Gerardo Salazar
118 lines
5.1 KiB
Python
118 lines
5.1 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 *
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from QuantConnect.Orders.Fees import *
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from QuantConnect.Securities import *
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from QuantConnect.Orders.Fills import *
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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.absoluteRemainingByOrderId = {}
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self.random = Random(387510346)
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def MarketFill(self, asset, order):
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absoluteRemaining = order.AbsoluteQuantity
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if order.Id in self.absoluteRemainingByOrderId.keys():
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absoluteRemaining = self.absoluteRemainingByOrderId[order.Id]
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self.absoluteRemainingByOrderId[order.Id] = order.AbsoluteQuantity
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fill = super().MarketFill(asset, order)
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absoluteFillQuantity = int(min(absoluteRemaining, self.random.Next(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(FeeModel):
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def __init__(self, algorithm):
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self.algorithm = algorithm
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def GetOrderFee(self, parameters):
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# custom fee math
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fee = max(1, parameters.Security.Price
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* parameters.Order.AbsoluteQuantity
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* d.Decimal(0.00001))
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self.algorithm.Log("CustomFeeModel: " + str(fee))
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return OrderFee(CashAmount(fee, "USD"))
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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 |