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CustomSettlementModelRegressionAlgorithm.py 2.84 KB
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Martin-Molinero 提交于 2025-03-28 21:36 +08:00 . Add python syntax check (#8651)
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# 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 *
from CustomBrokerageModelRegressionAlgorithm import CustomBrokerageModel
### <summary>
### Regression algorithm to test we can specify a custom settlement model, and override some of its methods
### </summary>
class CustomSettlementModelRegressionAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2013,10,7)
self.set_end_date(2013,10,11)
self.set_cash(10000)
self.spy = self.add_equity("SPY", Resolution.DAILY)
self.set_settlement_model(self.spy)
def set_settlement_model(self, security):
self.set_brokerage_model(CustomBrokerageModelWithCustomSettlementModel())
def on_data(self, slice):
if self.portfolio.cash_book[Currencies.USD].amount == 10000:
parameters = ApplyFundsSettlementModelParameters(self.portfolio, self.spy, self.time, CashAmount(101, Currencies.USD), None)
self.spy.settlement_model.apply_funds(parameters)
def on_end_of_algorithm(self):
if self.portfolio.cash_book[Currencies.USD].amount != 10101:
raise AssertionError(f"It was expected to have 10101 USD in Portfolio, but was {self.portfolio.cash_book[Currencies.USD].amount}")
parameters = ScanSettlementModelParameters(self.portfolio, self.spy, datetime(2013, 10, 6))
self.spy.settlement_model.scan(parameters)
if self.portfolio.cash_book[Currencies.USD].amount != 10000:
raise AssertionError(f"It was expected to have 10000 USD in Portfolio, but was {self.portfolio.cash_book[Currencies.USD].amount}")
class CustomSettlementModel:
def apply_funds(self, parameters):
self.currency = parameters.cash_amount.currency
self.amount = parameters.cash_amount.amount
parameters.portfolio.cash_book[self.currency].add_amount(self.amount)
def scan(self, parameters):
if parameters.utc_time == datetime(2013, 10, 6):
parameters.portfolio.cash_book[self.currency].add_amount(-self.amount)
def get_unsettled_cash(self):
return None
class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
def get_settlement_model(self, security):
return CustomSettlementModel()
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