom fee models" />
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class CustomModelsAlgorithm(QCAlgorithm):
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'''Demonstration of using custom fee, slippage and fill models for modelling transactions in backtesting.
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QuantConnect allows you to model all orders as deeply and accurately as you need.'''
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def Initialize(self):
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self.SetStartDate(2013,10,1) # Set Start Date
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self.SetEndDate(2013,10,31) # Set End Date
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self.security = self.AddEquity("SPY", Resolution.Hour)
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self.spy = self.security.Symbol
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# set our models
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self.security.SetFeeModel(CustomFeeModel(self))
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self.security.SetFillModel(CustomFillModel(self))
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self.security.SetSlippageModel(CustomSlippageModel(self))
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def OnData(self, data):
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open_orders = self.Transactions.GetOpenOrders(self.spy)
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if len(open_orders) != 0: return
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if self.Time.day > 10 and self.security.Holdings.Quantity <= 0:
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quantity = self.CalculateOrderQuantity(self.spy, .5)
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self.Log("MarketOrder: " + str(quantity))
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self.MarketOrder(self.spy, quantity, True) # async needed for partial fill market orders
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elif self.Time.day > 20 and self.security.Holdings.Quantity >= 0:
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quantity = self.CalculateOrderQuantity(self.spy, -.5)
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self.Log("MarketOrder: " + str(quantity))
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self.MarketOrder(self.spy, quantity, True) # async needed for partial fill market orders
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# If we want to use methods from other models, you need to inherit from one of them
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class CustomFillModel(ImmediateFillModel):
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def __init__(self, algorithm):
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self.algorithm = algorithm
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self.base = ImmediateFillModel()
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self.absoluteRemainingByOrderId = {}
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random.seed(100)
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def MarketFill(self, asset, order):
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#if not _absoluteRemainingByOrderId.TryGetValue(order.Id, absoluteRemaining):
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absoluteRemaining = order.AbsoluteQuantity
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self.absoluteRemainingByOrderId[order.Id] = order.AbsoluteQuantity
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fill = self.base.MarketFill(asset, order)
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absoluteFillQuantity = int(min(absoluteRemaining, random.randint(0, 2*int(order.AbsoluteQuantity))))
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fill.FillQuantity = np.sign(order.Quantity) * absoluteFillQuantity
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if absoluteRemaining == absoluteFillQuantity:
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fill.Status = OrderStatus.Filled
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if self.absoluteRemainingByOrderId.get(order.Id):
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self.absoluteRemainingByOrderId.pop(order.Id)
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else:
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absoluteRemaining = absoluteRemaining - absoluteFillQuantity
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self.absoluteRemainingByOrderId[order.Id] = absoluteRemaining
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fill.Status = OrderStatus.PartiallyFilled
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self.algorithm.Log("CustomFillModel: " + str(fill))
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return fill
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class CustomFeeModel:
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def __init__(self, algorithm):
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self.algorithm = algorithm
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def GetOrderFee(self, security, order):
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# custom fee math
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fee = max(1, security.Price * order.AbsoluteQuantity * d.Decimal(0.00001))
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self.algorithm.Log("CustomFeeModel: " + str(fee))
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return fee
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class CustomSlippageModel:
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def __init__(self, algorithm):
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self.algorithm = algorithm
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def GetSlippageApproximation(self, asset, order):
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# custom slippage math
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slippage = asset.Price * d.Decimal(0.0001 * np.log10(2*float(order.AbsoluteQuantity)))
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self.algorithm.Log("CustomSlippageModel: " + str(slippage))
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return slippage |