# 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 ### ### Regression algorithm to test we can specify a custom settlement model, and override some of its methods ### 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()