Add regresion algos and improvements

Author: Marinovsky

Algorithm.Python/CustomBenchmarkRegressionAlgorithm.py

@@ -0,0 +1,41 @@
+# 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 benchmark model, and override some of its methods
+### </summary>
+class CustomBenchmarkRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013,10,7)
+        self.SetEndDate(2013,10,11)
+        self.SetBrokerageModel(CustomBrokerageModelWithCustomBenchmark())
+        self.AddEquity("SPY", Resolution.Daily)
+        self.updateRequestSubmitted = False
+
+    def OnData(self, slice):
+        if (not self.Portfolio.Invested) and self.Benchmark.Evaluate(self.Time) != 0:
+            self.SetHoldings("SPY", 1)
+
+class CustomBenchmark:
+    def Evaluate(self, time):
+        if time.day % 2 == 0:
+            return 0
+        else:
+            return 1
+
+class CustomBrokerageModelWithCustomBenchmark(CustomBrokerageModel):
+    def GetBenchmark(self, securities):
+        return CustomBenchmark()

Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py

@@ -0,0 +1,49 @@
+# 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.SetStartDate(2013,10,7)
+        self.SetEndDate(2013,10,11)
+        self.SetCash(10000)
+        self.spy = self.AddEquity("SPY", Resolution.Daily)
+        self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel())
+        self.updateRequestSubmitted = False
+
+    def OnData(self, slice):
+        if self.Portfolio.CashBook[Currencies.USD].Amount == 10000:
+            parameters = ApplyFundsSettlementModelParameters(self.Portfolio, self.spy, self.Time, CashAmount(101, Currencies.USD), None)
+            self.spy.SettlementModel.ApplyFunds(parameters)
+
+    def OnEndOfAlgorithm(self):
+        if self.Portfolio.CashBook[Currencies.USD].Amount != 10101:
+            raise Exception(f"It was expected to have 10101 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
+
+class CustomSettlementModel:
+    def ApplyFunds(self, parameters):
+        currency = parameters.CashAmount.Currency;
+        amount = parameters.CashAmount.Amount
+        parameters.Portfolio.CashBook[currency].AddAmount(amount)
+
+    def Scan(self, parameters):
+        pass
+
+class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
+    def GetSettlementModel(self, security):
+        return CustomSettlementModel()

Common/Brokerages/DefaultBrokerageModel.cs

@@ -310,6 +310,18 @@ public virtual ISettlementModel GetSettlementModel(Security security)
             return new ImmediateSettlementModel();
         }
 
+        /// <summary>
+        /// Gets a new settlement model for the security
+        /// </summary>
+        /// <param name="security">The security to get a settlement model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The settlement model for this brokerage</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
+        {
+            return GetSettlementModel(security);
+        }
+
         /// <summary>
         /// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
         /// For cash accounts, leverage = 1 is used.
@@ -358,6 +370,18 @@ public virtual IMarginInterestRateModel GetMarginInterestRateModel(Security secu
             return MarginInterestRateModel.Null;
         }
 
+        /// <summary>
+        /// Gets a new buying power model for the security
+        /// </summary>
+        /// <param name="security">The security to get a buying power model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The buying power model for this brokerage/security</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
+        {
+            return GetBuyingPowerModel(security);
+        }
+
         /// <summary>
         /// Checks if the order quantity is valid, it means, the order size is bigger than the minimum size allowed
         /// </summary>

Common/Brokerages/IBrokerageModel.cs

@@ -146,13 +146,31 @@ decimal RequiredFreeBuyingPowerPercent
         /// <returns>The margin interest rate model for this brokerage</returns>
         IMarginInterestRateModel GetMarginInterestRateModel(Security security);
 
+        /// <summary>
+        /// Gets a new settlement model for the security
+        /// </summary>
+        /// <param name="security">The security to get a settlement model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The settlement model for this brokerage</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        ISettlementModel GetSettlementModel(Security security, AccountType accountType);
+
         /// <summary>
         /// Gets a new buying power model for the security
         /// </summary>
         /// <param name="security">The security to get a buying power model for</param>
         /// <returns>The buying power model for this brokerage/security</returns>
         IBuyingPowerModel GetBuyingPowerModel(Security security);
 
+        /// <summary>
+        /// Gets a new buying power model for the security
+        /// </summary>
+        /// <param name="security">The security to get a buying power model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The buying power model for this brokerage/security</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType);
+
         /// <summary>
         /// Gets the shortable provider
         /// </summary>

Common/Python/BenchmarkPythonWrapper.cs

@@ -29,7 +29,7 @@ public class BenchmarkPythonWrapper : IBenchmark
         /// <summary>
         /// Constructor for initialising the <see cref="BenchmarkPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
         /// </summary>
-        /// <param name="model">Models brokerage transactions, fees, and order</param>
+        /// <param name="model">Python benchmark model</param>
         public BenchmarkPythonWrapper(PyObject model)
         {
             _model = model;

Common/Python/BrokerageModelPythonWrapper.cs

@@ -272,6 +272,21 @@ public ISettlementModel GetSettlementModel(Security security)
             }
         }
 
+        /// <summary>
+        /// Gets a new settlement model for the security
+        /// </summary>
+        /// <param name="security">The security to get a settlement model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The settlement model for this brokerage</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
+        {
+            using (Py.GIL())
+            {
+                return (_model.GetSettlementModel(security, accountType) as PyObject).GetAndDispose<ISettlementModel>();
+            }
+        }
+
         /// <summary>
         /// Gets a new slippage model that represents this brokerage's fill slippage behavior
         /// </summary>
@@ -324,6 +339,21 @@ public IBuyingPowerModel GetBuyingPowerModel(Security security)
             }
         }
 
+        /// <summary>
+        /// Gets a new buying power model for the security
+        /// </summary>
+        /// <param name="security">The security to get a buying power model for</param>
+        /// <param name="accountType">The account type</param>
+        /// <returns>The buying power model for this brokerage/security</returns>
+        [Obsolete("Flagged deprecated and will remove December 1st 2018")]
+        public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
+        {
+            using (Py.GIL())
+            {
+                return (_model.GetBuyingPowerModel(security, accountType) as PyObject).GetAndDispose<IBuyingPowerModel>();
+            }
+        }
+
         /// <summary>
         /// Gets the shortable provider
         /// </summary>

Common/Python/SettlementModelPythonWrapper.cs

@@ -1,10 +1,21 @@
+/*
+ * 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.
+ *
+*/
+
 using Python.Runtime;
 using QuantConnect.Securities;
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
 
 namespace QuantConnect.Python
 {
@@ -17,14 +28,14 @@ public class SettlementModelPythonWrapper : ISettlementModel
 
         /// Constructor for initialising the <see cref="SettlementModelPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
         /// </summary>
-        /// <param name="model">Models brokerage transactions, fees, and order</param>
+        /// <param name="model">Settlement Python Model</param>
         public SettlementModelPythonWrapper(PyObject model)
         {
             _model = model;
         }
 
         /// <summary>
-        /// Applies cash settlement rules using Pyhon method
+        /// Applies cash settlement rules using the method defined in the Python class
         /// </summary>
         /// <param name="applyFundsParameters">The funds application parameters</param>
         public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
@@ -36,7 +47,7 @@ public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
         }
 
         /// <summary>
-        /// Scan for pending settlements using Python method
+        /// Scan for pending settlements using the method defined in the Python class
         /// </summary>
         /// <param name="settlementParameters">The settlement parameters</param>
         public void Scan(ScanSettlementModelParameters settlementParameters)

Tests/Algorithm/AlgorithmSetBrokerageTests.cs

@@ -322,6 +322,11 @@ public IBuyingPowerModel GetBuyingPowerModel(Security security)
                 throw new System.NotImplementedException();
             }
 
+            public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
+            {
+                throw new System.NotImplementedException();
+            }
+
             public IFeeModel GetFeeModel(Security security)
             {
                 throw new System.NotImplementedException();
@@ -347,6 +352,11 @@ public ISettlementModel GetSettlementModel(Security security)
                 throw new System.NotImplementedException();
             }
 
+            public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
+            {
+                throw new System.NotImplementedException();
+            }
+
             public IShortableProvider GetShortableProvider(Security security)
             {
                 throw new System.NotImplementedException();