Alexandre Catarino
cbccb6e5cf
* Adds `SimpleCustomFillModel` to `CustomModelsAlgorithm` The simple fill model shows how to implement a simpler version of the most popular order fills: Market, Stop Market and Limit. This model was tested on QuantConnect Cloud, and will serve as additonal example, since we don't have an example that does not reuse the method of the base class. * Handles Tick Resolution Case Tick-resolution data doesn't have TradeBar. We can use the security price, since it represents a trade (`TickTrade`).
183 lines
7.8 KiB
Python
183 lines
7.8 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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import random
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### <summary>
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### Demonstration of using custom fee, slippage, fill, and buying power 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 buying power models" />
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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, fill, and buying power 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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self.security.SetBuyingPowerModel(CustomBuyingPowerModel(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(f"MarketOrder: {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(f"MarketOrder: {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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super().__init__()
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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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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(f"CustomFillModel: {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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super().__init__()
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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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* 0.00001)
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self.algorithm.Log(f"CustomFeeModel: {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 * 0.0001 * np.log10(2*float(order.AbsoluteQuantity))
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self.algorithm.Log(f"CustomSlippageModel: {slippage}")
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return slippage
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class CustomBuyingPowerModel(BuyingPowerModel):
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def __init__(self, algorithm):
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super().__init__()
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self.algorithm = algorithm
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def HasSufficientBuyingPowerForOrder(self, parameters):
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# custom behavior: this model will assume that there is always enough buying power
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hasSufficientBuyingPowerForOrderResult = HasSufficientBuyingPowerForOrderResult(True)
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self.algorithm.Log(f"CustomBuyingPowerModel: {hasSufficientBuyingPowerForOrderResult.IsSufficient}")
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return hasSufficientBuyingPowerForOrderResult
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# The simple fill model shows how to implement a simpler version of
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# the most popular order fills: Market, Stop Market and Limit
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class SimpleCustomFillModel(FillModel):
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def __init__(self):
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super().__init__()
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def _create_order_event(self, asset, order):
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utcTime = Extensions.ConvertToUtc(asset.LocalTime, asset.Exchange.TimeZone)
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return OrderEvent(order, utcTime, OrderFee.Zero)
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def _set_order_event_to_filled(self, fill, fill_price, fill_quantity):
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fill.Status = OrderStatus.Filled
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fill.FillQuantity = fill_quantity
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fill.FillPrice = fill_price
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return fill
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def _get_trade_bar(self, asset, orderDirection):
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trade_bar = asset.Cache.GetData[TradeBar]()
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if trade_bar: return trade_bar
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# Tick-resolution data doesn't have TradeBar, use the asset price
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price = asset.Price
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return TradeBar(asset.LocalTime, asset.Symbol, price, price, price, price, 0)
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def MarketFill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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return self._set_order_event_to_filled(fill,
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asset.Cache.AskPrice \
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if order.Direction == OrderDirection.Buy else asset.Cache.BidPrice,
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order.Quantity)
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def StopMarketFill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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stop_price = order.StopPrice
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trade_bar = self._get_trade_bar(asset, order.Direction)
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if order.Direction == OrderDirection.Sell and trade_bar.Low < stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.Quantity)
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if order.Direction == OrderDirection.Buy and trade_bar.High > stop_price:
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return self._set_order_event_to_filled(fill, stop_price, order.Quantity)
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return fill
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def LimitFill(self, asset, order):
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fill = self._create_order_event(asset, order)
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if order.Status == OrderStatus.Canceled: return fill
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limit_price = order.LimitPrice
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trade_bar = self._get_trade_bar(asset, order.Direction)
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if order.Direction == OrderDirection.Sell and trade_bar.High > limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.Quantity)
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if order.Direction == OrderDirection.Buy and trade_bar.Low < limit_price:
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return self._set_order_event_to_filled(fill, limit_price, order.Quantity)
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return fill
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