Martin-Molinero
5f58254839
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60 lines
2.6 KiB
Python
60 lines
2.6 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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### Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
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### This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
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###
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### All orders are sent from the brokerage, none of them will be placed by the algorithm.
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### </summary>
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class CustomBrokerageSideOrderHandlingRegressionPartialAlgorithm(QCAlgorithm):
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'''Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
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This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
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All orders are sent from the brokerage, none of them will be placed by the algorithm.'''
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def initialize(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.set_cash(100000)
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self.set_brokerage_message_handler(CustomBrokerageMessageHandler(self))
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self._spy = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
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def on_end_of_algorithm(self):
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# The security should have been added
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if not self.securities.contains_key(self._spy):
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raise Exception("Expected security to have been added")
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if self.transactions.orders_count == 0:
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raise Exception("Expected orders to be added from brokerage side")
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if len(list(self.portfolio.positions.groups)) != 1:
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raise Exception("Expected only one position")
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class CustomBrokerageMessageHandler(DefaultBrokerageMessageHandler):
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def __init__(self, algorithm):
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super().__init__(algorithm)
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self._algorithm = algorithm
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def handle_order(self, event_args):
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order = event_args.order
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if order.tag is None or not order.tag.isdigit():
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raise Exception("Expected all new brokerage-side orders to have a valid tag")
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# We will only process orders with even tags
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return int(order.tag) % 2 == 0
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