Ricardo Andrés Marino Rojas
ead2efe6b9
* First draft of the solution * Add missing changes * Remove the new KPI's from report * Fix bugs * nit change * Add improvements * Fix regression tests * Solve bugs in the regression algos * Fix regression tests bugs * Expand unit tests and add minor changes
59 lines
2.6 KiB
Python
59 lines
2.6 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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### Regression algorithm asserting we can specify a custom Shortable Provider
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### </summary>
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class CustomShortableProviderRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(10000000);
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self.SetStartDate(2013,10,4)
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self.SetEndDate(2013,10,6)
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self.spy = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily)
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self.spy.SetShortableProvider(CustomShortableProvider())
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def OnData(self, data):
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spyShortableQuantity = self.spy.ShortableProvider.ShortableQuantity(self.spy.Symbol, self.Time)
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if spyShortableQuantity > 1000:
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self.orderId = self.Sell("SPY", int(spyShortableQuantity))
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def OnEndOfAlgorithm(self):
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transactions = self.Transactions.OrdersCount
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if transactions != 1:
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raise Exception("Algorithm should have just 1 order, but was " + str(transactions))
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orderQuantity = self.Transactions.GetOrderById(self.orderId).Quantity
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if orderQuantity != -1001:
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raise Exception("Quantity of order " + str(_orderId) + " should be " + str(-1001)+", but was {orderQuantity}")
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fee_rate = self.spy.ShortableProvider.FeeRate(self.spy.Symbol, self.Time)
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if fee_rate != 0.0025:
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raise Exception(f"Fee rate should be 0.0025, but was {fee_rate}")
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rebate_rate = self.spy.ShortableProvider.RebateRate(self.spy.Symbol, self.Time)
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if rebate_rate != 0.0507:
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raise Exception(f"Rebate rate should be 0.0507, but was {rebate_rate}")
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class CustomShortableProvider(NullShortableProvider):
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def FeeRate(self, symbol: Symbol, localTime: DateTime):
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return 0.0025
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def RebateRate(self, symbol: Symbol, localTime: DateTime):
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return 0.0507
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def ShortableQuantity(self, symbol: Symbol, localTime: DateTime):
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if localTime < datetime(2013,10,5):
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return 10
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else:
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return 1001
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