Louis Szeto
9f15ca4c9c
Build & Test Lean / build (push) Has been cancelled
* Create SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Update SpreadExecutionModel.py * Create SpreadExecutionModel.cs * Create SpreadExecutionModelTests.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModel.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModel.cs * Update SpreadExecutionModel.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModel.cs * Update QuantConnect.Algorithm.Framework.csproj * Create SpreadExecutionModelRegressionAlgorithm.py * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModelTests.cs * Update SpreadExecutionModel.py * Update SpreadExecutionModel.cs * Address review - Adding CSharp regression algorithm implementation - Updating unit tests, minor format changes * Address review. Add comment and Abs spread percent Co-authored-by: Martin-Molinero <martin@quantconnect.com>
73 lines
3.5 KiB
Python
73 lines
3.5 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.Common")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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class SpreadExecutionModel(ExecutionModel):
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'''Execution model that submits orders while the current pread is tight.
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Note this execution model will not work using Resolution.Daily since Exchange.ExchangeOpen will be false, suggested resolution is Minute
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'''
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def __init__(self, acceptingSpreadPercent=0.005):
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'''Initializes a new instance of the SpreadExecutionModel class'''
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self.targetsCollection = PortfolioTargetCollection()
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# Gets or sets the maximum spread compare to current price in percentage.
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self.acceptingSpreadPercent = Math.Abs(acceptingSpreadPercent)
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def Execute(self, algorithm, targets):
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'''Executes market orders if the spread percentage to price is in desirable range.
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Args:
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algorithm: The algorithm instance
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targets: The portfolio targets'''
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# update the complete set of portfolio targets with the new targets
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self.targetsCollection.AddRange(targets)
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# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
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if self.targetsCollection.Count > 0:
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for target in self.targetsCollection.OrderByMarginImpact(algorithm):
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symbol = target.Symbol
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# calculate remaining quantity to be ordered
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unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target)
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# check order entry conditions
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if unorderedQuantity != 0:
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# get security information
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security = algorithm.Securities[symbol]
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if self.SpreadIsFavorable(security):
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algorithm.MarketOrder(symbol, unorderedQuantity)
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self.targetsCollection.ClearFulfilled(algorithm)
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def SpreadIsFavorable(self, security):
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'''Determines if the spread is in desirable range.'''
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# Price has to be larger than zero to avoid zero division error, or negative price causing the spread percentage < 0 by error
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# Has to be in opening hours of exchange to avoid extreme spread in OTC period
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return security.Exchange.ExchangeOpen \
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and security.Price > 0 and security.AskPrice > 0 and security.BidPrice > 0 \
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and (security.AskPrice - security.BidPrice) / security.Price <= self.acceptingSpreadPercent
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