Lean/Algorithm.Python/ComboOrdersFillModelAlgorithm.py at master · QuantConnect/Lean · GitHub

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.

from AlgorithmImports import *

### <summary>

### Basic template algorithm that implements a fill model with combo orders

### <meta name="tag" content="trading and orders" />

### </summary>

class ComboOrdersFillModelAlgorithm(QCAlgorithm):

'''Basic template algorithm that implements a fill model with combo orders'''

def initialize(self) -> None:

self.set_start_date(2019, 1, 1)

self.set_end_date(2019, 1, 20)

self.spy = self.add_equity("SPY", Resolution.HOUR)

self.ibm = self.add_equity("IBM", Resolution.HOUR)

# Set the fill model

self.spy.set_fill_model(CustomPartialFillModel())

self.ibm.set_fill_model(CustomPartialFillModel())

self._order_types = {}

def on_data(self, data: Slice) -> None:

if not self.portfolio.invested:

legs = [Leg.create(self.spy.symbol, 1), Leg.create(self.ibm.symbol, -1)]

self.combo_market_order(legs, 100)

self.combo_limit_order(legs, 100, round(self.spy.bid_price))

legs = [Leg.create(self.spy.symbol, 1, round(self.spy.bid_price) + 1), Leg.create(self.ibm.symbol, -1, round(self.ibm.bid_price) + 1)]

self.combo_leg_limit_order(legs, 100)

def on_order_event(self, order_event: OrderEvent) -> None:

if order_event.status == OrderStatus.FILLED:

order_type = self.transactions.get_order_by_id(order_event.order_id).type

if order_type == OrderType.COMBO_MARKET and order_event.absolute_fill_quantity != 50:

raise AssertionError(f"The absolute quantity filled for all combo market orders should be 50, but for order {order_event.order_id} was {order_event.absolute_fill_quantity}")

elif order_type == OrderType.COMBO_LIMIT and order_event.absolute_fill_quantity != 20:

raise AssertionError(f"The absolute quantity filled for all combo limit orders should be 20, but for order {order_event.order_id} was {order_event.absolute_fill_quantity}")

elif order_type == OrderType.COMBO_LEG_LIMIT and order_event.absolute_fill_quantity != 10:

raise AssertionError(f"The absolute quantity filled for all combo leg limit orders should be 10, but for order {order_event.order_id} was {order_event.absolute_fill_quantity}")

self._order_types[order_type] = 1

def on_end_of_algorithm(self) -> None:

if len(self._order_types) != 3:

raise AssertionError(f"Just 3 different types of order were submitted in this algorithm, but the amount of order types was {len(self._order_types)}")

if OrderType.COMBO_MARKET not in self._order_types.keys():

raise AssertionError(f"One Combo Market Order should have been submitted but it was not")

if OrderType.COMBO_LIMIT not in self._order_types.keys():

raise AssertionError(f"One Combo Limit Order should have been submitted but it was not")

if OrderType.COMBO_LEG_LIMIT not in self._order_types.keys():

raise AssertionError(f"One Combo Leg Limit Order should have been submitted but it was not")

class CustomPartialFillModel(FillModel):

'''Implements a custom fill model that inherit from FillModel. Overrides combo_market_fill, combo_limit_fill and combo_leg_limit_fill

methods to test FillModelPythonWrapper works as expected'''

def __init__(self) -> None:

self.absolute_remaining_by_order_id = {}

def fill_orders_partially(self, parameters: FillModelParameters, fills: list[OrderEvent], quantity: int) -> list[OrderEvent]:

partial_fills = []

if len(fills) == 0:

return partial_fills

for kvp, fill in zip(sorted(parameters.securities_for_orders, key=lambda x: x.key.id), fills):

order = kvp.key

absolute_remaining = self.absolute_remaining_by_order_id.get(order.id, order.absolute_quantity)

# Set the fill amount

fill.fill_quantity = np.sign(order.quantity) * quantity

if (min(abs(fill.fill_quantity), absolute_remaining) == absolute_remaining):

fill.fill_quantity = np.sign(order.quantity) * absolute_remaining

fill.status = OrderStatus.FILLED

self.absolute_remaining_by_order_id.pop(order.id, None)

else:

fill.status = OrderStatus.PARTIALLY_FILLED

self.absolute_remaining_by_order_id[order.id] = absolute_remaining - abs(fill.fill_quantity)

price = fill.fill_price

# self.algorithm.debug(f"{self.algorithm.time} - Partial Fill - Remaining {self.absolute_remaining_by_order_id[order.id]} Price - {price}")

partial_fills.append(fill)

return partial_fills

def combo_market_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:

fills = super().combo_market_fill(order, parameters)

partial_fills = self.fill_orders_partially(parameters, fills, 50)

return partial_fills

def combo_limit_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:

fills = super().combo_limit_fill(order, parameters)

partial_fills = self.fill_orders_partially(parameters, fills, 20)

return partial_fills

def combo_leg_limit_fill(self, order: Order, parameters: FillModelParameters) -> list[OrderEvent]:

fills = super().combo_leg_limit_fill(order, parameters)

partial_fills = self.fill_orders_partially(parameters, fills, 10)

return partial_fills

Lean/Algorithm.Python/ComboOrdersFillModelAlgorithm.py at master · QuantConnect/Lean · GitHub

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