Ricardo Andrés Marino Rojas
c6ca0eeea5
* Improve GetFillModel() * Add support for other methods * Add regresion algos and improvements * Make Python algorithms regression tests * Improve unit tests * Minor changes
50 lines
2.2 KiB
Python
50 lines
2.2 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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from CustomBrokerageModelRegressionAlgorithm import CustomBrokerageModel
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### <summary>
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### Regression algorithm to test we can specify a custom settlement model, and override some of its methods
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### </summary>
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class CustomSettlementModelRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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self.SetCash(10000)
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self.spy = self.AddEquity("SPY", Resolution.Daily)
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self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel())
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self.updateRequestSubmitted = False
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def OnData(self, slice):
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if self.Portfolio.CashBook[Currencies.USD].Amount == 10000:
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parameters = ApplyFundsSettlementModelParameters(self.Portfolio, self.spy, self.Time, CashAmount(101, Currencies.USD), None)
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self.spy.SettlementModel.ApplyFunds(parameters)
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def OnEndOfAlgorithm(self):
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if self.Portfolio.CashBook[Currencies.USD].Amount != 10101:
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raise Exception(f"It was expected to have 10101 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
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class CustomSettlementModel:
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def ApplyFunds(self, parameters):
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currency = parameters.CashAmount.Currency;
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amount = parameters.CashAmount.Amount
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parameters.Portfolio.CashBook[currency].AddAmount(amount)
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def Scan(self, parameters):
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pass
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class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
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def GetSettlementModel(self, security):
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return CustomSettlementModel()
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