Rebase - Add Support

Algorithm.CSharp/SetCustomSettlementModelRegressionAlgorithm.cs

@@ -0,0 +1,137 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Securities;
+using QuantConnect.Brokerages;
+using System;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can specify a custom settlement model using Security.SetSettlementModel() method
+    /// </summary>
+    public class SetCustomSettlementModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Security _spy;
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(10000);
+            _spy = AddEquity("SPY", Resolution.Daily);
+            _spy.SetSettlementModel(new CustomSettlementModel());
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.CashBook[Currencies.USD].Amount == 10000)
+            {
+                var parameters = new ApplyFundsSettlementModelParameters(Portfolio, _spy, Time, new CashAmount(101, Currencies.USD), null);
+                _spy.SettlementModel.ApplyFunds(parameters);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio.CashBook[Currencies.USD].Amount != 10101)
+            {
+                throw new Exception($"It was expected to have 10101 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
+            }
+
+            var parameters = new ScanSettlementModelParameters(Portfolio, _spy, new DateTime(2013, 10, 6));
+            _spy.SettlementModel.Scan(parameters);
+
+            if (Portfolio.CashBook[Currencies.USD].Amount != 10000)
+            {
+                throw new Exception($"It was expected to have 10000 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 48;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "108.257%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "1.010%"},
+            {"Sharpe Ratio", "10.983"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "95.977%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "1.42"},
+            {"Beta", "-0.273"},
+            {"Annual Standard Deviation", "0.08"},
+            {"Annual Variance", "0.006"},
+            {"Information Ratio", "-3.801"},
+            {"Tracking Error", "0.288"},
+            {"Treynor Ratio", "-3.226"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+
+    public class CustomSettlementModel : ISettlementModel
+    {
+        private string _currency;
+        private decimal _amount;
+        public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
+        {
+            _currency = applyFundsParameters.CashAmount.Currency;
+            _amount = applyFundsParameters.CashAmount.Amount;
+            applyFundsParameters.Portfolio.CashBook[_currency].AddAmount(_amount);
+        }
+
+        public void Scan(ScanSettlementModelParameters settlementParameters)
+        {
+            if (settlementParameters.UtcTime == new DateTime(2013, 10, 6))
+            {
+                settlementParameters.Portfolio.CashBook[_currency].AddAmount(-_amount);
+            }
+        }
+    }
+}

Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py

@@ -23,6 +23,9 @@ def Initialize(self):
         self.SetEndDate(2013,10,11)
         self.SetCash(10000)
         self.spy = self.AddEquity("SPY", Resolution.Daily)
+        self.SetSettlementModel(self.spy)
+
+    def SetSettlementModel(self, security):
         self.SetBrokerageModel(CustomBrokerageModelWithCustomSettlementModel())
         self.updateRequestSubmitted = False
 
@@ -34,15 +37,20 @@ def OnData(self, slice):
     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}")
+        parameters = ScanSettlementModelParameters(self.Portfolio, self.spy, datetime(2013, 10, 6))
+        self.spy.SettlementModel.Scan(parameters)
+        if self.Portfolio.CashBook[Currencies.USD].Amount != 10000:
+            raise Exception(f"It was expected to have 10000 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)
+        self.currency = parameters.CashAmount.Currency;
+        self.amount = parameters.CashAmount.Amount
+        parameters.Portfolio.CashBook[self.currency].AddAmount(self.amount)
 
     def Scan(self, parameters):
-        pass
+        if parameters.UtcTime == datetime(2013, 10, 6):
+            parameters.Portfolio.CashBook[self.currency].AddAmount(-self.amount)
 
 class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
     def GetSettlementModel(self, security):

Algorithm.Python/SetCustomSettlementModelRegressionAlgorithm.py

@@ -0,0 +1,10 @@
+from AlgorithmImports import *
+from CustomSettlementModelRegressionAlgorithm import CustomSettlementModel, CustomSettlementModelRegressionAlgorithm
+
+### <summary>
+### Regression algorithm to test we can specify a custom settlement model using Security.SetSettlementModel() method
+### (without a custom brokerage model)
+### </summary>
+class SetCustomSettlementModelRegressionAlgorithm(CustomSettlementModelRegressionAlgorithm):
+    def SetSettlementModel(self, security):
+        security.SetSettlementModel(CustomSettlementModel())

Common/Securities/Security.cs

@@ -720,6 +720,24 @@ public void SetFillModel(PyObject fillModel)
             FillModel = new FillModelPythonWrapper(fillModel);
         }
 
+        /// <summary>
+        /// Sets the settlement model
+        /// </summary>
+        /// <param name="settlementModel"> Model that represents a settlement model</param>
+        public void SetSettlementModel(ISettlementModel settlementModel)
+        {
+            SettlementModel = settlementModel;
+        }
+
+        /// <summary>
+        /// Sets the settlement model
+        /// </summary>
+        /// <param name="settlementModel">Model that represents a settlement model</param>
+        public void SetSettlementModel(PyObject settlementModel)
+        {
+            SettlementModel = new SettlementModelPythonWrapper(settlementModel);
+        }
+
         /// <summary>
         /// Sets the slippage model
         /// </summary>