Ricardo Andrés Marino Rojas
a309322ae5
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* Fix bug The algorithm `CustomPartialFillModelAlgorithm.cs` was not working as expected with short orders because in its Fill model, the variable `absoluteRemaining` instead of decrease was being increased since the `FillQuantity` in each call to this method was negative. Therefore when this amount was substracted to `absoluteRemaining`, instead of substract, it was added. Hence the method created more partial orders than expected, specifically: 580 short orders for SPY with Quantity -10. * Fix `CustomPartialFillModelAlgorithm.py` * Address required changes * Nit change * Address required changes
73 lines
2.9 KiB
Python
73 lines
2.9 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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### <summary>
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### Basic template algorithm that implements a fill model with partial fills
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### <meta name="tag" content="trading and orders" />
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### </summary>
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class CustomPartialFillModelAlgorithm(QCAlgorithm):
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'''Basic template algorithm that implements a fill model with partial fills'''
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def Initialize(self):
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self.SetStartDate(2019, 1, 1)
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self.SetEndDate(2019, 3, 1)
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equity = self.AddEquity("SPY", Resolution.Hour)
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self.spy = equity.Symbol
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self.holdings = equity.Holdings
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# Set the fill model
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equity.SetFillModel(CustomPartialFillModel(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.holdings.Quantity <= 0:
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self.MarketOrder(self.spy, 105, True)
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elif self.Time.day > 20 and self.holdings.Quantity >= 0:
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self.MarketOrder(self.spy, -100, True)
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class CustomPartialFillModel(FillModel):
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'''Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders'''
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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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def MarketFill(self, asset, order):
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absoluteRemaining = self.absoluteRemainingByOrderId.get(order.Id, order. AbsoluteQuantity)
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# Create the object
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fill = super().MarketFill(asset, order)
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# Set the fill amount
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fill.FillQuantity = np.sign(order.Quantity) * 10
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if (min(abs(fill.FillQuantity), absoluteRemaining) == absoluteRemaining):
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fill.FillQuantity = np.sign(order.Quantity) * absoluteRemaining
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fill.Status = OrderStatus.Filled
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self.absoluteRemainingByOrderId.pop(order.Id, None)
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else:
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fill.Status = OrderStatus.PartiallyFilled
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self.absoluteRemainingByOrderId[order.Id] = absoluteRemaining - abs(fill.FillQuantity)
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price = fill.FillPrice
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# self.algorithm.Debug(f"{self.algorithm.Time} - Partial Fill - Remaining {self.absoluteRemainingByOrderId[order.Id]} Price - {price}")
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return fill
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