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@Martin-Molinero @StefanoRaggi
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# 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 clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Portfolio import *
class ImmediateExecutionModel(ExecutionModel):
'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''
def __init__(self):
'''Initializes a new instance of the ImmediateExecutionModel class'''
self.targetsCollection = PortfolioTargetCollection()
def Execute(self, algorithm, targets):
'''Immediately submits orders for the specified portfolio targets.
Args:
algorithm: The algorithm instance
targets: The portfolio targets to be ordered'''
# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
self.targetsCollection.AddRange(targets)
if self.targetsCollection.Count > 0:
for target in self.targetsCollection.OrderByMarginImpact(algorithm):
open_quantity = sum([x.Quantity - x.QuantityFilled for x in algorithm.Transactions.GetOpenOrderTickets(target.Symbol)])
existing = algorithm.Securities[target.Symbol].Holdings.Quantity + open_quantity
quantity = target.Quantity - existing
if quantity != 0:
algorithm.MarketOrder(target.Symbol, quantity)
self.targetsCollection.ClearFulfilled(algorithm)
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