Ricardo Andrés Marino Rojas
416d38271b
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* Implement ShortableProviderPythonWrapper.cs - Modify AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs and ShortableProviderOrdersRejectedRegressionAlgorithm.cs to use ShortableProvider from Security and not from the Brokerage model - Add SetShortableProvider() overload method in Security.cs to set a custom shortable provider from Python - Remove AllShortableSymbols() method from LocalDiskShortableProvider.cs - Remove DefaultShortableProvider class - Add regresion algorithms in C# to cover the changes done * Revert "Merge process" This reverts commit 775a4b8ec18e0f1562b72c27203ec0df84c8f675, reversing changes made to bcc3e790f66fe744ea6f4cb2083c3e9d1881ea2f. * Revert "Revert "Merge process"" This reverts commit aa18fb40eec2aa551ab7a81310ba4515270d6c1a. * Solve bugs - Solve bugs in DefaultMarkets, CanUpdateOrder() and CanSubmitOrder() methods from BrokerageModelPythonWrapper.cs - Add regression algos in both Python and C# to cover the changes * Catch potential errors and add unit tests * Add more unit tests * Nit change * Enhance implementation, add more unit tests
67 lines
3.5 KiB
Python
67 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 AlgorithmImports import *
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### <summary>
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### Regression algorithm to test we can specify a custom brokerage model, and override some of its methods
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### </summary>
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class CustomBrokerageModelRegressionAlgorithm(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.SetBrokerageModel(CustomBrokerageModel())
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self.AddEquity("SPY", Resolution.Daily)
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self.AddEquity("AIG", Resolution.Daily)
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self.updateRequestSubmitted = False
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if self.BrokerageModel.DefaultMarkets[SecurityType.Equity] != Market.USA:
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raise Exception(f"The default market for Equity should be {Market.USA}")
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if self.BrokerageModel.DefaultMarkets[SecurityType.Crypto] != Market.Binance:
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raise Exception(f"The default market for Crypto should be {Market.Binance}")
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def OnData(self, slice):
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if not self.Portfolio.Invested:
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self.MarketOrder("SPY", 100.0);
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self.aigTicket = self.MarketOrder("AIG", 100.0);
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def OnOrderEvent(self, orderEvent):
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spyTicket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
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if self.updateRequestSubmitted == False:
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updateOrderFields = UpdateOrderFields()
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updateOrderFields.Quantity = spyTicket.Quantity + 10
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spyTicket.Update(updateOrderFields)
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self.spyTicket = spyTicket
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self.updateRequestSubmitted = True
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def OnEndOfAlgorithm(self):
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submitExpectedMessage = "BrokerageModel declared unable to submit order: [2] Information - Code: - Symbol AIG can not be submitted"
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if self.aigTicket.SubmitRequest.Response.ErrorMessage != submitExpectedMessage:
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raise Exception(f"Order with ID: {self.aigTicket.OrderId} should not have submitted symbol AIG")
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updateExpectedMessage = "OrderID: 1 Information - Code: - This order can not be updated"
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if self.spyTicket.UpdateRequests[0].Response.ErrorMessage != updateExpectedMessage:
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raise Exception(f"Order with ID: {self.spyTicket.OrderId} should have been updated")
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class CustomBrokerageModel(DefaultBrokerageModel):
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DefaultMarkets = { SecurityType.Equity: Market.USA, SecurityType.Crypto : Market.Binance }
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def CanSubmitOrder(self, security: SecurityType, order: Order, message: BrokerageMessageEvent):
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if security.Symbol.Value == "AIG":
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message = BrokerageMessageEvent(BrokerageMessageType.Information, "", "Symbol AIG can not be submitted")
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return False, message
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return True, None
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def CanUpdateOrder(self, security: SecurityType, order: Order, request: UpdateOrderRequest, message: BrokerageMessageEvent):
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message = BrokerageMessageEvent(BrokerageMessageType.Information, "", "This order can not be updated")
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return False, message
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