Martin-Molinero
aaba566954
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Order handling improvements - Execution model will only trigger market order if they are above the minimum order margin portfolio percetage value - SecurityCache.Reset is complete * Python Import fixes - Add regression test for ImmediateExecutionModel minimum order margin check
68 lines
3.4 KiB
Python
68 lines
3.4 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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from clr import GetClrType as typeof
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from Selection.UniverseSelectionModel import UniverseSelectionModel
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from itertools import groupby
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class ManualUniverseSelectionModel(UniverseSelectionModel):
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'''Provides an implementation of IUniverseSelectionModel that simply subscribes to the specified set of symbols'''
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def __init__(self, symbols = list(), universeSettings = None):
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self.MarketHours = MarketHoursDatabase.FromDataFolder()
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self.symbols = symbols
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self.universeSettings = universeSettings
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for symbol in symbols:
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SymbolCache.Set(symbol.Value, symbol)
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def CreateUniverses(self, algorithm):
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'''Creates the universes for this algorithm. Called once after IAlgorithm.Initialize
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Args:
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algorithm: The algorithm instance to create universes for</param>
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Returns:
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The universes to be used by the algorithm'''
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universeSettings = self.universeSettings \
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if self.universeSettings is not None else algorithm.UniverseSettings
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resolution = universeSettings.Resolution
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type = typeof(Tick) if resolution == Resolution.Tick else typeof(TradeBar)
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universes = list()
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# universe per security type/market
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self.symbols = sorted(self.symbols, key=lambda s: (s.ID.Market, s.SecurityType))
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for key, grp in groupby(self.symbols, lambda s: (s.ID.Market, s.SecurityType)):
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market = key[0]
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securityType = key[1]
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securityTypeString = Extensions.GetEnumString(securityType, SecurityType)
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universeSymbol = Symbol.Create(f"manual-universe-selection-model-{securityTypeString}-{market}", securityType, market)
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if securityType == SecurityType.Base:
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# add an entry for this custom universe symbol -- we don't really know the time zone for sure,
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# but we set it to TimeZones.NewYork in AddData, also, since this is a manual universe, the time
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# zone doesn't actually matter since this universe specifically doesn't do anything with data.
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symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(universeSymbol)
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alwaysOpen = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)
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entry = self.MarketHours.SetEntry(market, symbolString, securityType, alwaysOpen, TimeZones.NewYork)
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else:
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entry = self.MarketHours.GetEntry(market, None, securityType)
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config = SubscriptionDataConfig(type, universeSymbol, resolution, entry.DataTimeZone, entry.ExchangeHours.TimeZone, False, False, True)
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universes.append( ManualUniverse(config, universeSettings, list(grp)))
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return universes
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