Stefano Raggi
a62fab742c
Currently, calling SetBrokerageModel after AddSecurity, AddForex, etc. has no effect, the security initializer has already been initialized and its models have been set to their default implementations. For example, Forex backtests using OandaBrokerageModel will report fees calculated with the default fee model (Oanda fees are spread-based, so they should always be reported as zero). In this PR, SetBrokerageModel now calls SecurityInitializer.Initialize on all securities added before SetBrokerageModel is called. Fees will be calculated using the correct fee models and the order of the calls in algorithm Initialize is now irrelevant.
89 lines
3.7 KiB
C#
89 lines
3.7 KiB
C#
/*
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* 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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*/
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using QuantConnect.Brokerages;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm shows how to set a custom security initializer.
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/// A security initializer is run immediately after a new security object
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/// has been created and can be used to security models and other settings,
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/// such as data normalization mode
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/// </summary>
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public class CustomSecurityInitializerAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// set our initializer to our custom type
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SetBrokerageModel(BrokerageName.TradierBrokerage);
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SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrice), DataNormalizationMode.Raw));
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SetStartDate(2012, 01, 01);
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SetEndDate(2013, 01, 01);
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AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);
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}
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public void OnData(TradeBars data)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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}
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}
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/// <summary>
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/// Our custom initializer that will set the data normalization mode.
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/// We sub-class the <see cref="BrokerageModelSecurityInitializer"/>
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/// so we can also take advantage of the default model/leverage setting
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/// behaviors
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/// </summary>
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class CustomSecurityInitializer : BrokerageModelSecurityInitializer
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{
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private readonly DataNormalizationMode _dataNormalizationMode;
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomSecurityInitializer"/> class
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/// with the specified normalization mode
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/// </summary>
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/// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
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/// <param name="securitySeeder">The security seeder to be used</param>
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/// <param name="dataNormalizationMode">The desired data normalization mode</param>
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public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
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: base(brokerageModel, securitySeeder)
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{
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_dataNormalizationMode = dataNormalizationMode;
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}
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/// <summary>
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/// Initializes the specified security by setting up the models
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/// </summary>
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/// <param name="security">The security to be initialized</param>
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/// <param name="seedSecurity">True to seed the security, false otherwise</param>
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public override void Initialize(Security security, bool seedSecurity)
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{
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// first call the default implementation
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base.Initialize(security, seedSecurity);
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// now apply our data normalization mode
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security.SetDataNormalizationMode(_dataNormalizationMode);
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}
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}
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}
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}
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