Ricardo Andrés Marino Rojas
0e61415ce2
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* First draft of the solution * Add missing algorithm * Improve regression tests * Nit change * Address requests * Nit change * Address minor requests * Nit changes * Nit suggestion
52 lines
2.3 KiB
Python
52 lines
2.3 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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# region imports
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from AlgorithmImports import *
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from Execution.ImmediateExecutionModel import ImmediateExecutionModel
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from QuantConnect.Orders import OrderEvent
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# endregion
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### <summary>
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### Regression algorithm to test ImmediateExecutionModel places orders with the
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### correct quantity (taking into account the fee's) so that the fill quantity
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### is the expected one.
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### </summary>
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class ImmediateExecutionModelWorksWithBinanceFeeModel(QCAlgorithm):
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def Initialize(self):
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# *** initial configurations and backtest ***
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self.SetStartDate(2022, 12, 13) # Set Start Date
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self.SetEndDate(2022, 12, 14) # Set End Date
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self.SetAccountCurrency("BUSD") # Set Account Currency
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self.SetCash("BUSD", 100000, 1) # Set Strategy Cash
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self.universe_settings.resolution = Resolution.MINUTE
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symbols = [ Symbol.create("BTCBUSD", SecurityType.CRYPTO, Market.BINANCE) ]
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# set algorithm framework models
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self.set_universe_selection(ManualUniverseSelectionModel(symbols))
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.MINUTE))
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self.set_execution(ImmediateExecutionModel())
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self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)
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def on_order_event(self, order_event: OrderEvent) -> None:
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if order_event.status == OrderStatus.FILLED:
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if abs(order_event.quantity - 5.8) > 0.01:
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raise Exception(f"The expected quantity was 5.8 but the quantity from the order was {order_event.quantity}")
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