AlexCatarino
9998e65df9
Adds support for fee, fill and slippage custom modelling. Adds CustomModelsAlgorithm to showcase the new feature Modifies C# version of CustomModelsAlgorithm to match existing data in github
53 lines
2.0 KiB
C#
53 lines
2.0 KiB
C#
/*
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* 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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*/
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using Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Wraps a <see cref="PyObject"/> object that represents a model that simulates order fees
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/// </summary>
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public class FeeModelPythonWrapper : IFeeModel
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{
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private readonly dynamic _model;
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/// <summary>
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/// Constructor for initialising the <see cref="FeeModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Represents a model that simulates order fees</param>
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public FeeModelPythonWrapper(PyObject model)
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{
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_model = model;
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}
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/// <summary>
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/// Wrapper for <see cref = "IFeeModel.GetOrderFee(Security, Order)" /> in Python
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/// </summary>
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/// <param name="security">The security matching the order</param>
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/// <param name="order">The order to compute fees for</param>
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/// <returns>The cost of the order in units of the account currency</returns>
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public decimal GetOrderFee(Security security, Order order)
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{
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using (Py.GIL())
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{
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return _model.GetOrderFee(security, order);
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}
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}
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}
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} |