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Add SetSettlementModel() method (#7684)
* Rebase - Add Support * nit changes
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‎Algorithm.CSharp/SetCustomSettlementModelRegressionAlgorithm.cs

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data;
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using QuantConnect.Securities;
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using QuantConnect.Brokerages;
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using System;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to test we can specify a custom settlement model using Security.SetSettlementModel() method
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/// </summary>
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public class SetCustomSettlementModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _spy;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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SetCash(10000);
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_spy = AddEquity("SPY", Resolution.Daily);
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_spy.SetSettlementModel(new CustomSettlementModel());
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}
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public override void OnData(Slice slice)
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{
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if (Portfolio.CashBook[Currencies.USD].Amount == 10000)
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{
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var parameters = new ApplyFundsSettlementModelParameters(Portfolio, _spy, Time, new CashAmount(101, Currencies.USD), null);
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_spy.SettlementModel.ApplyFunds(parameters);
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.CashBook[Currencies.USD].Amount != 10101)
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{
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throw new Exception($"It was expected to have 10101 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
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}
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var parameters = new ScanSettlementModelParameters(Portfolio, _spy, new DateTime(2013, 10, 6));
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_spy.SettlementModel.Scan(parameters);
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if (Portfolio.CashBook[Currencies.USD].Amount != 10000)
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{
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throw new Exception($"It was expected to have 10000 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 48;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "108.257%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.010%"},
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{"Sharpe Ratio", "10.983"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "95.977%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "1.42"},
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{"Beta", "-0.273"},
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{"Annual Standard Deviation", "0.08"},
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{"Annual Variance", "0.006"},
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{"Information Ratio", "-3.801"},
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{"Tracking Error", "0.288"},
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{"Treynor Ratio", "-3.226"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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public class CustomSettlementModel : ISettlementModel
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{
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private string _currency;
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private decimal _amount;
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public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
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{
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_currency = applyFundsParameters.CashAmount.Currency;
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_amount = applyFundsParameters.CashAmount.Amount;
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applyFundsParameters.Portfolio.CashBook[_currency].AddAmount(_amount);
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}
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public void Scan(ScanSettlementModelParameters settlementParameters)
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{
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if (settlementParameters.UtcTime == new DateTime(2013, 10, 6))
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{
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settlementParameters.Portfolio.CashBook[_currency].AddAmount(-_amount);
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}
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}
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}
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}

‎Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py

Lines changed: 12 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -23,8 +23,10 @@ def Initialize(self):
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self.SetEndDate(2013,10,11)
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self.SetCash(10000)
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self.spy = self.AddEquity("SPY", Resolution.Daily)
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self.SetSettlementModel(self.spy)
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def SetSettlementModel(self, security):
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self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel())
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self.updateRequestSubmitted = False
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def OnData(self, slice):
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if self.Portfolio.CashBook[Currencies.USD].Amount == 10000:
@@ -34,15 +36,20 @@ def OnData(self, slice):
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def OnEndOfAlgorithm(self):
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if self.Portfolio.CashBook[Currencies.USD].Amount != 10101:
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raise Exception(f"It was expected to have 10101 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
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parameters = ScanSettlementModelParameters(self.Portfolio, self.spy, datetime(2013, 10, 6))
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self.spy.SettlementModel.Scan(parameters)
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if self.Portfolio.CashBook[Currencies.USD].Amount != 10000:
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raise Exception(f"It was expected to have 10000 USD in Portfolio, but was {self.Portfolio.CashBook[Currencies.USD].Amount}")
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class CustomSettlementModel:
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def ApplyFunds(self, parameters):
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currency = parameters.CashAmount.Currency;
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amount = parameters.CashAmount.Amount
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parameters.Portfolio.CashBook[currency].AddAmount(amount)
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self.currency = parameters.CashAmount.Currency;
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self.amount = parameters.CashAmount.Amount
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parameters.Portfolio.CashBook[self.currency].AddAmount(self.amount)
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def Scan(self, parameters):
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pass
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if parameters.UtcTime == datetime(2013, 10, 6):
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parameters.Portfolio.CashBook[self.currency].AddAmount(-self.amount)
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class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
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def GetSettlementModel(self, security):

‎Algorithm.Python/SetCustomSettlementModelRegressionAlgorithm.py

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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from CustomSettlementModelRegressionAlgorithm import CustomSettlementModel, CustomSettlementModelRegressionAlgorithm
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### <summary>
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### Regression algorithm to test we can specify a custom settlement model using Security.SetSettlementModel() method
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### (without a custom brokerage model)
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### </summary>
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class SetCustomSettlementModelRegressionAlgorithm(CustomSettlementModelRegressionAlgorithm):
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def SetSettlementModel(self, security):
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security.SetSettlementModel(CustomSettlementModel())

‎Common/Securities/Security.cs

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FillModel = new FillModelPythonWrapper(fillModel);
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}
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/// <summary>
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/// Sets the settlement model
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/// </summary>
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/// <param name="settlementModel"> Model that represents a settlement model</param>
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public void SetSettlementModel(ISettlementModel settlementModel)
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{
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SettlementModel = settlementModel;
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}
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/// <summary>
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/// Sets the settlement model
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/// </summary>
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/// <param name="settlementModel">Model that represents a settlement model</param>
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public void SetSettlementModel(PyObject settlementModel)
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{
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SettlementModel = new SettlementModelPythonWrapper(settlementModel);
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}
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/// <summary>
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/// Sets the slippage model
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/// </summary>

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