Louis Szeto
7d3733ccb7
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* Add Market Impact Slippage Model * Add unit tests * Add regression tests and random seeds * Address peer review 1 * Add non-negative logic choice * address peer review 2 * timezone setting adjustment * Address peer review 2 * address second review * minor updates * minor updates * Nit * fix regression tests * fix CI * Rebase and fix CI * regression test
36 lines
1.5 KiB
Python
36 lines
1.5 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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class MarketImpactSlippageModelRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 13)
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self.SetCash(10000000)
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spy = self.AddEquity("SPY", Resolution.Daily)
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aapl = self.AddEquity("AAPL", Resolution.Daily)
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spy.SetSlippageModel(MarketImpactSlippageModel(self))
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aapl.SetSlippageModel(MarketImpactSlippageModel(self))
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def OnData(self, data):
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self.SetHoldings("SPY", 0.5)
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self.SetHoldings("AAPL", -0.5)
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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self.Debug(f"Price: {self.Securities[orderEvent.Symbol].Price}, filled price: {orderEvent.FillPrice}, quantity: {orderEvent.FillQuantity}")
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