Martin-Molinero
5e9901c667
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* Shortable modeling improvements - Do not limit live trading because of shortable model, will send algorithm warning - Add Interactive brokers shortable provider - Minor LocalDiskShortableProvider API changes * Fix shorted order update - Fix shorted order update. Updating regression algorithm * Minor improvement * Address reviews
105 lines
4.8 KiB
Python
105 lines
4.8 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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class RegressionTestShortableProvider(LocalDiskShortableProvider):
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def __init__(self):
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super().__init__("testbrokerage")
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### <summary>
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### Tests that orders are denied if they exceed the max shortable quantity.
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### </summary>
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class ShortableProviderOrdersRejectedRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.ordersAllowed = []
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self.ordersDenied = []
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self.initialize = False
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self.invalidatedAllowedOrder = False
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self.invalidatedNewOrderWithPortfolioHoldings = False
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self.SetStartDate(2013, 10, 4)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(10000000)
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self.spy = self.AddEquity("SPY", Resolution.Minute)
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self.aig = self.AddEquity("AIG", Resolution.Minute)
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self.spy.SetShortableProvider(RegressionTestShortableProvider())
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self.aig.SetShortableProvider(RegressionTestShortableProvider())
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def OnData(self, data):
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if not self.initialize:
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self.HandleOrder(self.LimitOrder(self.spy.Symbol, -1001, 10000)) # Should be canceled, exceeds the max shortable quantity
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orderTicket = self.LimitOrder(self.spy.Symbol, -1000, 10000)
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self.HandleOrder(orderTicket) # Allowed, orders at or below 1000 should be accepted
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self.HandleOrder(self.LimitOrder(self.spy.Symbol, -10, 0.01)) # Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
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response = orderTicket.UpdateQuantity(-999) # should be allowed, we are reducing the quantity we want to short
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if not response.IsSuccess:
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raise ValueError("Order update should of succeeded!");
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self.initialize = True
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return
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if not self.invalidatedAllowedOrder:
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if len(self.ordersAllowed) != 1:
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raise Exception(f"Expected 1 successful order, found: {len(self.ordersAllowed)}")
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if len(self.ordersDenied) != 2:
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raise Exception(f"Expected 2 failed orders, found: {len(self.ordersDenied)}")
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allowedOrder = self.ordersAllowed[0]
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orderUpdate = UpdateOrderFields()
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orderUpdate.LimitPrice = 0.01
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orderUpdate.Quantity = -1001
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orderUpdate.Tag = "Testing updating and exceeding maximum quantity"
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response = allowedOrder.Update(orderUpdate)
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if response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity:
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raise Exception(f"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode}")
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cancelResponse = allowedOrder.Cancel()
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if cancelResponse.IsError:
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raise Exception("Expected to be able to cancel open order after bad qty update")
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self.invalidatedAllowedOrder = True
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self.ordersDenied.clear()
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self.ordersAllowed.clear()
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return
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if not self.invalidatedNewOrderWithPortfolioHoldings:
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self.HandleOrder(self.MarketOrder(self.spy.Symbol, -1000)) # Should succeed, no holdings and no open orders to stop this
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spyShares = self.Portfolio[self.spy.Symbol].Quantity
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if spyShares != -1000:
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raise Exception(f"Expected -1000 shares in portfolio, found: {spyShares}")
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self.HandleOrder(self.LimitOrder(self.spy.Symbol, -1, 0.01)) # Should fail, portfolio holdings are at the max shortable quantity.
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if len(self.ordersDenied) != 1:
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raise Exception(f"Expected limit order to fail due to existing holdings, but found {len(self.ordersDenied)} failures")
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self.ordersAllowed.clear()
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self.ordersDenied.clear()
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self.HandleOrder(self.MarketOrder(self.aig.Symbol, -1001))
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if len(self.ordersAllowed) != 1:
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raise Exception(f"Expected market order of -1001 BAC to not fail")
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self.invalidatedNewOrderWithPortfolioHoldings = True
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def HandleOrder(self, orderTicket):
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if orderTicket.SubmitRequest.Status == OrderRequestStatus.Error:
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self.ordersDenied.append(orderTicket)
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return
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self.ordersAllowed.append(orderTicket)
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